Study: Buy RCOM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy RCOM 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 RCOM 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
1-54296.2585364942.356123.0226428.57-5606.63-30645.161.090.8-0.023-638.78
247423.3385404547.0610159.2264516.13-7976.57-380001.271.130.012557.92
3-42892.7385404547.0611047.8646774.19-10773.49-45333.331.030.91-0.0095-504.62
4-49150.885394645.8811883.5643767.31-11143.69-65333.331.070.9-0.01-578.24
5-74079.4985355041.1813921.1672463.77-11226.4-440001.240.87-0.014-871.52
6-12366885364942.3515007.3472463.77-13549.63-65793.781.110.81-0.02-1454.92
7-19419085384744.7115302.8872463.77-16504.24-69067.10.930.75-0.03-2284.58
8-2916778534514016453.4566666.67-16688.12-69721.770.990.66-0.045-3431.49
9-31613985355041.1816815.9267632.85-18093.92-64157.120.930.65-0.047-3719.28
10-27475285404547.0616273.2974396.14-20570.76-64811.780.790.7-0.038-3232.38
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
atrtrail-15.07-44220.891744812627.5922744.61162038-9015.57-34335.342.520.96-0.0034-254.14
atrnil37.14-1356521543412022.0837379.3488280.59-11721.25-34335.343.190.9-0.011-880.86
atrtrail34.44-1869281744812627.5919771.5483142.56-9015.57-34335.342.190.84-0.018-1074.3
atrtrail23.98-2023041744812627.5919451.258853.73-9015.57-34335.342.160.82-0.022-1162.67
atrnil25.62-3282091564011625.6425377.158853.73-11580.11-34335.342.190.76-0.034-2103.9

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 27.59%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:0.961

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181616 Apr 2018 (-6.99%), 24 Apr 2018 (-8.18%), 26 Apr 2018 (-8.71%), 30 Apr 2018 (-5.21%), 10 May 2018 (-9.62%), 15 May 2018 (-11.05%), 16 May 2018 (38.09%), 27 Jun 2018 (-2.81%), 13 Jul 2018 (-7.04%), 16 Jul 2018 (56.53%), 11 Sep 2018 (-0.92%), 19 Sep 2018 (-8.44%), 21 Sep 2018 (-10.18%), 24 Sep 2018 (-5.96%), 08 Oct 2018 (-2.63%), 25 Oct 2018 (27.83%)
20172312 Jan 2017 (-3.27%), 13 Jan 2017 (-0.38%), 23 Jan 2017 (12.97%), 13 Apr 2017 (-3.88%), 17 Apr 2017 (-1.94%), 03 May 2017 (-3.77%), 05 May 2017 (2.11%), 19 May 2017 (-3.63%), 23 May 2017 (-4.34%), 24 May 2017 (-4.98%), 29 May 2017 (-8.05%), 07 Jun 2017 (7.5%), 10 Aug 2017 (-5.85%), 13 Sep 2017 (-4.99%), 15 Sep 2017 (-5.42%), 27 Sep 2017 (-1.59%), 03 Oct 2017 (-6.0%), 11 Oct 2017 (2.73%), 26 Oct 2017 (3.31%), 07 Nov 2017 (-5.84%), 10 Nov 2017 (-6.96%), 13 Nov 2017 (-8.65%), 15 Nov 2017 (26.54%)
20161520 Jan 2016 (-7.1%), 27 Jan 2016 (-7.13%), 03 Feb 2016 (-4.42%), 11 Feb 2016 (-7.53%), 16 May 2016 (-3.73%), 24 May 2016 (-0.12%), 16 Aug 2016 (9.03%), 29 Sep 2016 (8.81%), 04 Nov 2016 (-0.68%), 09 Nov 2016 (-0.53%), 15 Nov 2016 (-4.5%), 21 Nov 2016 (-4.76%), 22 Nov 2016 (2.9%), 23 Dec 2016 (-4.0%), 26 Dec 2016 (1.42%)
20151207 Jan 2015 (-4.05%), 14 Jan 2015 (4.97%), 05 Feb 2015 (-4.56%), 09 Feb 2015 (6.25%), 02 Mar 2015 (-2.95%), 09 Mar 2015 (6.05%), 24 Mar 2015 (-5.0%), 27 Mar 2015 (19.6%), 03 Jun 2015 (-3.67%), 13 Aug 2015 (-2.43%), 24 Aug 2015 (-7.57%), 13 Nov 2015 (20.24%)
20141710 Jan 2014 (0.3%), 30 Jan 2014 (4.53%), 21 Feb 2014 (-3.24%), 30 Apr 2014 (-3.96%), 05 May 2014 (4.9%), 09 Jul 2014 (-4.54%), 10 Jul 2014 (2.57%), 13 Aug 2014 (0.08%), 27 Aug 2014 (-0.87%), 04 Sep 2014 (-4.04%), 12 Sep 2014 (-2.79%), 17 Sep 2014 (-1.74%), 25 Sep 2014 (-0.72%), 08 Dec 2014 (-4.63%), 11 Dec 2014 (-4.87%), 15 Dec 2014 (-5.17%), 22 Dec 2014 (-5.12%)
2013428 Feb 2013 (6.15%), 20 Mar 2013 (-6.38%), 22 Mar 2013 (-6.83%), 26 Mar 2013 (81.02%)
20121528 Mar 2012 (-1.49%), 23 Apr 2012 (-4.78%), 26 Apr 2012 (-4.0%), 04 May 2012 (-2.76%), 08 May 2012 (-5.29%), 14 May 2012 (-3.87%), 22 May 2012 (-0.06%), 05 Jun 2012 (6.01%), 24 Jul 2012 (-4.14%), 26 Jul 2012 (-4.54%), 27 Jul 2012 (2.7%), 27 Aug 2012 (-4.42%), 29 Aug 2012 (0.51%), 25 Oct 2012 (-4.45%), 30 Oct 2012 (4.76%)
20112127 Jan 2011 (-4.46%), 31 Jan 2011 (-4.48%), 02 Feb 2011 (-3.8%), 08 Feb 2011 (-5.11%), 09 Feb 2011 (-5.13%), 25 Feb 2011 (22.95%), 28 Apr 2011 (-3.7%), 04 May 2011 (-4.36%), 05 May 2011 (-1.66%), 18 May 2011 (-4.33%), 23 May 2011 (9.86%), 21 Jul 2011 (14.56%), 08 Aug 2011 (-5.24%), 09 Aug 2011 (-2.19%), 16 Aug 2011 (-6.28%), 19 Aug 2011 (3.43%), 26 Aug 2011 (16.99%), 30 Sep 2011 (3.5%), 21 Nov 2011 (9.42%), 16 Dec 2011 (-5.9%), 20 Dec 2011 (10.9%)
20102328 Jan 2010 (-3.86%), 02 Feb 2010 (-2.7%), 04 Feb 2010 (-0.71%), 24 Feb 2010 (1.78%), 30 Apr 2010 (-2.48%), 05 May 2010 (-2.75%), 07 May 2010 (-2.5%), 11 May 2010 (-3.51%), 17 May 2010 (-1.34%), 19 May 2010 (3.5%), 03 Aug 2010 (-1.33%), 13 Aug 2010 (-3.31%), 16 Aug 2010 (-1.49%), 26 Aug 2010 (-1.95%), 31 Aug 2010 (2.28%), 12 Nov 2010 (-3.11%), 15 Nov 2010 (-3.27%), 16 Nov 2010 (-3.75%), 18 Nov 2010 (-4.41%), 24 Nov 2010 (-4.6%), 25 Nov 2010 (-4.98%), 26 Nov 2010 (-5.34%), 09 Dec 2010 (16.4%)
20091109 Jan 2009 (-11.45%), 13 Jan 2009 (-1.38%), 23 Jan 2009 (-4.06%), 20 Feb 2009 (-4.63%), 02 Mar 2009 (-7.3%), 09 Mar 2009 (19.42%), 14 Oct 2009 (-3.63%), 26 Oct 2009 (-6.2%), 27 Oct 2009 (-6.74%), 29 Oct 2009 (-7.25%), 30 Oct 2009 (-6.28%)
20081713 Feb 2008 (0.94%), 03 Mar 2008 (-6.7%), 13 Mar 2008 (-4.06%), 17 Mar 2008 (4.65%), 20 Jun 2008 (-5.06%), 24 Jun 2008 (1.59%), 30 Jun 2008 (-6.54%), 01 Jul 2008 (-2.57%), 03 Jul 2008 (3.33%), 19 Aug 2008 (-2.06%), 28 Aug 2008 (-0.03%), 15 Sep 2008 (-5.08%), 18 Sep 2008 (-0.6%), 06 Oct 2008 (-8.43%), 10 Oct 2008 (5.01%), 24 Oct 2008 (-17.17%), 20 Nov 2008 (24.99%)



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