Study: Buy SHREECEM 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 SHREECEM 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 SHREECEM 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
1-21278.3271383353.523430.625806.45-4595.19-12956.490.750.86-0.011-299.69
2-44136.3371373452.113532.8826979.47-5142.73-22106.180.690.75-0.02-621.64
312107.9871343747.896060.8739296.19-5242.21-24369.021.161.060.0043170.53
4-11145.6771363550.77062.9721114.37-7583.21-32898.170.930.96-0.0035-156.98
5-43657.9671363550.77409.8425897.07-8868.92-42297.650.840.86-0.012-614.9
618821.0171333846.489726.6225339.37-7951.51-36031.331.221.060.0049265.08
784688.471383353.529862.9228011.33-8790.99-22802.441.121.290.0221192.79
811505271363550.711584.4626702.6-8628.26-22651.671.341.380.0281620.44
981205.1871383353.5210280.437681.16-9377.27-20952.381.11.260.0191143.73
1012545271393254.9311351.4738350.06-9914.25-24594.851.141.40.0281766.92
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
50trail-13.3104194111298226.1311195.8856369.94-2688.86-3948.724.161.470.023938.68
50trail3258913.53116358130.178030.2211930.64-2742.52-3948.722.931.270.021507.88
50nil32.1850524.39112347830.368435.311930.64-3029.18-3990.352.781.210.017451.11
50trail21.7537057.62120457537.55679.117953.76-2913.36-3948.721.951.170.015308.81
50nil21.8336247.39117457238.465742.797953.76-3085.81-3998.341.861.160.015309.81
atrtrail34.96231.0593326134.4113713.8649194.54-7190.37-22601.351.9114.1e-052.48
atrnil37.69-38089.577215627.2723990.4749194.54-9676.59-22601.352.480.93-0.0064-494.67
atrtrail-15.85-58700.1492316133.712273.0956957.66-7199.44-22601.351.70.87-0.011-638.04
atrtrail24.56-67937.3793326134.4111514.6432796.36-7154.2-22601.351.610.84-0.014-730.51
atrnil26.25-1570368024563015902.5632796.36-9619.6-22601.351.650.71-0.033-1962.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 26.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
SHREECEM Performance, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jun 2019 (0.53%), 08 Jul 2019 (1.78%), 25 Jul 2019 (-1.61%)
2018117 Sep 2018 (-1.61%)
2017807 Jul 2017 (-1.53%), 10 Jul 2017 (-1.02%), 18 Jul 2017 (-1.92%), 09 Aug 2017 (-1.33%), 01 Sep 2017 (4.65%), 27 Sep 2017 (2.95%), 19 Oct 2017 (3.6%), 28 Dec 2017 (7.04%)
2016406 Jan 2016 (-1.88%), 15 Sep 2016 (-0.05%), 29 Sep 2016 (2.57%), 14 Oct 2016 (-0.4%)
20151406 Jan 2015 (17.81%), 16 Mar 2015 (1.9%), 23 Mar 2015 (-1.34%), 27 Mar 2015 (-1.11%), 03 Jun 2015 (0.17%), 09 Jun 2015 (-1.73%), 19 Jun 2015 (-0.57%), 03 Jul 2015 (-1.03%), 07 Jul 2015 (3.71%), 21 Jul 2015 (-1.84%), 24 Sep 2015 (-0.58%), 29 Sep 2015 (9.91%), 09 Nov 2015 (-1.13%), 31 Dec 2015 (-1.31%)
2014802 Jan 2014 (1.62%), 20 Jan 2014 (-0.75%), 24 Jan 2014 (-1.17%), 29 Jan 2014 (-1.43%), 03 Feb 2014 (-1.06%), 12 Aug 2014 (-1.19%), 12 Dec 2014 (-1.16%), 17 Dec 2014 (4.12%)
20131214 Jan 2013 (-0.37%), 17 Jan 2013 (-0.82%), 25 Jan 2013 (-1.71%), 31 Jan 2013 (-1.77%), 05 Feb 2013 (-1.88%), 14 Feb 2013 (-1.7%), 20 Jun 2013 (-1.83%), 02 Jul 2013 (-1.19%), 28 Nov 2013 (-1.11%), 09 Dec 2013 (-1.17%), 18 Dec 2013 (-1.49%), 24 Dec 2013 (-1.14%)
2012111 Jan 2012 (8.75%)
2011216 Dec 2011 (-1.93%), 19 Dec 2011 (4.37%)
2010509 Feb 2010 (-1.22%), 11 Feb 2010 (2.97%), 19 Apr 2010 (0.82%), 28 Apr 2010 (-1.13%), 22 Nov 2010 (-1.8%)
2009115 Oct 2009 (-1.38%)
2008123 Jan 2008 (-1.78%)
2007705 Feb 2007 (-1.44%), 30 Jul 2007 (-0.66%), 03 Aug 2007 (-1.76%), 06 Aug 2007 (3.03%), 03 Sep 2007 (1.36%), 02 Nov 2007 (-1.34%), 06 Dec 2007 (-1.03%)
2005728 Mar 2005 (3.4%), 06 Jul 2005 (-1.08%), 12 Jul 2005 (-0.47%), 14 Jul 2005 (-1.11%), 24 Oct 2005 (-1.9%), 02 Nov 2005 (-1.36%), 24 Nov 2005 (11.7%)
2004819 Jan 2004 (-0.96%), 27 Jan 2004 (-1.46%), 13 Feb 2004 (-1.19%), 07 Jul 2004 (-1.47%), 28 Sep 2004 (3.52%), 12 Oct 2004 (-1.44%), 19 Oct 2004 (-1.43%), 16 Nov 2004 (8.74%)
2003607 Jan 2003 (3.84%), 10 Feb 2003 (-1.0%), 26 Feb 2003 (-1.33%), 27 Feb 2003 (-1.97%), 08 Apr 2003 (-1.68%), 14 Oct 2003 (-1.45%)
20021228 Jan 2002 (-1.83%), 09 Apr 2002 (-1.42%), 11 Apr 2002 (-1.54%), 22 Apr 2002 (7.94%), 30 May 2002 (-1.97%), 15 Jul 2002 (-1.53%), 16 Jul 2002 (-1.64%), 17 Jul 2002 (-1.0%), 23 Jul 2002 (-1.91%), 31 Oct 2002 (-1.73%), 11 Nov 2002 (-1.74%), 30 Dec 2002 (-1.02%)
2000121 Jan 2000 (-1.26%)
1999724 Feb 1999 (-1.48%), 17 Sep 1999 (-1.92%), 03 Nov 1999 (-1.77%), 05 Nov 1999 (-0.3%), 11 Nov 1999 (-1.76%), 15 Nov 1999 (-1.67%), 06 Dec 1999 (-1.1%)
1998325 Aug 1998 (10.9%), 02 Sep 1998 (0.45%), 08 Sep 1998 (28.18%)



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