Study: Buy MRPL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy MRPL 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 MRPL 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
1-48681.81123546943.95377.0345501.86-4913.64-37655.021.090.86-0.01-395.79
28117.72123527142.286839.9832565.06-4895.23-40564.831.41.020.001666
351658.52123556844.728928.1560074.35-6461.61-28132.991.381.120.0081419.99
4117938123616249.5910282.9254572.49-8214.84-26342.711.251.230.016958.85
5165348123626150.4112891.2955167.29-10392-39197.531.241.260.0191344.29
6112028122606249.1813613.1962937.06-11367.15-53086.421.21.160.012918.26
746968.08122586447.5413480.5654411.76-11482.88-50154.321.171.060.0051384.98
814201512261615013621.4450000-11293.34-62191.361.211.210.0151164.05
9142243122566645.915743.0686764.71-11202.55-57407.411.411.190.0131165.93
1065062.83122527042.6217933.42117647-12392.5-89763.781.451.080.0052533.3
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
atrnil39.223121022025115125.2535639.75114846-9970.37-41738.373.571.210.0151545.06
atrtrail24.392159462328215035.3416431.0849877.2-7542.69-34415.172.181.190.014930.8
atrnil25.972574782137413934.7422294.7276563.71-10016.77-41738.372.231.180.0151208.82
atrtrail35.161469892328015234.4816043.971501.19-7477.13-34415.172.151.130.009633.57
atrtrail-15.69-55946.732327915334.0513705.8575598.39-7442.54-34415.171.840.95-0.0037-241.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 25.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
MRPL Performance, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019909 Jan 2019 (-3.27%), 14 Jan 2019 (-3.22%), 31 Jan 2019 (-2.74%), 04 Feb 2019 (-2.96%), 05 Feb 2019 (-3.08%), 08 May 2019 (-2.82%), 09 May 2019 (-3.22%), 13 May 2019 (-3.34%), 07 Jun 2019 (-3.19%)
20181602 Feb 2018 (-4.15%), 06 Feb 2018 (-4.85%), 18 Apr 2018 (-2.91%), 19 Apr 2018 (-3.05%), 21 May 2018 (-3.31%), 23 May 2018 (-3.4%), 31 May 2018 (-3.81%), 15 Jun 2018 (-3.94%), 28 Jun 2018 (-4.9%), 16 Jul 2018 (13.9%), 04 Sep 2018 (-3.65%), 05 Sep 2018 (-3.96%), 28 Sep 2018 (-4.9%), 05 Oct 2018 (20.91%), 20 Nov 2018 (-4.86%), 28 Nov 2018 (-4.83%)
2017114 Nov 2017 (10.98%)
2016402 Feb 2016 (-5.14%), 03 Feb 2016 (-5.37%), 11 Feb 2016 (-6.02%), 23 Feb 2016 (19.24%)
2015224 Aug 2015 (-7.84%), 25 Aug 2015 (27.25%)
2014514 Nov 2014 (-3.72%), 20 Nov 2014 (-3.63%), 25 Nov 2014 (-3.79%), 12 Dec 2014 (-4.27%), 16 Dec 2014 (13.58%)
20131905 Feb 2013 (-3.22%), 08 Feb 2013 (10.57%), 26 Feb 2013 (-4.03%), 11 Mar 2013 (-4.08%), 14 Mar 2013 (-4.11%), 22 Mar 2013 (-4.38%), 10 Apr 2013 (-3.96%), 09 May 2013 (-2.86%), 21 May 2013 (-2.98%), 23 May 2013 (-3.52%), 11 Jun 2013 (-4.25%), 14 Jun 2013 (-4.54%), 20 Jun 2013 (-4.36%), 25 Jun 2013 (13.69%), 29 Jul 2013 (-4.88%), 31 Jul 2013 (-5.18%), 05 Aug 2013 (-6.96%), 16 Aug 2013 (20.9%), 17 Dec 2013 (13.19%)
2012723 Mar 2012 (-4.78%), 28 Mar 2012 (14.84%), 04 May 2012 (-4.12%), 08 May 2012 (-4.54%), 01 Jun 2012 (-4.65%), 04 Jun 2012 (14.43%), 23 Nov 2012 (-3.32%)
20111109 Feb 2011 (-4.22%), 10 Feb 2011 (-4.57%), 24 Feb 2011 (15.5%), 25 May 2011 (11.77%), 08 Aug 2011 (-4.06%), 16 Aug 2011 (-4.52%), 18 Aug 2011 (-5.16%), 19 Aug 2011 (-5.5%), 14 Dec 2011 (-4.42%), 19 Dec 2011 (-4.95%), 28 Dec 2011 (16.42%)
20101127 Jan 2010 (-4.13%), 23 Feb 2010 (-3.51%), 28 Apr 2010 (-3.0%), 14 May 2010 (-3.22%), 19 May 2010 (-3.23%), 21 May 2010 (-3.29%), 25 May 2010 (10.73%), 29 Jul 2010 (9.89%), 31 Aug 2010 (10.59%), 19 Nov 2010 (-4.43%), 26 Nov 2010 (-5.27%)
20081622 Jan 2008 (57.42%), 27 May 2008 (-6.97%), 04 Jun 2008 (-8.21%), 09 Jun 2008 (-8.55%), 24 Jun 2008 (-8.15%), 27 Jun 2008 (-8.5%), 30 Jun 2008 (-9.57%), 01 Jul 2008 (31.82%), 28 Aug 2008 (-7.7%), 15 Sep 2008 (-6.83%), 26 Sep 2008 (-6.75%), 07 Oct 2008 (-7.86%), 08 Oct 2008 (-8.18%), 10 Oct 2008 (-9.15%), 24 Oct 2008 (-10.09%), 27 Oct 2008 (35.17%)
2007512 Feb 2007 (-4.56%), 22 Feb 2007 (-4.54%), 28 Feb 2007 (-5.02%), 07 Jun 2007 (-4.36%), 08 Jun 2007 (13.74%)
2006931 Jan 2006 (-3.28%), 01 Feb 2006 (-3.48%), 24 Mar 2006 (9.52%), 22 May 2006 (-11.59%), 07 Jun 2006 (-10.0%), 08 Jun 2006 (36.61%), 31 Oct 2006 (-3.37%), 08 Nov 2006 (10.25%), 12 Dec 2006 (14.56%)
2005729 Mar 2005 (-4.06%), 28 Jun 2005 (-2.96%), 30 Jun 2005 (9.39%), 25 Aug 2005 (13.6%), 19 Oct 2005 (-4.09%), 20 Oct 2005 (-4.69%), 27 Oct 2005 (14.86%)
2004614 May 2004 (-8.88%), 17 May 2004 (35.75%), 18 Jun 2004 (-7.46%), 22 Jun 2004 (-7.66%), 16 Aug 2004 (-4.8%), 20 Aug 2004 (15.28%)
2003106 Jan 2003 (13.05%)
2002709 Jan 2002 (22.69%), 28 Mar 2002 (37.41%), 13 Aug 2002 (-8.61%), 05 Sep 2002 (-5.59%), 09 Sep 2002 (-5.76%), 11 Sep 2002 (-6.29%), 24 Oct 2002 (14.61%)
2001502 Jul 2001 (-20.87%), 02 Aug 2001 (32.48%), 17 Sep 2001 (27.81%), 20 Dec 2001 (-6.78%), 24 Dec 2001 (-7.1%)
2000524 Jan 2000 (-5.62%), 31 Jan 2000 (-5.55%), 08 Feb 2000 (-5.81%), 06 Mar 2000 (-9.07%), 07 Mar 2000 (-10.05%)
1999701 Feb 1999 (-4.5%), 08 Feb 1999 (13.71%), 09 Mar 1999 (-8.05%), 16 Mar 1999 (-7.92%), 26 Apr 1999 (21.87%), 14 Dec 1999 (-5.55%), 17 Dec 1999 (18.75%)
19981710 Feb 1998 (-3.35%), 13 Feb 1998 (-3.54%), 17 Feb 1998 (12.06%), 12 May 1998 (-5.4%), 05 Jun 1998 (-5.09%), 15 Jun 1998 (-4.74%), 16 Jun 1998 (-5.32%), 03 Aug 1998 (-4.73%), 04 Aug 1998 (14.71%), 07 Sep 1998 (10.03%), 28 Sep 1998 (-3.3%), 29 Sep 1998 (-3.61%), 05 Oct 1998 (12.85%), 24 Nov 1998 (-3.46%), 08 Dec 1998 (-3.01%), 11 Dec 1998 (-3.2%), 17 Dec 1998 (10.18%)
19971030 Jan 1997 (-5.08%), 03 Feb 1997 (15.72%), 31 Mar 1997 (-4.81%), 01 Apr 1997 (15.09%), 12 May 1997 (-3.95%), 13 May 1997 (-4.24%), 28 May 1997 (13.88%), 28 Oct 1997 (-4.14%), 01 Dec 1997 (-4.03%), 02 Dec 1997 (13.49%)
19962124 Jan 1996 (-3.3%), 19 Mar 1996 (11.17%), 10 May 1996 (-3.31%), 20 May 1996 (-3.77%), 21 May 1996 (-4.01%), 02 Jul 1996 (-3.39%), 24 Jul 1996 (-2.93%), 26 Jul 1996 (-3.02%), 30 Jul 1996 (-3.15%), 06 Aug 1996 (-3.42%), 13 Aug 1996 (-3.37%), 16 Aug 1996 (-3.42%), 19 Aug 1996 (-3.66%), 13 Sep 1996 (-3.8%), 19 Sep 1996 (-3.86%), 23 Sep 1996 (-4.02%), 27 Sep 1996 (-4.34%), 30 Sep 1996 (-4.64%), 07 Oct 1996 (-5.12%), 08 Oct 1996 (-5.49%), 29 Nov 1996 (10.9%)
1995122 Nov 1995 (-4.99%)



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