Study: Buy MANAPPURAM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy MANAPPURAM 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 MANAPPURAM 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
1-47724.7438182047.376031.4426516.85-7814.53-27075.810.770.69-0.044-1255.91
2-47527.0738182047.377424.4630112.36-9058.37-27797.830.820.74-0.036-1250.71
3-37511.1338182047.379344.0639101.12-10285.21-37669.380.910.82-0.023-987.13
4-33576.438182047.3711162.2940449.44-11724.88-40072.20.950.86-0.018-883.59
5-44091.8338182047.3712611.1944494.38-13554.66-55613.130.930.84-0.02-1160.31
6-59449.938162242.1117143.8745243.13-15170.54-60449.051.130.82-0.024-1564.47
7-26046.893819195014671.843763.21-16042.69-40759.930.910.91-0.011-685.44
8-59279.8338201852.6313903.4840380.55-18741.63-62207.360.740.82-0.024-1560
9-71162.6238182047.3715785.7735955.06-17765.32-58193.980.890.8-0.028-1872.7
10-77574.2338201852.6314828.834038.05-20786.12-54512.640.710.79-0.03-2041.43
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
atrnil38.0937900.2569195027.5433952.2262446.04-12143.84-29081.572.81.060.0083549.28
atrnil25.64-28439.6572244833.3322879.2141630.69-12032.1-29081.571.90.95-0.0074-395
atrtrail23.79-75629.2682245829.2718892.9441630.69-9121.72-18905.342.070.86-0.021-922.31
atrtrail34.44-14111282235928.0516958.4354023.56-9002.63-18905.341.880.73-0.039-1720.87
atrtrail-14.85-15172282235928.0516497.1364962.6-9002.63-18905.341.830.71-0.04-1850.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 27.54%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0083, 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.
MANAPPURAM Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jan 2019 (10.38%)
20181324 May 2018 (-4.26%), 01 Jun 2018 (-4.43%), 27 Jun 2018 (10.27%), 03 Sep 2018 (-2.78%), 04 Sep 2018 (-2.93%), 10 Sep 2018 (-3.44%), 11 Sep 2018 (-3.65%), 12 Sep 2018 (-3.86%), 21 Sep 2018 (-4.3%), 24 Sep 2018 (-4.87%), 28 Sep 2018 (-5.38%), 08 Oct 2018 (18.49%), 06 Dec 2018 (11.59%)
2017422 May 2017 (-3.29%), 23 May 2017 (10.75%), 11 Aug 2017 (15.74%), 08 Nov 2017 (11.96%)
2016318 Jan 2016 (16.2%), 16 Dec 2016 (-6.3%), 20 Dec 2016 (20.98%)
20151129 May 2015 (-3.35%), 03 Jun 2015 (-3.76%), 05 Jun 2015 (-4.11%), 08 Jun 2015 (-4.51%), 27 Jul 2015 (-3.9%), 12 Aug 2015 (-4.49%), 24 Aug 2015 (-5.85%), 26 Aug 2015 (-6.25%), 09 Sep 2015 (-5.7%), 04 Nov 2015 (-3.91%), 10 Nov 2015 (13.4%)
20131304 Mar 2013 (-5.54%), 19 Mar 2013 (-6.36%), 20 Mar 2013 (-8.35%), 25 Mar 2013 (-9.74%), 08 Apr 2013 (-9.34%), 15 Apr 2013 (-9.0%), 16 Apr 2013 (-10.04%), 20 Jun 2013 (-5.09%), 21 Jun 2013 (-5.72%), 24 Jun 2013 (-6.72%), 25 Jun 2013 (26.17%), 30 Sep 2013 (17.51%), 27 Nov 2013 (-5.41%)
20121207 Feb 2012 (-6.47%), 14 Feb 2012 (-7.82%), 06 Mar 2012 (15.75%), 22 Mar 2012 (-7.93%), 26 Mar 2012 (-9.32%), 27 Mar 2012 (-10.38%), 04 May 2012 (-7.0%), 08 May 2012 (-7.62%), 09 May 2012 (-9.45%), 10 May 2012 (31.22%), 09 Nov 2012 (-5.48%), 12 Nov 2012 (17.89%)
20111212 May 2011 (-5.14%), 23 May 2011 (13.55%), 09 Jun 2011 (-14.54%), 19 Aug 2011 (-4.98%), 24 Aug 2011 (-5.16%), 25 Aug 2011 (-5.7%), 26 Aug 2011 (18.13%), 22 Nov 2011 (-4.75%), 23 Nov 2011 (15.56%), 14 Dec 2011 (-7.12%), 15 Dec 2011 (-8.12%), 19 Dec 2011 (27.01%)



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