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

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In this study, we evaluate the performance of strategy "Buy RELINFRA 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 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
199888.64754530604101.8619965.15-2823.17-8696.621.452.180.0531331.85
263863.0475403553.335414.4118387.55-4363.23-27207.691.241.420.025851.51
396140.1275383750.677945.7734195.61-5562.14-46322.381.431.470.0261281.87
414297975433257.339108.7352968.71-7771.75-52693.941.171.570.0291906.39
52498827542335612009.2457354.03-7712.29-57657.051.561.980.0453331.77
62187457542335612252.5942621.34-8965.58-56405.11.371.740.042916.59
71879877542335611991.2458018.25-9564.99-64185.111.251.60.0322506.5
822972475413454.6713686.4678683.18-9747.68-65772.411.41.690.0353062.98
918881375403553.3313725.4662907.43-10291.6-66264.251.331.520.0292517.5
101848587542335613863.5477640.16-12042.73-65079.371.151.470.0262464.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.18. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
RELINFRA Performance, X=1, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018222 Jan 2018 (1.42%), 17 Sep 2018 (-4.35%)
2017303 Feb 2017 (0.34%), 28 Jul 2017 (0.5%), 01 Sep 2017 (-2.72%)
2016218 Feb 2016 (1.08%), 01 Nov 2016 (-3.55%)
2015118 Nov 2015 (1.31%)
2014308 Oct 2014 (2.34%), 23 Oct 2014 (-1.91%), 02 Dec 2014 (-0.01%)
2013111 Oct 2013 (2.13%)
2012608 May 2012 (-2.94%), 30 Jul 2012 (-1.05%), 17 Sep 2012 (0.83%), 08 Oct 2012 (0.04%), 10 Dec 2012 (-0.26%), 24 Dec 2012 (0.75%)
2010613 Apr 2010 (0.32%), 28 Apr 2010 (0.99%), 03 Jun 2010 (0.89%), 11 Aug 2010 (-0.04%), 20 Sep 2010 (-1.0%), 04 Oct 2010 (2.92%)
2009118 Dec 2009 (-0.2%)
2007410 Jan 2007 (1.63%), 25 Jan 2007 (0.64%), 08 Mar 2007 (-1.77%), 04 Apr 2007 (2.46%)
2006413 Apr 2006 (2.89%), 12 May 2006 (-3.11%), 15 Nov 2006 (-0.53%), 13 Dec 2006 (3.08%)
2005407 Mar 2005 (0.44%), 08 Jun 2005 (1.3%), 26 Sep 2005 (-0.31%), 17 Nov 2005 (1.44%)
2004710 Jun 2004 (-1.18%), 30 Jun 2004 (0.45%), 14 Jul 2004 (-1.3%), 02 Aug 2004 (-0.12%), 17 Aug 2004 (0.65%), 20 Oct 2004 (-0.16%), 04 Nov 2004 (-0.9%)
2003503 Jan 2003 (0.73%), 20 Mar 2003 (-1.28%), 24 Apr 2003 (0.16%), 13 May 2003 (0.02%), 05 Jun 2003 (0.59%)
2002209 Sep 2002 (0.53%), 17 Dec 2002 (3.17%)
2001625 Jan 2001 (-1.81%), 28 May 2001 (8.53%), 17 Jul 2001 (-0.07%), 31 Jul 2001 (2.1%), 02 Nov 2001 (-3.62%), 26 Dec 2001 (2.28%)
2000204 Apr 2000 (2.51%), 31 Jul 2000 (-1.28%)
1999924 Feb 1999 (0.65%), 10 Mar 1999 (-2.89%), 17 Apr 1999 (4.02%), 07 May 1999 (1.95%), 31 May 1999 (-1.37%), 21 Jun 1999 (0.52%), 06 Aug 1999 (8.02%), 03 Nov 1999 (-1.05%), 25 Nov 1999 (-0.65%)
1998327 Feb 1998 (9.98%), 20 Mar 1998 (0.53%), 24 Apr 1998 (-0.92%)
1997101 Apr 1997 (4.16%)
1996327 Sep 1996 (0.03%), 18 Oct 1996 (6.93%), 10 Dec 1996 (4.02%)

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
nilnil-1199888.64754530604101.8619965.15-2823.17-8696.621.452.180.0531331.85
atrtrail35.2527730088394944.3214301.6269757.62-5723.74-10128.092.51.990.0483151.14
atrtrail-16.1122994588394944.3213087.4166967.35-5723.74-10128.092.291.820.042613.02
atrnil38.5928321370254535.7125318.9369757.62-7772.46-18732.723.261.810.0484045.89
200trail-13.36156535106277925.4713254.158050.66-2548.42-3998.045.21.780.0321476.75
atrtrail24.6917713688394944.3211733.3146505.08-5723.74-10128.092.051.630.0392012.91
200trail32.1798797.96109377233.947968.511631.07-2722.73-3998.042.931.50.035906.4
atrnil26.9715363973304341.116310.1846505.08-7806.2-18732.722.091.460.0342104.64
200nil32.2484547.34105366934.298083.8211631.07-2992.32-3999.642.71.410.031805.21
200trail21.8615246.55111407136.045289.967754.05-2765.52-3998.041.911.080.007137.36
200nil21.934051.93107396836.455358.637754.05-3013.75-3999.641.781.020.001937.87

In the table above, row 1 shows the best exit criterion. Profit factor is 2.18. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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