Study: Buy MRF when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy MRF 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 MRF 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
1252.3894435145.745681.7935727.57-4785.58-19955.241.1917.3e-052.68
2-91856.7394445046.816050.8620613.49-7161.89-32839.980.840.74-0.022-977.2
3-77360.5494415343.628193.6328883.7-7798.1-31422.721.050.81-0.017-822.98
4-73906.8694405442.559777.1742526.22-8611-36522.251.140.84-0.013-786.24
5-13132994425244.6810769.5638571.87-11224.05-40852.580.960.77-0.02-1397.12
6-17488294405442.5511648.0859320.68-11866.76-47452.310.980.73-0.024-1860.45
7-18444494425244.6811998.3952961.69-13238.01-45037.30.910.73-0.024-1962.17
8-21537094435145.7412480.9458125.82-14746.09-41157.490.850.71-0.027-2291.17
9-15438194445046.8113532.8680053.2-14996.52-51858.840.90.79-0.018-1642.35
10-74274.259447475013669.0981996.44-15249.39-56559.290.90.9-0.0083-790.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1. 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 45.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0013%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 7.3e-05, which is low, don't trade solely on the basis of this study.

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
nilnil-11252.3894435145.745681.7935727.57-4785.58-19955.241.1917.3e-052.68
atrtrail-14.78-1293442076114629.4713318.6193838.1-6450.54-16869.92.060.86-0.01-624.85
atrnil37.38-1601911764113523.322302.2154097.85-7959.86-19655.792.80.85-0.014-910.18
atrtrail34.06-1730182076114629.4712602.6342698.9-6450.54-16869.91.950.82-0.016-835.84
atrtrail23.51-1998722076214529.9511934.6639311.59-6481.53-16869.91.840.79-0.02-965.57
atrnil25.29-2603871825113128.0215300.4239311.59-7944.34-16158.571.930.75-0.026-1430.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 45.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0013%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 7.3e-05, 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.
MRF Performance, X=1, Profit Factor:1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019424 Jan 2019 (-1.51%), 07 Feb 2019 (-4.98%), 24 Apr 2019 (-0.4%), 19 Jul 2019 (1.2%)
2018529 Jan 2018 (2.02%), 03 Sep 2018 (-2.75%), 19 Sep 2018 (-1.53%), 05 Oct 2018 (0.16%), 10 Dec 2018 (2.81%)
2016415 Jan 2016 (-3.97%), 01 Feb 2016 (0.89%), 27 Apr 2016 (-1.94%), 11 May 2016 (1.37%)
2015202 Jun 2015 (0.39%), 05 Nov 2015 (-0.11%)
2011807 Jan 2011 (-5.51%), 28 Jan 2011 (-1.62%), 24 May 2011 (-0.83%), 22 Jun 2011 (1.9%), 16 Aug 2011 (-1.25%), 04 Oct 2011 (-0.42%), 18 Nov 2011 (1.16%), 28 Dec 2011 (4.64%)
2010109 Dec 2010 (2.34%)
2009223 Jan 2009 (-1.19%), 04 Mar 2009 (-3.4%)
2008922 Jan 2008 (11.19%), 10 Mar 2008 (6.35%), 28 May 2008 (2.71%), 23 Jun 2008 (-2.65%), 16 Jul 2008 (1.75%), 15 Sep 2008 (-1.02%), 29 Sep 2008 (4.65%), 23 Oct 2008 (-8.18%), 17 Nov 2008 (-3.04%)
2007705 Mar 2007 (-1.7%), 04 Apr 2007 (-0.2%), 26 Jun 2007 (3.83%), 06 Aug 2007 (1.43%), 23 Aug 2007 (0.19%), 24 Sep 2007 (-0.23%), 10 Oct 2007 (17.86%)
2006316 Jan 2006 (0.89%), 22 May 2006 (-0.36%), 07 Jun 2006 (-4.97%)
2005320 Jun 2005 (1.02%), 11 Jul 2005 (-0.84%), 27 Jul 2005 (-0.73%)
2004318 Mar 2004 (-6.01%), 14 May 2004 (-9.98%), 28 May 2004 (-5.13%)
2003127 Jan 2003 (0.29%)
2002210 Oct 2002 (0.01%), 29 Oct 2002 (-1.22%)
2001905 Feb 2001 (-0.75%), 20 Feb 2001 (0.43%), 12 Mar 2001 (-4.04%), 10 Apr 2001 (-0.29%), 27 Apr 2001 (-0.52%), 12 Jun 2001 (2.49%), 20 Jul 2001 (2.62%), 03 Sep 2001 (0.51%), 03 Oct 2001 (0.78%)
2000931 Jan 2000 (1.01%), 23 Feb 2000 (-3.57%), 08 Mar 2000 (-2.89%), 20 Apr 2000 (-8.0%), 04 Jul 2000 (-0.82%), 18 Jul 2000 (-0.11%), 04 Aug 2000 (-5.11%), 15 Sep 2000 (-1.55%), 29 Sep 2000 (-1.53%)
1999405 Feb 1999 (0.92%), 09 Apr 1999 (-2.13%), 26 Apr 1999 (8.0%), 28 May 1999 (5.33%)
1998623 Jan 1998 (-1.1%), 02 Jun 1998 (-0.19%), 06 Aug 1998 (-1.6%), 05 Oct 1998 (-2.35%), 20 Oct 1998 (3.07%), 27 Nov 1998 (0.43%)
19971011 Mar 1997 (3.05%), 31 Mar 1997 (2.24%), 30 Apr 1997 (6.83%), 25 Jun 1997 (-3.3%), 15 Jul 1997 (3.32%), 18 Aug 1997 (1.39%), 17 Sep 1997 (3.48%), 13 Oct 1997 (-0.71%), 02 Dec 1997 (-1.97%), 17 Dec 1997 (0.03%)
1996207 Oct 1996 (-1.85%), 22 Nov 1996 (5.17%)



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