Study: Buy LT when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy LT when below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy LT at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
123040.3753292454.724082.4218174.92-3972.91-17261.131.031.240.02434.72
268672.8253252847.177240.8620123.57-4012.45-8715.771.81.610.051295.71
310169853262749.068811.6423076.24-4718.68-16742.841.871.80.0611918.83
484791.1753282552.839338.219766.92-7067.14-23533.931.321.480.0421599.83
529451.4153233043.411404.9929420.42-7762.11-32964.591.471.130.012555.69
6-17217.0253233043.411727.2730067.67-9564.81-36667.071.230.94-0.0062-324.85
7-55319.0353223141.5111901.331877.02-10230.57-43399.361.160.83-0.019-1043.76
8-43912.9553252847.1711551.4341909.39-11882.1-55737.840.970.87-0.014-828.55
916351.0653252847.1713171.2838467.2-11176.11-40223.61.181.050.0051308.51
1063123.1753282552.8313323.5242249.46-12397.41-37145.061.071.20.0191191
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail23.35106403118407833.914379.8347125.47-6010.13-22089.122.391.230.019901.72
atrnil24.7995115.39103337032.0418039.0847125.47-7145.35-21592.52.521.190.018923.45
atrtrail-14.7641038.1118407833.912745.746259.32-6010.13-22089.122.121.090.008347.78
atrtrail34.0938806.67118407833.912689.9240974.62-6010.13-22089.122.111.080.0076328.87
atrnil37.58-11003195207521.0522578.7155417.6-7488.06-23562.743.020.8-0.022-1158.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LT Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191118 Jan 2019 (-2.07%), 22 Jan 2019 (-2.15%), 29 Jan 2019 (1.32%), 08 Feb 2019 (-2.38%), 11 Feb 2019 (-2.4%), 13 Feb 2019 (5.13%), 13 May 2019 (-1.9%), 25 Jul 2019 (-1.12%), 01 Aug 2019 (-1.7%), 13 Aug 2019 (0.24%), 22 Aug 2019 (5.53%)
2018725 Jun 2018 (-1.84%), 27 Jun 2018 (-2.17%), 16 Aug 2018 (4.14%), 28 Sep 2018 (-2.32%), 01 Oct 2018 (-1.85%), 08 Oct 2018 (0.07%), 23 Oct 2018 (5.01%)
20161004 Jan 2016 (-1.66%), 06 Jan 2016 (-1.78%), 07 Jan 2016 (-1.91%), 08 Jan 2016 (-2.07%), 11 Jan 2016 (-1.69%), 14 Jan 2016 (-2.62%), 15 Jan 2016 (-2.76%), 18 Jan 2016 (0.56%), 12 Feb 2016 (7.5%), 22 Dec 2016 (3.79%)
20151206 May 2015 (0.39%), 24 Aug 2015 (-3.05%), 26 Aug 2015 (-1.56%), 01 Sep 2015 (-2.65%), 07 Sep 2015 (6.84%), 22 Sep 2015 (-2.8%), 28 Sep 2015 (7.02%), 30 Oct 2015 (-2.86%), 03 Nov 2015 (-2.28%), 09 Nov 2015 (-2.01%), 08 Dec 2015 (-2.02%), 11 Dec 2015 (-1.04%)
2014116 Dec 2014 (0.98%)
20131614 Feb 2013 (-0.35%), 21 Feb 2013 (-1.55%), 25 Feb 2013 (-2.32%), 26 Feb 2013 (0.67%), 26 Mar 2013 (6.75%), 08 Apr 2013 (6.33%), 23 May 2013 (-0.09%), 31 May 2013 (-0.85%), 24 Jun 2013 (5.66%), 24 Jul 2013 (-3.75%), 02 Aug 2013 (-3.58%), 06 Aug 2013 (-2.47%), 16 Aug 2013 (-3.79%), 19 Aug 2013 (-4.1%), 27 Aug 2013 (-1.18%), 03 Sep 2013 (9.06%)
2012501 Mar 2012 (-2.47%), 06 Mar 2012 (8.68%), 23 Apr 2012 (-3.3%), 02 May 2012 (-2.96%), 04 May 2012 (1.21%)
20112810 Jan 2011 (-2.76%), 12 Jan 2011 (-2.87%), 14 Jan 2011 (-3.03%), 19 Jan 2011 (-1.91%), 28 Jan 2011 (-0.99%), 01 Feb 2011 (-0.1%), 07 Feb 2011 (-3.56%), 09 Feb 2011 (7.42%), 29 Apr 2011 (-3.17%), 03 May 2011 (-2.63%), 27 Jul 2011 (-2.17%), 03 Aug 2011 (-2.79%), 05 Aug 2011 (-2.89%), 19 Aug 2011 (-0.27%), 26 Aug 2011 (6.73%), 22 Sep 2011 (-3.42%), 23 Sep 2011 (-3.52%), 28 Sep 2011 (-3.56%), 29 Sep 2011 (-3.68%), 03 Oct 2011 (7.66%), 24 Oct 2011 (7.55%), 15 Nov 2011 (-3.35%), 16 Nov 2011 (-2.94%), 23 Nov 2011 (7.26%), 13 Dec 2011 (-3.81%), 15 Dec 2011 (-3.91%), 16 Dec 2011 (-4.46%), 20 Dec 2011 (10.0%)
2010128 Jan 2010 (-1.95%)
2009509 Jan 2009 (-5.44%), 23 Jan 2009 (0.82%), 05 Feb 2009 (4.7%), 20 Feb 2009 (-4.68%), 02 Mar 2009 (3.92%)
20082007 Mar 2008 (-5.7%), 10 Mar 2008 (13.56%), 08 Apr 2008 (13.66%), 26 May 2008 (8.49%), 09 Jun 2008 (9.73%), 20 Jun 2008 (-4.78%), 23 Jun 2008 (-5.29%), 27 Jun 2008 (-5.54%), 01 Jul 2008 (11.65%), 28 Aug 2008 (8.2%), 26 Sep 2008 (-4.24%), 29 Sep 2008 (-4.67%), 03 Oct 2008 (-6.53%), 06 Oct 2008 (-7.08%), 07 Oct 2008 (-7.99%), 10 Oct 2008 (18.77%), 16 Oct 2008 (-6.37%), 24 Oct 2008 (-11.04%), 27 Oct 2008 (23.56%), 02 Dec 2008 (18.24%)
2006208 Jun 2006 (-1.87%), 13 Jun 2006 (18.83%)



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