Study: Buy RELIANCE when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy RELIANCE when there is Golden Cross (50 DMA > 200 DMA)" 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
1-10267.811810855.561884.633782-3639.26-11543.580.520.65-0.031-570.43
2-20177.491881044.444281.348059.3-5442.82-18170.680.790.63-0.037-1120.97
3-12538.831899504435.117298.99-5828.32-21296.280.760.76-0.02-696.6
4-17138.461871138.895786.7810827.23-5240.54-15357.651.10.7-0.027-952.14
5-20035.181881044.444731.4810109.1-5788.7-14597.370.820.65-0.034-1113.07
6-57734.131871138.895088.6310854.85-8486.77-19225.190.60.38-0.077-3207.45
7-66795.931851327.786251.518617.59-7542.57-17142.860.830.32-0.096-3710.88
8-62826.591871138.897307.2818310.32-10361.59-19343.130.710.45-0.069-3490.37
9-81011.451851327.7810525.4826609.61-10279.91-22591.361.020.39-0.078-4500.64
10-74149.051871138.898001.0821902.35-11832.42-24584.720.680.43-0.069-4119.39
Although, strategy looks good but profit factor on day 2 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
atrnil35.7510092.45206143015923.0427078.47-6103.27-10958.892.611.120.0096504.62
atrnil24.85-21753.64206143010615.3618052.31-6103.27-10958.891.740.75-0.027-1087.68
atrtrail34-30140.122161528.577065.3518397.19-4835.48-10958.891.460.58-0.043-1435.24
atrtrail23.71-30435.492161528.577016.1212264.79-4835.48-10958.891.450.58-0.048-1449.31
atrtrail-14.57-38539.052161528.575665.5321632.68-4835.48-10958.891.170.47-0.057-1835.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0096, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016105 Aug 2016 (5.26%)
2015203 Jul 2015 (-2.04%), 26 Nov 2015 (-2.15%)
2014116 Apr 2014 (6.1%)
2013117 Jul 2013 (-2.5%)
2012105 Sep 2012 (6.42%)
2010306 Apr 2010 (-2.16%), 10 Nov 2010 (-2.2%), 11 Nov 2010 (-2.32%)
2009218 May 2009 (-4.59%), 19 May 2009 (-5.48%)
2004129 Oct 2004 (9.2%)
2002226 Feb 2002 (-2.64%), 26 Dec 2002 (-2.51%)
2001117 Jan 2001 (7.25%)
1999103 Mar 1999 (-4.14%)
1998222 Apr 1998 (-3.19%), 23 Apr 1998 (-3.38%)
1997105 Feb 1997 (13.54%)
1996107 Jun 1996 (-3.43%)



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