Study: Buy SHREECEM when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy SHREECEM when 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 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
1-14898.1941142734.155038.8416083.25-3164.52-10010.081.590.83-0.015-363.37
269620.9541202148.788269.4531977.29-4560.39-17475.731.811.730.0391698.07
3-1614.9441172441.467040.3825354.78-5054.23-22700.591.390.99-0.00093-39.39
481954.6741241758.547385.8631210.62-5606.23-15655.581.321.860.0451998.89
593000.5141221953.669384.5439276.45-5971.54-18086.541.571.820.0452268.31
614003.4841202148.789248.9248469.12-8141.66-26666.671.141.080.0056341.55
754791.3841241758.549459.8252131.37-10132.02-32372.220.931.320.021336.38
826106.1841231856.110699.8151523.46-12221.63-36444.710.881.120.0083636.74
921142.4441202148.7813125.3150691.24-11493.52-35765.251.141.090.0061515.67
10-52917.241152636.5917746.1781221.2-12273.45-43950.621.450.83-0.012-1290.66
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
atrnil25.05-35061.4362204232.2620451.4633823.9-10573.59-23154.581.930.92-0.0076-565.51
atrnil38.16-65882.5261144722.9530375.8750404.63-10449.89-23154.582.910.87-0.012-1080.04
atrtrail23.97-57139.0366224433.3314424.1733823.9-8510.7-19331.981.690.85-0.014-865.74
atrtrail34.58-14026466224433.3310645.7550404.63-8510.7-19331.981.250.63-0.038-2125.21
atrtrail-14.8-20891866214531.828148.7632541.42-8445.37-19331.980.960.45-0.069-3165.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 32.26%, which is not acceptable. Avoid this strategy. Average return per trade is -0.28%, 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:0.921

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019431 Jul 2019 (-2.86%), 13 Aug 2019 (-3.18%), 20 Aug 2019 (-3.26%), 22 Aug 2019 (-3.24%)
2017324 May 2017 (-3.86%), 23 Jun 2017 (5.95%), 09 Nov 2017 (-3.19%)
2016502 Nov 2016 (-2.9%), 03 Nov 2016 (6.08%), 10 Nov 2016 (-4.64%), 11 Nov 2016 (-5.45%), 15 Nov 2016 (-6.3%)
2015317 Apr 2015 (8.97%), 25 Aug 2015 (7.63%), 13 Nov 2015 (-4.46%)
2013404 Mar 2013 (-3.03%), 18 Mar 2013 (9.0%), 24 Jun 2013 (-3.05%), 25 Jun 2013 (6.78%)
2012623 Apr 2012 (8.37%), 04 May 2012 (-4.32%), 17 May 2012 (-3.22%), 29 May 2012 (-2.74%), 31 May 2012 (-3.1%), 20 Nov 2012 (7.75%)
2010419 Apr 2010 (-3.03%), 04 May 2010 (-3.09%), 21 May 2010 (-4.55%), 27 May 2010 (10.26%)
2007512 Feb 2007 (-3.87%), 14 Feb 2007 (-4.25%), 23 Feb 2007 (-4.52%), 28 Feb 2007 (-5.28%), 27 Dec 2007 (-6.15%)
2006515 May 2006 (-6.84%), 22 May 2006 (-7.18%), 31 May 2006 (-7.16%), 07 Jun 2006 (-7.31%), 13 Jun 2006 (16.8%)
2005524 Mar 2005 (10.71%), 30 May 2005 (-3.48%), 13 Jun 2005 (-2.92%), 20 Jun 2005 (5.45%), 20 Oct 2005 (10.22%)
2004419 Jan 2004 (-6.9%), 22 Jan 2004 (15.91%), 11 Jun 2004 (-5.86%), 28 Sep 2004 (7.59%)
2003123 Oct 2003 (11.71%)
2002421 Feb 2002 (-5.3%), 28 Feb 2002 (12.09%), 22 Jul 2002 (11.44%), 25 Jul 2002 (-7.35%)
2000125 Jan 2000 (-7.36%)
1999403 Sep 1999 (16.91%), 20 Sep 1999 (-7.92%), 17 Nov 1999 (-7.22%), 22 Nov 1999 (14.9%)
1998408 Jun 1998 (-11.58%), 16 Jun 1998 (-11.46%), 16 Oct 1998 (-8.99%), 20 Oct 1998 (-9.67%)



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