Study: Buy NIITTECH 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 NIITTECH 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 NIITTECH 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
1-66905.8557292850.881590.13944.08-4036.38-10030.40.390.41-0.084-1173.79
2-73609.857243342.113453.3117652.41-4742.1-21175.280.730.53-0.054-1291.4
324732.6557273047.377629.5643857.97-6042.18-23404.261.261.140.0095433.91
472968.6457302752.638965.7150191.94-7259.36-42458.91.241.370.0251280.15
512634957312654.3910410.857197.7-7553.32-49128.661.381.640.0372216.64
614929057312654.3911949.9452399.23-8506.09-64355.871.41.680.0412619.12
712747257312654.3912515.6650123.49-10019.75-70664.511.251.490.0332236.35
815145257352261.412056.350331.47-12296.3-77520.310.981.560.0372657.05
920651557322556.1415312.1359560.64-11338.91-86646.791.351.730.0443623.08
1021398857362163.1613527.3760844.53-12999.87-74904.931.041.780.0473754.17
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-13.6616597386236326.7414740.4849140.78-2746.96-3959.235.371.960.0461929.91
atrtrail-17.1916511369264337.6816955.4258090.45-6412.28-11460.882.641.60.042392.94
atrnil39.0416498856193733.9324279.7533509.06-8008.85-11460.883.031.560.0482946.21
atrtrail35.810709769274239.1313851.5633509.06-6354.65-11460.882.181.40.0321552.13
atrnil27.3349972.2660233738.3315000.3922339.37-7973.97-11460.881.881.170.018832.87
atrtrail25.2745099.217028424011220.4722339.37-6406.52-11460.881.751.170.017644.27
50trail32.5626533.01902763307381.0511229.15-2742.15-3959.232.691.150.015294.81
50nil33.4525885.6377215627.279310.7511956.88-3029.29-3959.233.071.150.015336.18
50trail22.0515763.2193316233.336013.347975.66-2752.43-3959.232.181.090.01169.5
50nil22.454560.1188295932.956256.037975.66-2997.71-3988.312.091.030.00351.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 26.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
NIITTECH Performance, Profit Factor:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020105 Mar 2020 (-1.83%)
20191407 Jan 2019 (-1.36%), 26 Mar 2019 (1.18%), 04 Apr 2019 (-1.65%), 18 Apr 2019 (-1.07%), 26 Apr 2019 (-1.06%), 30 May 2019 (1.03%), 19 Jun 2019 (1.41%), 08 Jul 2019 (-1.86%), 10 Jul 2019 (1.55%), 13 Aug 2019 (-1.38%), 14 Aug 2019 (-1.67%), 03 Oct 2019 (11.7%), 09 Dec 2019 (-1.26%), 11 Dec 2019 (5.22%)
2018405 Jul 2018 (-1.62%), 19 Jul 2018 (10.95%), 19 Sep 2018 (-1.27%), 27 Dec 2018 (-1.4%)
2017318 Jul 2017 (-1.42%), 12 Dec 2017 (-1.79%), 26 Dec 2017 (6.99%)
2015906 May 2015 (-1.18%), 18 May 2015 (-0.27%), 25 May 2015 (4.02%), 09 Jul 2015 (24.57%), 24 Aug 2015 (-1.98%), 03 Sep 2015 (-1.93%), 24 Sep 2015 (-1.08%), 30 Sep 2015 (-1.5%), 29 Dec 2015 (-1.49%)
2014510 Mar 2014 (-1.05%), 02 May 2014 (-1.1%), 09 May 2014 (-1.77%), 04 Jun 2014 (-1.85%), 06 Jun 2014 (7.55%)
2013122 Oct 2013 (11.97%)
20121410 Jan 2012 (-1.15%), 13 Jan 2012 (-1.65%), 16 Jan 2012 (5.78%), 25 Apr 2012 (-1.86%), 04 May 2012 (-1.33%), 26 Jun 2012 (-1.07%), 28 Jun 2012 (1.26%), 17 Jul 2012 (-1.32%), 23 Jul 2012 (-1.08%), 31 Aug 2012 (-1.06%), 04 Sep 2012 (-1.98%), 05 Oct 2012 (-1.05%), 15 Oct 2012 (-1.56%), 07 Nov 2012 (-1.47%)
20111304 Jan 2011 (-1.57%), 12 Jan 2011 (-1.61%), 13 Jan 2011 (-1.32%), 14 Jan 2011 (-1.43%), 28 Feb 2011 (-1.39%), 17 Aug 2011 (-1.04%), 22 Sep 2011 (-1.72%), 23 Sep 2011 (-1.31%), 12 Oct 2011 (5.7%), 14 Nov 2011 (-1.44%), 17 Nov 2011 (-1.14%), 24 Nov 2011 (-1.13%), 28 Nov 2011 (-1.26%)
20101022 Feb 2010 (-1.81%), 03 Mar 2010 (-1.04%), 06 Apr 2010 (-1.03%), 13 Apr 2010 (2.42%), 19 Apr 2010 (5.26%), 30 Jul 2010 (0.9%), 12 Aug 2010 (1.54%), 25 Aug 2010 (-1.3%), 30 Aug 2010 (0.64%), 15 Nov 2010 (-1.82%)
2009211 Aug 2009 (-1.68%), 12 Aug 2009 (22.02%)
2007204 May 2007 (17.81%), 27 Jun 2007 (-0.66%)
2006323 Feb 2006 (-0.89%), 25 Sep 2006 (-0.56%), 10 Oct 2006 (-1.39%)
2005527 Jul 2005 (-1.49%), 25 Aug 2005 (-1.18%), 29 Aug 2005 (18.04%), 18 Oct 2005 (-1.46%), 29 Nov 2005 (-1.46%)



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