Study: Buy SHREECEM when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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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 and RSI is above 50" 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
1-34760.1935152042.863241.2925806.45-4168.98-12956.490.780.58-0.034-993.15
2-15093.4635161945.714130.2326979.47-4272.48-10879.990.970.81-0.014-431.24
3-5261.6835132237.146789.239296.19-4250.97-114641.60.94-0.0037-150.33
4-48194.1535122334.298482.2621114.37-6520.92-200001.30.68-0.032-1376.98
5-54256.0735161945.716634.4719864.95-8442.5-19047.620.790.66-0.036-1550.17
6-29729.1135132237.1411153.7124700.5-7942.15-21352.311.40.83-0.016-849.4
7-30447.2935171848.578240.9528011.33-9474.63-18493.80.870.82-0.016-869.92
8-24312.943514214011096.0624678.72-8555.13-22651.671.30.86-0.012-694.66
9-42212.7235161945.718723.4120932.26-9567.75-20952.380.910.77-0.023-1206.08
10-3704.7835171848.5710702.822805.49-10314.02-24594.851.040.98-0.0018-105.85
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
50trail32.02-7594.28501139229452.3511938.81-2860.77-3939.393.30.93-0.0061-151.89
50nil32.1-10089.1949113822.459452.3511938.81-3001.71-3990.353.150.91-0.0081-205.9
50trail-13.04-10599.14893918.7511259.3123402.31-2870.07-3939.393.920.91-0.0072-220.81
50trail21.88-24367.5551143727.456082.427959.21-2960.04-3939.392.050.78-0.024-477.8
50nil21.92-27943.1851143727.456082.427959.21-3056.68-3990.351.990.75-0.027-547.91
atrnil36.15-77508.594093122.523581.1836206.44-9346.43-22601.352.520.73-0.027-1937.71
atrtrail34.34-81594.3444123227.2714937.2636206.44-8151.29-22601.351.830.69-0.031-1854.42
atrtrail-15.47-10543043113225.5814061.2233092.78-8128.22-22601.351.730.59-0.043-2451.85
atrnil24.85-11833141113026.8315039.4424137.62-9458.84-22601.351.590.58-0.051-2886.13
atrtrail23.91-12224844123227.2711549.4524137.62-8151.29-22601.351.420.53-0.056-2778.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 22%, which is not acceptable. Avoid this strategy. Average return per trade is -0.076%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.932

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Jul 2019 (-1.61%)
2017507 Jul 2017 (-1.53%), 10 Jul 2017 (-1.02%), 18 Jul 2017 (-1.92%), 01 Sep 2017 (4.43%), 28 Dec 2017 (3.43%)
2016306 Jan 2016 (-1.88%), 29 Sep 2016 (5.55%), 19 Oct 2016 (-1.5%)
2015427 Mar 2015 (-1.11%), 09 Jul 2015 (5.97%), 21 Jul 2015 (-1.84%), 31 Dec 2015 (-1.31%)
2014202 Jan 2014 (3.39%), 12 Aug 2014 (-1.19%)
2013931 Jan 2013 (-1.77%), 05 Feb 2013 (5.64%), 07 Feb 2013 (-1.64%), 14 Feb 2013 (-1.7%), 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%)
2012113 Jan 2012 (5.75%)
2009115 Oct 2009 (-1.38%)
2008123 Jan 2008 (-1.78%)
2007303 Sep 2007 (4.3%), 06 Dec 2007 (3.08%), 07 Dec 2007 (-1.08%)
2005606 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 (5.05%)
2004313 Feb 2004 (-1.19%), 07 Jul 2004 (-1.47%), 19 Oct 2004 (-1.43%)
2003426 Feb 2003 (-1.33%), 27 Feb 2003 (-1.97%), 08 Apr 2003 (-1.68%), 14 Oct 2003 (-1.45%)
2002409 Apr 2002 (-1.42%), 11 Apr 2002 (-1.54%), 31 Oct 2002 (-1.73%), 11 Nov 2002 (-1.74%)
1999224 Feb 1999 (-1.48%), 06 Dec 1999 (-1.1%)
1998125 Aug 1998 (5.41%)



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