Study: Buy NIFTY when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy NIFTY when above 200 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
14991.7933141942.421702.014064.31-991.39-4770.571.721.270.028151.27
230799.2133211263.642472.554454.91-1760.37-9979.511.42.460.11933.31
329591.533191457.583180.975681.24-2203.35-9397.461.441.960.085896.71
430609.7233191457.583663.877931.22-2785.99-10263.161.321.780.076927.57
526980.8933211263.643285.379248.62-3500.99-7333.590.941.640.068817.6
624938.1833191457.583908.547857.32-3523.15-11486.21.111.510.056755.7
721711.8733191457.583915.168023.81-3762.59-8874.541.041.410.048657.94
822753.4333171651.524384.6413469.97-3236.59-8800.291.351.440.046689.5
933197.5533171651.525249.1514708.08-3502.37-9546.311.51.590.061005.99
1032001.9533181554.555207.7714816.34-4115.86-9684.211.271.520.053969.76
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
NIFTY Performance, X=2, Profit Factor:2.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 May 2019 (-1.71%), 08 Jul 2019 (-0.52%), 22 Jul 2019 (-0.66%)
2018506 Feb 2018 (0.75%), 06 Mar 2018 (-0.06%), 23 May 2018 (1.68%), 11 Sep 2018 (2.02%), 03 Oct 2018 (-4.99%)
2017527 Jun 2017 (-0.08%), 11 Aug 2017 (1.92%), 27 Sep 2017 (0.54%), 15 Nov 2017 (1.64%), 06 Dec 2017 (2.21%)
2016329 Sep 2016 (1.71%), 17 Oct 2016 (1.63%), 03 Nov 2016 (0.14%)
2015213 Mar 2015 (0.87%), 24 Apr 2015 (-0.24%)
2014427 Jan 2014 (-0.25%), 25 Sep 2014 (0.59%), 16 Oct 2014 (1.69%), 11 Dec 2014 (-0.88%)
2013407 Feb 2013 (-0.69%), 21 Feb 2013 (0.04%), 21 Mar 2013 (-0.44%), 12 Nov 2013 (0.63%)
2012506 Mar 2012 (2.13%), 26 Mar 2012 (0.2%), 05 Sep 2012 (2.23%), 30 Oct 2012 (0.84%), 16 Nov 2012 (-0.04%)
2011110 Jan 2011 (1.74%)
2010119 Nov 2010 (0.75%)

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
atrtrail-15.4778629.8953282552.83448318205.42-1875.77-3106.882.392.680.111483.58
atrtrail34.3257345.3353282552.833722.848322.8-1875.77-3106.881.982.220.11081.99
atrtrail23.4548395.2553282552.833403.197927.08-1875.77-3106.881.812.030.095913.12
atrnil37.0932170.2947163134.046767.9411890.61-2455.38-3799.642.761.420.049684.47
atrnil24.3721633.9151213041.184575.577927.08-2481.77-3890.191.841.290.038424.19

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. 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 52.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, which is not very high, 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:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019707 May 2019 (-1.02%), 08 May 2019 (-1.05%), 13 May 2019 (4.73%), 08 Jul 2019 (0.08%), 19 Jul 2019 (-1.11%), 24 Jul 2019 (-0.97%), 29 Jul 2019 (-1.12%)
2018706 Feb 2018 (-0.6%), 06 Mar 2018 (0.49%), 23 May 2018 (1.53%), 11 Sep 2018 (1.0%), 19 Sep 2018 (-1.06%), 21 Sep 2018 (-1.3%), 03 Oct 2018 (-1.47%)
2017527 Jun 2017 (3.54%), 11 Aug 2017 (1.08%), 27 Sep 2017 (4.22%), 15 Nov 2017 (1.98%), 06 Dec 2017 (1.88%)
2016529 Sep 2016 (1.01%), 17 Oct 2016 (1.2%), 03 Nov 2016 (-0.96%), 04 Nov 2016 (0.31%), 11 Nov 2016 (-1.55%)
2015413 Mar 2015 (-0.51%), 20 Mar 2015 (-1.38%), 26 Mar 2015 (4.61%), 24 Apr 2015 (-1.47%)
2014927 Jan 2014 (-1.15%), 30 Jan 2014 (-0.88%), 03 Feb 2014 (0.3%), 25 Sep 2014 (-0.46%), 07 Oct 2014 (0.23%), 16 Oct 2014 (9.1%), 11 Dec 2014 (-0.96%), 16 Dec 2014 (-1.09%), 17 Dec 2014 (2.47%)
2013707 Feb 2013 (-0.86%), 08 Feb 2013 (-0.36%), 21 Feb 2013 (-0.85%), 26 Feb 2013 (-0.37%), 28 Feb 2013 (3.26%), 21 Mar 2013 (0.29%), 12 Nov 2013 (1.67%)
2012506 Mar 2012 (2.88%), 26 Mar 2012 (-0.8%), 05 Sep 2012 (6.18%), 30 Oct 2012 (1.87%), 16 Nov 2012 (4.85%)
2011210 Jan 2011 (0.03%), 14 Jan 2011 (-0.1%)
2010219 Nov 2010 (0.23%), 25 Nov 2010 (1.72%)



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