Study: Buy LT when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy LT when above 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
1-28836.6139162341.032603.8910021.08-3065.17-9488.190.850.59-0.053-739.4
217374.8339231658.973622.0312247.32-4120.74-10346.660.881.260.024445.51
35363.1139182146.155894.1311759.3-4796.73-13004.71.231.050.0055137.52
449645.7539211853.857095.7513305.4-5520.28-23113.071.291.50.0421272.97
518792.439182146.157708.6215664.76-5712.52-17019.921.351.160.015481.86
620789.3739192048.728722.7719222.7-7247.16-17876.351.21.140.015533.06
734357.3639201951.288971.5320341.12-7635.43-21108.691.171.240.023880.96
883487.3439211853.8510050.3525024.54-7087.22-20650.731.421.650.0542140.7
991217.5839221756.419715.3134909.01-7207.02-24112.041.351.740.0562338.91
1090164.4339221756.4110087.3934637.17-7750.48-23616.811.31.680.0532311.91
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
atrnil38.113666559203933.917459.7236690.88-5449.48-12498.073.21.640.0522316.35
atrtrail34.5891075.39652639409376.7230416.23-3915.88-9026.642.391.60.0441401.16
atrtrail-15.6877499.62652639408854.5743360.45-3915.88-9026.642.261.510.0361192.3
atrtrail24.0260282.31652639408192.3720277.48-3915.88-9026.642.091.390.035927.42
atrnil25.6369500.3460233738.3311693.7524460.59-5390.7-12498.072.171.350.0341158.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.9%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, 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:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Jan 2019 (-2.0%), 14 Jan 2019 (-2.11%), 23 Apr 2019 (-1.93%), 08 Jul 2019 (-2.44%), 15 Jul 2019 (-2.6%), 19 Jul 2019 (-2.54%)
2018321 Feb 2018 (7.93%), 18 May 2018 (6.5%), 19 Jun 2018 (-1.87%)
2017524 May 2017 (6.3%), 27 Jun 2017 (-2.12%), 04 Jul 2017 (6.24%), 11 Aug 2017 (5.89%), 06 Dec 2017 (5.78%)
2016624 Jun 2016 (8.12%), 01 Aug 2016 (-2.43%), 25 Aug 2016 (-2.11%), 26 Aug 2016 (6.58%), 04 Nov 2016 (-1.97%), 09 Nov 2016 (-2.48%)
2015325 Mar 2015 (8.9%), 30 Apr 2015 (-2.7%), 27 Jul 2015 (-2.19%)
20141102 Jan 2014 (-2.59%), 03 Jan 2014 (-2.66%), 09 Jan 2014 (8.37%), 11 Jul 2014 (-3.63%), 30 Jul 2014 (-3.45%), 01 Aug 2014 (10.4%), 24 Sep 2014 (-2.78%), 07 Oct 2014 (8.81%), 09 Dec 2014 (-2.31%), 11 Dec 2014 (-2.39%), 15 Dec 2014 (-2.43%)
2013408 Jan 2013 (-1.97%), 11 Jan 2013 (-2.01%), 06 Feb 2013 (-2.14%), 13 Feb 2013 (-2.14%)
2012426 Jul 2012 (7.76%), 05 Sep 2012 (7.66%), 16 Nov 2012 (-2.5%), 20 Nov 2012 (7.59%)
2011206 Jan 2011 (-2.46%), 07 Jan 2011 (-2.51%)
2010421 Jan 2010 (-2.5%), 22 Jan 2010 (-2.83%), 17 Aug 2010 (5.97%), 25 Nov 2010 (-2.91%)
2009409 Jul 2009 (18.35%), 22 Oct 2009 (-2.86%), 23 Oct 2009 (-3.03%), 03 Nov 2009 (10.52%)
2008221 Jan 2008 (-4.51%), 11 Feb 2008 (-6.25%)
2007427 Feb 2007 (-3.7%), 28 Feb 2007 (-4.33%), 05 Mar 2007 (15.21%), 16 Aug 2007 (11.74%)
2005111 Apr 2005 (-3.87%)



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