Study: Buy RELINFRA when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy RELINFRA when below 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
1-162199117556247.014237.838111.23-6375.44-56578.090.660.59-0.031-1386.31
2-204881117585949.575860.7138866.74-9233.93-49116.610.630.62-0.032-1751.12
3-182250117546346.156981.1120125.92-8876.66-50291.640.790.67-0.028-1557.69
4-278216117536445.37977.724686.19-10953.66-53985.740.730.6-0.036-2377.91
5-259600117556247.0110258.1243693.6-13287.04-53402.460.770.68-0.028-2218.8
6-338377117556247.0111337.1437261.74-15514.83-60659.60.730.65-0.032-2892.11
7-299016117546346.1512359.8243235.7-15340.43-70517.830.810.69-0.028-2555.7
8-273227117556247.0113073.3247388.71-16004.18-92461.720.820.72-0.024-2335.27
9-238833117625552.9912538.5342271.29-18476.77-99528.860.680.76-0.02-2041.31
10-141690117605751.2814728.2260909.69-17989.19-64428.740.820.86-0.012-1211.03
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-15.291024952378615136.2916356.55133199-8636.87-35802.581.891.080.005432.47
atrtrail24.0172767.562378814937.1315559.3478837.85-8701.03-35802.581.791.060.0041307.04
atrtrail34.6760870.522378715036.7115624.43107176-8656.36-35802.581.81.050.0033256.84
atrnil38.33-28447.882085315525.4831221.31107176-10859.21-40979.662.880.98-0.0013-136.77
atrnil25.74-97831.732176814931.3422049.4178837.85-10719.41-40979.662.060.94-0.0052-450.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 36.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.005, 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.
RELINFRA Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191822 Jan 2019 (-3.28%), 25 Jan 2019 (-4.73%), 28 Jan 2019 (-0.52%), 04 Feb 2019 (-6.8%), 06 Feb 2019 (-13.47%), 07 Feb 2019 (14.48%), 18 Apr 2019 (-6.05%), 22 Apr 2019 (-1.38%), 30 Apr 2019 (-5.19%), 07 May 2019 (-0.9%), 06 Jun 2019 (-9.38%), 07 Jun 2019 (-11.36%), 10 Jun 2019 (-12.47%), 17 Jun 2019 (-13.95%), 18 Jun 2019 (-17.9%), 19 Jun 2019 (21.35%), 19 Jul 2019 (5.36%), 22 Aug 2019 (2.09%)
20181531 Jan 2018 (-4.41%), 02 Feb 2018 (-5.37%), 06 Feb 2018 (1.2%), 02 May 2018 (-3.49%), 03 May 2018 (4.5%), 14 May 2018 (-4.38%), 27 Jun 2018 (-3.59%), 02 Jul 2018 (1.37%), 16 Jul 2018 (0.42%), 19 Sep 2018 (-5.74%), 21 Sep 2018 (-7.37%), 25 Sep 2018 (-6.8%), 28 Sep 2018 (-7.6%), 05 Dec 2018 (-5.41%), 13 Dec 2018 (5.83%)
2017723 May 2017 (-3.47%), 24 May 2017 (-1.05%), 29 May 2017 (4.06%), 10 Aug 2017 (-4.17%), 22 Sep 2017 (-2.92%), 19 Oct 2017 (8.25%), 15 Nov 2017 (6.88%)
2016504 Feb 2016 (1.79%), 02 Nov 2016 (-3.27%), 04 Nov 2016 (-2.0%), 09 Nov 2016 (0.56%), 26 Dec 2016 (13.39%)
20151114 Jan 2015 (3.24%), 06 Feb 2015 (-4.3%), 09 Feb 2015 (13.5%), 20 Mar 2015 (-4.4%), 27 Apr 2015 (3.98%), 07 May 2015 (10.85%), 03 Jun 2015 (-4.37%), 12 Aug 2015 (-4.08%), 13 Aug 2015 (-2.18%), 20 Aug 2015 (-3.96%), 24 Aug 2015 (10.41%)
20141027 Jan 2014 (-3.14%), 29 Jan 2014 (-1.0%), 05 Feb 2014 (-0.55%), 07 Oct 2014 (-1.33%), 16 Oct 2014 (14.62%), 08 Dec 2014 (-3.83%), 11 Dec 2014 (-3.99%), 12 Dec 2014 (-4.23%), 16 Dec 2014 (-4.55%), 17 Dec 2014 (3.68%)
20131507 Feb 2013 (-3.2%), 13 Feb 2013 (-3.43%), 26 Feb 2013 (-2.47%), 28 Feb 2013 (-0.72%), 18 Mar 2013 (-3.76%), 19 Mar 2013 (-4.03%), 20 Mar 2013 (-4.91%), 21 Mar 2013 (-3.16%), 26 Mar 2013 (3.09%), 31 May 2013 (1.28%), 12 Jun 2013 (1.11%), 20 Jun 2013 (-4.69%), 24 Jun 2013 (8.88%), 30 Jul 2013 (-3.94%), 02 Aug 2013 (10.53%)
20121109 May 2012 (-5.01%), 16 May 2012 (-5.26%), 01 Jun 2012 (16.15%), 25 Jul 2012 (-3.68%), 26 Jul 2012 (5.25%), 28 Aug 2012 (-3.85%), 30 Aug 2012 (10.07%), 26 Oct 2012 (-2.59%), 30 Oct 2012 (-2.05%), 16 Nov 2012 (-3.35%), 20 Nov 2012 (13.87%)
20112517 Jan 2011 (-4.99%), 18 Jan 2011 (0.22%), 01 Feb 2011 (-2.41%), 04 Feb 2011 (-4.21%), 09 Feb 2011 (12.93%), 28 Apr 2011 (-2.67%), 04 May 2011 (-3.38%), 05 May 2011 (-3.67%), 06 May 2011 (-2.74%), 17 May 2011 (-3.76%), 18 May 2011 (-2.58%), 23 May 2011 (1.76%), 22 Jun 2011 (7.78%), 05 Aug 2011 (-3.92%), 08 Aug 2011 (-4.41%), 09 Aug 2011 (0.23%), 17 Aug 2011 (-5.2%), 18 Aug 2011 (1.2%), 28 Sep 2011 (-5.22%), 30 Sep 2011 (8.64%), 23 Nov 2011 (2.1%), 09 Dec 2011 (-4.5%), 14 Dec 2011 (-4.74%), 20 Dec 2011 (1.67%), 30 Dec 2011 (66.6%)
20101727 Jan 2010 (-2.93%), 19 Feb 2010 (-3.26%), 23 Feb 2010 (2.98%), 05 May 2010 (-2.98%), 07 May 2010 (4.46%), 19 May 2010 (10.95%), 13 Aug 2010 (-2.61%), 16 Aug 2010 (-0.74%), 24 Aug 2010 (-3.11%), 27 Aug 2010 (3.33%), 29 Oct 2010 (0.19%), 16 Nov 2010 (-2.1%), 19 Nov 2010 (-3.1%), 25 Nov 2010 (-3.46%), 26 Nov 2010 (-4.0%), 29 Nov 2010 (1.94%), 09 Dec 2010 (2.33%)
2009209 Jan 2009 (-1.65%), 02 Mar 2009 (19.08%)
20081807 Mar 2008 (-11.46%), 13 Mar 2008 (-3.65%), 24 Mar 2008 (4.88%), 26 May 2008 (-3.79%), 02 Jun 2008 (-6.35%), 03 Jun 2008 (-6.67%), 09 Jun 2008 (-0.8%), 20 Jun 2008 (-7.75%), 27 Jun 2008 (-8.0%), 30 Jun 2008 (-9.79%), 01 Jul 2008 (0.13%), 15 Sep 2008 (-7.55%), 29 Sep 2008 (-7.94%), 03 Oct 2008 (-8.34%), 06 Oct 2008 (-8.02%), 10 Oct 2008 (9.28%), 17 Oct 2008 (-11.72%), 24 Oct 2008 (46.27%)
2007228 Feb 2007 (-3.76%), 05 Mar 2007 (0.01%)
2006815 May 2006 (-4.0%), 18 May 2006 (-5.42%), 19 May 2006 (-6.37%), 31 May 2006 (-7.62%), 01 Jun 2006 (-8.86%), 08 Jun 2006 (14.69%), 17 Jul 2006 (9.88%), 19 Oct 2006 (5.74%)
2005712 Jan 2005 (11.71%), 13 Apr 2005 (-3.25%), 18 Apr 2005 (-1.43%), 28 Apr 2005 (1.14%), 22 Sep 2005 (3.61%), 17 Oct 2005 (-2.29%), 27 Oct 2005 (10.29%)
2004517 May 2004 (7.13%), 25 Oct 2004 (1.35%), 24 Nov 2004 (-2.74%), 25 Nov 2004 (-3.33%), 10 Dec 2004 (-4.05%)
2002524 Jul 2002 (-3.17%), 09 Oct 2002 (-3.33%), 17 Oct 2002 (-2.57%), 30 Oct 2002 (-3.22%), 31 Oct 2002 (1.08%)
2001705 Mar 2001 (-3.44%), 09 Mar 2001 (-8.5%), 27 Aug 2001 (-2.4%), 30 Aug 2001 (-2.8%), 04 Sep 2001 (-2.86%), 12 Sep 2001 (-2.82%), 17 Sep 2001 (-2.37%)
2000901 Aug 2000 (-3.02%), 04 Aug 2000 (1.92%), 25 Aug 2000 (0.02%), 13 Oct 2000 (-1.9%), 19 Oct 2000 (-3.9%), 20 Oct 2000 (-4.53%), 23 Oct 2000 (-4.82%), 25 Oct 2000 (8.7%), 22 Dec 2000 (5.89%)
1999508 Feb 1999 (9.6%), 26 Mar 1999 (0.31%), 28 Apr 1999 (26.88%), 03 Aug 1999 (34.98%), 29 Oct 1999 (-0.36%)
19981628 Apr 1998 (1.62%), 12 May 1998 (-5.12%), 29 May 1998 (-2.47%), 02 Jun 1998 (-0.95%), 08 Jun 1998 (-4.51%), 12 Jun 1998 (-5.76%), 15 Jun 1998 (-6.36%), 16 Jun 1998 (2.64%), 22 Jun 1998 (12.81%), 23 Jul 1998 (-4.77%), 27 Jul 1998 (0.67%), 05 Oct 1998 (3.0%), 23 Oct 1998 (4.65%), 26 Nov 1998 (-0.25%), 15 Dec 1998 (-1.19%), 17 Dec 1998 (2.21%)
19971331 Mar 1997 (-4.45%), 14 Aug 1997 (-2.34%), 22 Aug 1997 (-2.88%), 25 Aug 1997 (-2.98%), 28 Aug 1997 (-3.41%), 01 Sep 1997 (-3.58%), 02 Sep 1997 (7.63%), 27 Oct 1997 (-3.61%), 28 Oct 1997 (4.66%), 13 Nov 1997 (-0.43%), 18 Nov 1997 (-4.58%), 24 Nov 1997 (3.69%), 11 Dec 1997 (19.16%)
1996518 Jan 1996 (-3.29%), 23 Jan 1996 (27.51%), 03 Oct 1996 (-3.62%), 07 Oct 1996 (-1.81%), 04 Dec 1996 (17.41%)
1995122 Nov 1995 (9.76%)



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