Study: Buy RELIANCE when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy RELIANCE when near 200 SMA and 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 RELIANCE 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
149263.0482463656.12987.6314893.62-2449.11-7366.791.221.560.033600.77
259966.182503260.983810.5613483.27-4080.06-13822.710.931.460.029731.29
337309.0582493359.764689.8515281.41-5833.13-25541.960.81.190.014454.99
466723.3582463656.16525.3622638.92-6484.53-17718.041.011.290.02813.7
599239.6582513162.26656.5825949.25-7749.87-23603.650.861.410.0281210.24
689644.6982483458.547151.6232492.92-7459.8-26922.180.961.350.0231093.23
769976.8182503260.987068.531090.7-8857.75-28978.730.81.250.017853.38
815770282513162.27919.7633097.8-7942.12-2659511.640.0381923.19
913740782483458.548390.6436848.04-7804.23-25052.581.081.520.0321675.69
1015890282483458.549452.1534511.01-8670.62-28745.031.091.540.0341937.83
Although, strategy looks good but profit factor on day 3 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
200trail-14.58170872114447038.67966.7148945.29-2566.62-3951.883.11.950.041498.88
atrtrail-16.531562791004753478626.0440769.31-4700.84-16623.251.831.630.0351562.79
200trail33.27114334116457138.796617.0811576.15-2583.58-3951.882.561.620.04985.64
atrtrail35.911516271004753478527.0629629.31-4700.84-16623.251.811.610.0361516.27
atrtrail251383621004753478244.8334186.3-4700.84-16623.251.751.560.0341383.62
atrnil310.4515036174254933.7818480.8651279.45-6360.42-16623.252.911.480.0322031.9
200trail22.6685453.36118496941.535476.937717.43-2650.96-3951.882.071.470.035724.18
200nil34.1583105.66101336832.678844.6311354.87-3070.11-3971.142.881.40.029822.83
200nil22.9577811.11110466441.825981.837676.11-3083.64-3971.141.941.390.031707.37
atrnil26.8911266081334840.7412583.2634186.3-6303.9-16623.2521.370.0281390.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. 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 38.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
RELIANCE Performance, Profit Factor:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019425 Jul 2019 (-1.19%), 22 Aug 2019 (-1.62%), 30 Aug 2019 (-1.31%), 20 Sep 2019 (-1.24%)
2018125 Oct 2018 (6.29%)
2017220 Jan 2017 (0.4%), 07 Feb 2017 (24.47%)
20161015 Feb 2016 (-1.15%), 17 Feb 2016 (-1.68%), 23 Feb 2016 (-1.23%), 03 May 2016 (-0.78%), 17 May 2016 (-1.4%), 30 May 2016 (-1.61%), 09 Jun 2016 (-0.13%), 01 Jul 2016 (3.38%), 03 Aug 2016 (1.69%), 08 Dec 2016 (2.61%)
2015315 Oct 2015 (4.4%), 18 Nov 2015 (5.74%), 09 Dec 2015 (8.98%)
2014408 Jan 2014 (2.85%), 09 Oct 2014 (-1.17%), 10 Oct 2014 (-1.21%), 10 Nov 2014 (0.62%)
20131221 Mar 2013 (-1.81%), 25 Apr 2013 (-1.86%), 06 May 2013 (-0.95%), 15 May 2013 (0.18%), 27 May 2013 (-0.38%), 17 Jun 2013 (-1.35%), 27 Jun 2013 (3.62%), 03 Oct 2013 (4.91%), 12 Nov 2013 (1.6%), 21 Nov 2013 (-1.41%), 28 Nov 2013 (2.57%), 16 Dec 2013 (4.86%)
2012503 Feb 2012 (-1.28%), 15 Feb 2012 (-1.84%), 22 Feb 2012 (-1.75%), 13 Mar 2012 (-1.23%), 16 Nov 2012 (6.06%)
2011414 Mar 2011 (-1.15%), 25 Mar 2011 (0.29%), 08 Apr 2011 (-1.81%), 13 Apr 2011 (-1.67%)
20101327 Jan 2010 (-0.23%), 03 Feb 2010 (-1.48%), 14 May 2010 (-1.03%), 31 May 2010 (-1.1%), 11 Jun 2010 (0.38%), 24 Jun 2010 (0.36%), 07 Jul 2010 (0.37%), 19 Jul 2010 (-0.93%), 20 Sep 2010 (-1.36%), 07 Oct 2010 (0.48%), 15 Oct 2010 (3.45%), 13 Dec 2010 (0.57%), 28 Dec 2010 (1.52%)
2009103 Nov 2009 (16.04%)
2008328 Mar 2008 (-1.08%), 08 Apr 2008 (8.99%), 26 May 2008 (-1.81%)
2006325 Jan 2006 (1.88%), 03 Feb 2006 (1.61%), 15 Feb 2006 (2.84%)
2005418 Apr 2005 (3.31%), 18 May 2005 (-1.64%), 23 May 2005 (-0.1%), 02 Jun 2005 (2.96%)
2004317 Sep 2004 (-1.11%), 13 Dec 2004 (-1.21%), 14 Dec 2004 (-1.94%)
2003323 Apr 2003 (-0.82%), 28 Apr 2003 (-1.33%), 20 May 2003 (13.04%)
20021104 Jan 2002 (-1.18%), 16 Jan 2002 (-1.72%), 29 Jan 2002 (-1.51%), 15 Feb 2002 (-0.09%), 21 Feb 2002 (0.21%), 04 Mar 2002 (-1.49%), 07 Mar 2002 (-1.45%), 15 Mar 2002 (-1.29%), 02 Apr 2002 (-1.01%), 04 Apr 2002 (-1.11%), 20 Nov 2002 (4.83%)
2001523 Apr 2001 (-1.28%), 26 Apr 2001 (-1.53%), 10 May 2001 (-1.14%), 27 Jun 2001 (-0.45%), 02 Jul 2001 (-1.46%)
2000608 Mar 2000 (-1.91%), 09 Mar 2000 (-1.04%), 16 Mar 2000 (-1.98%), 12 Oct 2000 (-1.88%), 29 Nov 2000 (4.39%), 26 Dec 2000 (7.83%)
1999613 Jan 1999 (-1.36%), 27 Jan 1999 (-1.03%), 18 Feb 1999 (0.88%), 22 Feb 1999 (4.48%), 24 Mar 1999 (-1.96%), 06 Apr 1999 (-1.34%)
1998212 Mar 1998 (3.24%), 13 May 1998 (-1.82%)
1997326 Nov 1997 (-1.7%), 26 Dec 1997 (-1.0%), 30 Dec 1997 (1.75%)
1996625 Apr 1996 (-1.97%), 10 May 1996 (4.03%), 23 May 1996 (-0.59%), 31 May 1996 (0.31%), 18 Jun 1996 (-1.02%), 25 Oct 1996 (-1.14%)



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