Study: Buy RELCAPITAL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL 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 RELCAPITAL 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
1-60231.9338201852.635432.8525391.3-9382.72-38986.060.580.64-0.029-1585.05
2-27470.838231560.538359.3440695.65-14649.05-45836.80.570.87-0.0098-722.92
3-22791.7838201852.6311695.0846277.16-14260.75-32588.040.820.91-0.0069-599.78
416144.8638211755.2613760.9957355.94-16049.17-42607.90.861.060.0042424.86
557852.893819195018139.0975838.64-15094.2-38815.521.21.20.0131522.44
614904138211755.2620875.7397919.32-17020.55-35094.591.231.520.033922.13
718808238231560.5319406.0297494.69-17217.08-30006.521.131.730.0394949.53
817002738182047.3724997.1791380.04-13996.09-34322.081.791.610.0354474.4
912757538182047.3725954.8791889.6-16980.61-39464.411.531.380.0253357.25
1015610238201852.6325608.6679490.45-19781.73-40611.961.291.440.034107.95
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-15.6126564964263840.6223240.8481858.75-8910.86-26334.622.611.780.0394150.76
atrtrail34.7515100764263840.6218831.5458859.94-8910.86-26334.622.111.450.0272359.49
atrtrail23.8312816364263840.6217952.949912.8-8910.86-26334.622.011.380.0262002.54
atrnil24.6992999.661223936.0723270.3149912.8-10742.24-27413.432.171.220.0171524.58
atrnil37.9391717.8255154027.2735763.0558859.94-11118.2-27413.433.221.210.0151667.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 40.62%, which is not acceptable. Avoid this strategy. Average return per trade is 2.08%, which is very good. Sharpe Ratio is 0.039, 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.
RELCAPITAL Performance, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017424 May 2017 (-1.46%), 29 May 2017 (18.08%), 22 Sep 2017 (-4.76%), 25 Sep 2017 (-5.31%)
2016327 Oct 2016 (-2.22%), 02 Nov 2016 (-3.07%), 09 Nov 2016 (0.23%)
2014713 Aug 2014 (0.74%), 27 Aug 2014 (-1.1%), 16 Sep 2014 (-1.51%), 22 Sep 2014 (-3.41%), 23 Sep 2014 (-3.67%), 24 Sep 2014 (-3.87%), 25 Sep 2014 (-1.42%)
2013424 Jan 2013 (-0.49%), 07 Feb 2013 (-2.86%), 13 Feb 2013 (-3.53%), 14 Feb 2013 (0.38%)
2012426 Oct 2012 (-3.6%), 30 Oct 2012 (-3.85%), 31 Oct 2012 (2.59%), 16 Nov 2012 (20.52%)
2010112 Nov 2010 (-2.75%)
2009606 Jul 2009 (-8.05%), 08 Jul 2009 (-7.79%), 19 Aug 2009 (12.52%), 26 Oct 2009 (-3.54%), 27 Oct 2009 (-4.19%), 29 Oct 2009 (-1.97%)
2008318 Jan 2008 (-6.5%), 21 Jan 2008 (-9.76%), 11 Feb 2008 (21.94%)
2007305 Mar 2007 (4.72%), 16 Aug 2007 (-5.23%), 17 Aug 2007 (-0.93%)
2006112 Dec 2006 (2.32%)
2005717 Mar 2005 (-4.33%), 22 Mar 2005 (15.2%), 28 Apr 2005 (9.3%), 21 Sep 2005 (-4.04%), 22 Sep 2005 (6.03%), 14 Oct 2005 (-1.3%), 27 Oct 2005 (21.46%)
2004322 Mar 2004 (-4.85%), 23 Mar 2004 (35.33%), 17 May 2004 (21.07%)
2003420 Jan 2003 (1.34%), 24 Jan 2003 (-3.14%), 18 Sep 2003 (15.7%), 28 Oct 2003 (24.06%)
2002303 Apr 2002 (3.75%), 29 Apr 2002 (3.36%), 17 May 2002 (-3.72%)
2000631 Jan 2000 (40.93%), 21 Mar 2000 (-11.99%), 24 Mar 2000 (5.0%), 04 Apr 2000 (-13.17%), 06 Apr 2000 (8.76%), 24 Apr 2000 (-9.68%)
1999215 Sep 1999 (-6.42%), 21 Sep 1999 (6.69%)
1997315 Sep 1997 (-4.72%), 18 Sep 1997 (-5.1%), 22 Sep 1997 (0.1%)



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