Study: Buy NIFTY when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy NIFTY when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy NIFTY 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
1-24751.9455243143.641063.352765.99-1621.69-5992.790.660.51-0.08-450.04
2-19942.0755253045.451879.444136.67-2230.94-7074.250.840.7-0.045-362.58
3-33070.4255253045.452256.195681.24-2982.5-7179.790.760.63-0.063-601.28
4-30428.1455243143.642406.046547.94-2844.29-7558.040.850.65-0.055-553.24
5-18437.6155262947.272929.576638.24-3262.29-15766.810.90.81-0.027-335.23
6-19157.1655253045.453485.88161.68-3543.4-14075.240.980.82-0.025-348.31
71300.9955312456.363680.428931.61-4699.67-16171.420.781.010.001523.65
811692.87553322603717.8811010.17-5045.32-12465.050.741.110.013212.6
927764.9155322358.184379.6611352.87-4886.28-13149.390.91.250.029504.82
1042637.04553322604548.1610533.29-4884.19-11937.760.931.40.044775.22
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
50trail-18.4957463.3663263741.275735.0216409.75-2476.95-3891.062.321.630.057912.12
50nil311.5636750.4641132831.719526.7111919.65-3110.6-3961.473.061.420.048896.35
50trail36.5433308.5163263741.274805.9910727.72-2476.95-3891.061.941.360.041528.71
50nil27.2431565.2749202940.826073.017946.43-3099.83-3961.471.961.350.045644.19
atrtrail-14.830705.3181324939.513829.512481.59-1874.26-3444.082.041.330.034379.08
atrtrail33.9818702.1681324939.513454.49012.96-1874.26-3444.081.841.20.023230.89
50trail25.316906.6563263741.274175.147946.43-2476.95-3891.061.691.180.023268.36
atrtrail23.339109.4181324939.513154.636606.29-1874.26-3444.081.681.10.013112.46
atrnil24.547293.0663224134.924542.16432.37-2259.35-3647.872.011.080.011115.76
atrnil36.631989.4954144025.936696.599012.96-2294.07-3647.872.921.020.002936.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 41.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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.
NIFTY Performance, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019724 Jan 2019 (-1.68%), 01 Feb 2019 (0.36%), 11 Feb 2019 (-1.59%), 25 Feb 2019 (4.67%), 07 May 2019 (-1.95%), 18 Jun 2019 (0.97%), 05 Jul 2019 (-1.72%)
2018808 Feb 2018 (-1.16%), 12 Apr 2018 (2.06%), 21 May 2018 (0.55%), 05 Jun 2018 (1.33%), 19 Jun 2018 (-0.61%), 29 Jun 2018 (8.2%), 11 Sep 2018 (0.25%), 19 Nov 2018 (-1.27%)
2017927 Jun 2017 (2.99%), 10 Aug 2017 (-0.36%), 18 Aug 2017 (1.99%), 22 Sep 2017 (-1.11%), 06 Oct 2017 (3.31%), 14 Nov 2017 (0.71%), 30 Nov 2017 (-1.42%), 08 Dec 2017 (-0.84%), 14 Dec 2017 (-0.35%)
2016226 Sep 2016 (-1.23%), 03 Oct 2016 (-1.02%)
2015705 Jan 2015 (-1.7%), 09 Feb 2015 (2.37%), 10 Mar 2015 (-0.76%), 17 Mar 2015 (-1.5%), 09 Apr 2015 (-1.18%), 01 Jun 2015 (-1.02%), 17 Aug 2015 (-1.51%)
20141002 Jan 2014 (0.52%), 24 Feb 2014 (7.6%), 11 Jul 2014 (3.14%), 01 Aug 2014 (-0.27%), 11 Aug 2014 (5.5%), 25 Sep 2014 (-0.69%), 09 Oct 2014 (-1.6%), 22 Oct 2014 (5.8%), 11 Dec 2014 (-1.91%), 22 Dec 2014 (-1.85%)
20131004 Feb 2013 (-1.56%), 08 Mar 2013 (-1.05%), 18 Apr 2013 (4.15%), 04 Jun 2013 (-1.6%), 11 Jul 2013 (-0.24%), 16 Jul 2013 (0.76%), 25 Jul 2013 (-1.04%), 12 Nov 2013 (1.67%), 26 Nov 2013 (3.67%), 13 Dec 2013 (1.08%)
2012719 Mar 2012 (-1.02%), 03 Apr 2012 (-1.63%), 12 Jun 2012 (-1.4%), 19 Jun 2012 (2.81%), 23 Jul 2012 (-1.28%), 29 Aug 2012 (7.68%), 15 Nov 2012 (-1.25%)
2011105 Jan 2011 (-1.94%)
2010212 Nov 2010 (-1.53%), 29 Dec 2010 (0.42%)



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