Study: Buy MRPL when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy MRPL when near 200 SMA and above 200 SMA and RSI is above 50" 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
17280.9631131841.945023.713374.49-3223.73-8841.11.561.130.0096234.87
2-21158.4131131841.945773.8515884.48-5345.47-21505.381.080.78-0.019-682.53
316022.331141745.168958.3325925.93-6434.96-18597.441.391.150.011516.85
471484.4731141745.1611811.0330731.71-5521.76-17202.632.141.760.0442305.95
546507.9331151648.3910537.5523902.44-6972.21-218521.511.420.031500.26
625367.431151648.3910183.9430452.67-7961.98-21951.221.281.20.015818.3
725507.9931151648.399674.3725308.64-7475.48-25609.761.291.210.016822.84
842704.2231161551.619428.3424691.36-7209.95-25609.761.311.390.0271377.56
981880.931181358.0610432.0127366.26-8145.8-24390.241.281.770.0472641.32
1054363.0831171454.8410428.9929253.11-8780.7-20731.711.191.440.031753.65
Although, strategy looks good but profit factor on day 2 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
200trail21.2421918.3151193237.256046.447946.64-2905.13-3888.032.081.240.021429.77
200nil21.2421287.5351193237.256046.447946.64-2924.84-3888.032.071.230.02417.4
200nil31.934897.5846123426.098932.2311845.21-3008.51-3973.322.971.050.0042106.47
200trail-12.354165.6348143429.177147.3919205.78-2820.52-3888.032.531.040.003486.78
atrnil27.236853.3930111936.6715789.9821940.27-8780.86-13843.361.81.040.0039228.45
200trail31.613961.3849153430.616725.8310469.14-2850.77-3888.032.361.040.003580.84
atrnil39.613154.642882028.5722468.9831308.53-8829.86-13843.362.541.020.0016112.67
atrtrail24.5-15966.936132336.1110207.6221940.27-6463.74-13169.441.580.89-0.0095-443.52
atrtrail34.92-21927.7136132336.119749.0932910.41-6463.74-13169.441.510.85-0.012-609.1
atrtrail-15.17-64726.5836132336.116456.8719933.15-6463.74-13169.4410.56-0.048-1797.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 37.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018403 Jan 2018 (3.18%), 30 Jan 2018 (-1.94%), 31 Jan 2018 (-1.83%), 01 Feb 2018 (-1.86%)
2015407 Dec 2015 (-1.46%), 16 Dec 2015 (3.74%), 28 Dec 2015 (-1.25%), 30 Dec 2015 (2.77%)
2013526 Nov 2013 (-1.89%), 28 Nov 2013 (2.29%), 29 Nov 2013 (2.92%), 02 Dec 2013 (-1.66%), 12 Dec 2013 (-1.29%)
2012222 Feb 2012 (-1.79%), 27 Feb 2012 (2.98%)
2011318 Apr 2011 (-1.13%), 29 Apr 2011 (-1.38%), 30 May 2011 (2.85%)
2010112 Apr 2010 (-1.77%)
2007512 Jan 2007 (3.49%), 27 Apr 2007 (-1.63%), 19 Jun 2007 (-1.24%), 27 Jun 2007 (-1.67%), 05 Jul 2007 (3.95%)
2006924 Apr 2006 (-1.23%), 20 Sep 2006 (-1.34%), 04 Oct 2006 (3.97%), 11 Oct 2006 (3.28%), 16 Nov 2006 (3.04%), 17 Nov 2006 (-1.07%), 21 Nov 2006 (-1.12%), 28 Nov 2006 (2.22%), 08 Dec 2006 (-1.54%)
2005609 May 2005 (-1.33%), 23 May 2005 (2.54%), 26 May 2005 (-1.08%), 10 Jun 2005 (-1.4%), 22 Jul 2005 (3.49%), 14 Dec 2005 (-1.04%)
2003405 Feb 2003 (-1.6%), 12 Feb 2003 (-1.46%), 18 Feb 2003 (2.69%), 28 Feb 2003 (3.04%)
2002223 Sep 2002 (-1.78%), 24 Sep 2002 (-1.16%)
2000303 Jan 2000 (-1.11%), 05 Jan 2000 (2.01%), 13 Jan 2000 (-1.89%)
1998207 Apr 1998 (3.0%), 23 Apr 1998 (-1.27%)
1997123 Jun 1997 (-1.27%)



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