Study: Buy RELINFRA 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 RELINFRA 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 RELINFRA 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
1-39259.3769294042.033509.9624012.76-3526.2-15970.0310.72-0.022-568.98
2-99041.4269264337.683733.1119824.49-4560.52-15032.260.820.49-0.053-1435.38
3-92896.269274239.135008.9524531.31-5431.86-19505.020.920.59-0.039-1346.32
4-347669343549.286151.0934929.02-6074.66-24132.191.010.98-0.0011-50.38
525909.5369303943.488709.3637702.21-6035.16-34937.151.441.110.0071375.5
689927.869353450.728123.8144882.25-5717.81-28369.271.421.460.0261303.3
710471.269333647.837887.8737273.55-6939.68-28598.821.141.040.003151.76
832653.369333647.839020.9741267.75-7362.19-36635.251.231.120.0081473.24
977281.1269363352.179295.3538224.64-7798.53-35772.491.191.30.0191120.02
10-40037.0869313844.939845.8943568.84-9085.78-26044.031.080.88-0.0092-580.25
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
atrnil26.66-41166.4779255431.6515305.8731704.54-7848.39-22503.121.950.9-0.0092-521.09
atrnil39.75-47311.369175224.6422155.1939724.81-8152.88-22503.122.720.89-0.01-685.67
50trail-12.62-40657.751222210018.0310567.6256528.58-2731.45-3992.933.870.85-0.0081-333.26
atrtrail-15.4-70235.790246626.6712409.8861512.08-5576.86-13330.782.230.81-0.014-780.4
atrtrail24.41-89373.190266428.8910629.7826483.21-5714.8-13330.781.860.76-0.024-993.03
atrtrail35.02-10015290246626.6711163.3739724.81-5576.86-13330.7820.73-0.024-1112.8
50trail31.91-95963.79124259920.167242.1811510.37-2798.16-3992.932.590.65-0.037-773.9
50nil32.07-104063120239719.178373.4411510.37-3058.27-3996.992.740.65-0.038-867.2
50trail21.66-111480127309723.625525.557724.2-2858.21-3992.931.930.6-0.048-877.79
50nil21.73-116558124309424.195706.387724.2-3061.16-3996.991.860.59-0.05-939.98

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 31.65%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELINFRA Performance, Profit Factor:0.903

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017110 Apr 2017 (5.33%)
2016618 Jan 2016 (-6.26%), 31 May 2016 (-3.18%), 13 Jun 2016 (-3.17%), 29 Jun 2016 (6.3%), 15 Sep 2016 (-3.63%), 04 Oct 2016 (-4.17%)
2014530 Jul 2014 (-4.39%), 02 Sep 2014 (-3.43%), 03 Nov 2014 (-3.57%), 10 Nov 2014 (-3.57%), 20 Nov 2014 (-3.76%)
2013324 Jan 2013 (-3.2%), 18 Dec 2013 (-3.18%), 20 Dec 2013 (-3.42%)
2012527 Mar 2012 (-5.7%), 11 Jun 2012 (9.13%), 23 Jul 2012 (-3.69%), 07 Aug 2012 (-3.65%), 14 Aug 2012 (-3.54%)
2010420 Jan 2010 (-3.02%), 22 Jul 2010 (-2.69%), 20 Sep 2010 (-2.65%), 27 Sep 2010 (-2.62%)
2009217 Jul 2009 (15.85%), 26 Oct 2009 (-4.32%)
2008125 Jan 2008 (-10.88%)
2007212 Apr 2007 (6.76%), 08 Jun 2007 (7.54%)
2006603 Feb 2006 (6.69%), 16 Feb 2006 (6.26%), 04 Apr 2006 (-2.89%), 17 Apr 2006 (-3.6%), 09 May 2006 (-3.92%), 20 Dec 2006 (8.42%)
2005110 Aug 2005 (-4.44%)
2004328 Apr 2004 (-3.71%), 20 Oct 2004 (-2.95%), 04 Nov 2004 (-2.47%)
2003805 Feb 2003 (-2.22%), 14 Feb 2003 (4.14%), 04 Mar 2003 (-3.43%), 16 Apr 2003 (-2.96%), 23 Apr 2003 (-3.13%), 29 Apr 2003 (-3.16%), 15 May 2003 (5.21%), 04 Jun 2003 (5.61%)
2002723 Jan 2002 (-3.5%), 30 Jan 2002 (6.98%), 25 Apr 2002 (-3.1%), 29 May 2002 (-3.29%), 11 Jun 2002 (-3.11%), 08 Aug 2002 (7.95%), 02 Sep 2002 (-3.56%)
2001118 Dec 2001 (7.63%)
2000316 Mar 2000 (-11.25%), 23 May 2000 (13.24%), 04 Jul 2000 (-5.4%)
1999610 Mar 1999 (-3.84%), 07 May 1999 (10.44%), 26 May 1999 (-6.3%), 23 Jul 1999 (-4.46%), 04 Aug 1999 (7.8%), 20 Sep 1999 (-6.67%)
1998123 Apr 1998 (-4.31%)
1997824 Feb 1997 (8.48%), 22 Apr 1997 (7.33%), 21 May 1997 (-2.97%), 28 May 1997 (5.5%), 20 Jun 1997 (-2.61%), 27 Jun 1997 (5.63%), 29 Jul 1997 (-2.27%), 04 Aug 1997 (-2.22%)
1996621 May 1996 (6.83%), 01 Jul 1996 (-4.36%), 04 Sep 1996 (-3.64%), 06 Nov 1996 (7.44%), 03 Dec 1996 (-4.48%), 12 Dec 1996 (8.84%)



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