Study: Buy SHREECEM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy SHREECEM 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 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
1-1168.0676334343.425823.8633962.26-4496.63-16429.961.30.99-0.00046-15.37
29102.0576324442.118277.3343665.77-5813.01-18823.531.421.040.0026119.76
32713.5776364047.377809.8329139.07-6961.01-20025.671.121.010.0007635.7
47949.44763838509701.9541059.6-9492.75-33119.381.021.020.0017104.6
5-10534376344244.7411078.3256070.64-11476.33-32627.160.970.78-0.019-1386.09
69130.6976373948.6812670.4566887.42-11786.56-32709.611.071.020.0016120.14
746619.6676393751.3213480.7965342.16-12949.49-32454.11.041.10.0075613.42
8-5215.0276373948.6813986.3448123.62-13402.81-38764.041.040.99-0.00081-68.62
9-88306.4976354146.0514884.2745916.11-14859.9-64606.7410.86-0.012-1161.93
10-77049.6276364047.3714533.8145602.07-15006.67-55617.980.970.87-0.011-1013.81
Although, strategy looks good but profit factor on day 5 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
atrnil39.2143791126319524.636366.8774903.84-10353.49-22756.033.511.150.0111141.2
atrnil25.793325.31131428932.0624073.149935.89-10311.74-22756.032.331.10.0085712.41
atrtrail24.21-73676.16145479832.4116152.8449935.89-8498.57-22756.031.90.91-0.0075-508.11
atrtrail34.79-1648681454510031.0315298.368009.54-8532.91-22756.031.790.81-0.016-1137.02
atrtrail-15.28-2273981454510031.0313908.7485345.23-8532.91-22756.031.630.73-0.023-1568.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 24.6%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Jan 2019 (-3.1%), 14 Jan 2019 (-3.27%), 28 Jan 2019 (11.58%), 03 Sep 2019 (10.6%)
20181130 Jan 2018 (-2.91%), 02 Feb 2018 (-2.97%), 05 Feb 2018 (-3.16%), 07 Mar 2018 (-3.25%), 19 Jun 2018 (-2.66%), 21 Jun 2018 (8.26%), 12 Sep 2018 (-2.9%), 04 Oct 2018 (-4.09%), 05 Oct 2018 (-4.39%), 11 Oct 2018 (-4.62%), 23 Oct 2018 (-4.93%)
2017220 Nov 2017 (-3.12%), 21 Nov 2017 (9.93%)
2016412 Jan 2016 (-3.91%), 14 Jan 2016 (-4.07%), 15 Jan 2016 (13.75%), 17 Nov 2016 (20.22%)
2015326 Aug 2015 (12.66%), 16 Nov 2015 (-4.77%), 09 Dec 2015 (11.5%)
2013926 Jul 2013 (-2.51%), 30 Jul 2013 (-2.68%), 02 Aug 2013 (-3.39%), 06 Aug 2013 (-3.52%), 07 Aug 2013 (-3.84%), 20 Aug 2013 (-4.05%), 22 Aug 2013 (-4.02%), 28 Aug 2013 (12.1%), 13 Nov 2013 (-2.47%)
20111207 Jan 2011 (-3.64%), 10 Jan 2011 (-3.73%), 17 Jan 2011 (-3.62%), 27 Jan 2011 (-3.17%), 28 Jan 2011 (-3.47%), 02 Feb 2011 (-3.79%), 09 Feb 2011 (13.83%), 05 May 2011 (-3.78%), 17 May 2011 (-3.72%), 13 Jun 2011 (-2.96%), 20 Jun 2011 (-2.77%), 16 Aug 2011 (13.2%)
2010406 Jul 2010 (-3.53%), 23 Jul 2010 (9.64%), 25 Nov 2010 (-3.59%), 26 Nov 2010 (12.16%)
20082118 Jan 2008 (-6.29%), 07 Mar 2008 (-6.24%), 17 Mar 2008 (-7.34%), 06 May 2008 (-6.31%), 12 May 2008 (-6.21%), 26 May 2008 (-4.79%), 27 May 2008 (-5.08%), 30 May 2008 (-5.4%), 02 Jun 2008 (-5.84%), 09 Jun 2008 (-5.57%), 12 Jun 2008 (-5.53%), 25 Jun 2008 (-6.78%), 01 Jul 2008 (-8.57%), 02 Jul 2008 (27.74%), 28 Aug 2008 (-5.45%), 26 Sep 2008 (-5.14%), 29 Sep 2008 (-5.47%), 08 Oct 2008 (-6.21%), 17 Oct 2008 (-8.49%), 24 Oct 2008 (-10.94%), 26 Nov 2008 (-11.38%)
2007409 Mar 2007 (-7.71%), 14 Mar 2007 (26.43%), 27 Jul 2007 (-6.23%), 21 Aug 2007 (19.56%)
2002130 Jul 2002 (-7.88%)
2001603 Jul 2001 (35.36%), 04 Sep 2001 (-5.42%), 11 Sep 2001 (-5.75%), 14 Sep 2001 (-7.18%), 17 Sep 2001 (28.67%), 24 Dec 2001 (31.21%)
2000431 Jan 2000 (26.62%), 21 Feb 2000 (-9.41%), 03 Mar 2000 (-10.71%), 10 Mar 2000 (-10.62%)
1999402 Feb 1999 (-6.91%), 08 Feb 1999 (-7.35%), 09 Feb 1999 (-8.2%), 28 Apr 1999 (18.45%)
1998222 Jun 1998 (37.45%), 22 Oct 1998 (32.72%)
19971724 Feb 1997 (12.03%), 13 Mar 1997 (-5.69%), 17 Mar 1997 (-6.6%), 29 Apr 1997 (16.82%), 25 Jul 1997 (15.34%), 02 Sep 1997 (-5.08%), 11 Sep 1997 (-4.53%), 16 Sep 1997 (-4.37%), 23 Sep 1997 (-3.86%), 29 Sep 1997 (-3.59%), 30 Sep 1997 (-3.83%), 01 Oct 1997 (-4.26%), 09 Oct 1997 (-4.94%), 27 Oct 1997 (-4.65%), 28 Oct 1997 (-5.02%), 06 Nov 1997 (-5.7%), 13 Nov 1997 (17.01%)
19961816 Jan 1996 (-3.15%), 18 Jan 1996 (-3.14%), 23 Jan 1996 (12.05%), 18 Mar 1996 (15.55%), 10 May 1996 (-4.21%), 21 May 1996 (-4.01%), 27 May 1996 (13.0%), 26 Jun 1996 (-4.59%), 03 Jul 1996 (-5.12%), 05 Jul 1996 (-5.66%), 09 Jul 1996 (-6.02%), 16 Jul 1996 (-7.0%), 17 Sep 1996 (-5.99%), 23 Sep 1996 (-6.68%), 27 Sep 1996 (-6.79%), 03 Oct 1996 (-7.4%), 05 Nov 1996 (-7.17%), 04 Dec 1996 (18.23%)



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