Study: Buy STAR when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy STAR 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 STAR 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
1-72768.1377324541.566405.4733041.72-6172.07-17063.531.040.74-0.025-945.04
2-20889877294837.668709.2833608.28-9613.9-44947.420.910.55-0.05-2712.96
3-10596877344344.1611399.2443829.86-11477.74-63395.090.990.79-0.02-1376.21
411369.3377344344.1615561.3958823.53-12039.95-42944.421.291.020.0019147.65
564661.8777354245.4518384.3886750.63-13780.75-50658.861.331.110.0086839.76
6-69115.5977334442.8617285.5977269.43-14535-47730.61.190.89-0.0098-897.61
7-63587.9177344344.1617839.183660.13-15584.12-49194.731.140.91-0.0086-825.82
8-96987.9377344344.1616514.9376876.57-15313.85-56515.371.080.85-0.014-1259.58
9-21768977324541.5615461.2258639.8-15832.17-54220.720.980.69-0.033-2827.13
10-44554377314640.2617955.7554411.45-21786.32-1112600.820.56-0.051-5786.27
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
atrnil38.92186204136341022537865.83113711-10796.42-34749.843.511.170.0141369.14
atrnil25.361185141464610031.5125611.6875807.03-10596.23-26446.422.421.110.01811.74
atrtrail34.6-1362591634511827.6119787.0284593.61-8700.63-26446.422.270.87-0.012-835.95
atrtrail23.73-1603041644811629.2718005.9956395.74-8832.68-26446.422.040.84-0.016-977.46
atrtrail-15.2-2233001634511827.6117852.7861670.39-8700.63-26446.422.050.78-0.022-1369.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
STAR Performance, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191201 Feb 2019 (-5.66%), 05 Feb 2019 (-6.09%), 13 May 2019 (-4.62%), 15 May 2019 (-4.9%), 19 Jun 2019 (-4.18%), 05 Jul 2019 (-4.46%), 18 Jul 2019 (-4.29%), 19 Jul 2019 (13.66%), 19 Sep 2019 (-3.99%), 24 Sep 2019 (-4.43%), 25 Sep 2019 (-4.87%), 27 Sep 2019 (16.83%)
20181925 Jan 2018 (-2.31%), 31 Jan 2018 (-2.67%), 01 Feb 2018 (-2.85%), 02 Feb 2018 (-3.26%), 05 Feb 2018 (-3.48%), 06 Feb 2018 (11.32%), 08 Mar 2018 (-3.76%), 10 Apr 2018 (-4.04%), 02 May 2018 (-3.04%), 03 May 2018 (-3.24%), 04 May 2018 (-3.38%), 07 May 2018 (-4.04%), 10 May 2018 (-4.82%), 15 May 2018 (-4.99%), 18 May 2018 (-8.2%), 21 May 2018 (29.37%), 28 Sep 2018 (-5.84%), 08 Oct 2018 (19.31%), 10 Dec 2018 (14.63%)
20171319 Apr 2017 (-2.5%), 03 May 2017 (-3.07%), 19 May 2017 (-3.33%), 22 May 2017 (-3.79%), 23 May 2017 (-4.03%), 24 May 2017 (13.14%), 10 Aug 2017 (-3.82%), 11 Aug 2017 (13.66%), 27 Sep 2017 (-3.87%), 06 Oct 2017 (-3.86%), 31 Oct 2017 (-3.57%), 07 Nov 2017 (-3.56%), 15 Nov 2017 (10.78%)
20161411 Jan 2016 (-2.79%), 13 Jan 2016 (-3.18%), 15 Jan 2016 (-3.99%), 18 Jan 2016 (14.15%), 15 Feb 2016 (-6.48%), 16 Feb 2016 (22.07%), 23 May 2016 (-4.19%), 24 May 2016 (13.11%), 17 Aug 2016 (-3.5%), 18 Aug 2016 (-3.7%), 22 Aug 2016 (-3.93%), 29 Aug 2016 (11.08%), 13 Oct 2016 (-2.93%), 27 Oct 2016 (8.2%)
2015109 Sep 2015 (18.66%)
20131104 Mar 2013 (-7.92%), 15 Apr 2013 (14.04%), 14 Jun 2013 (-2.5%), 18 Jun 2013 (7.58%), 08 Jul 2013 (-2.96%), 09 Jul 2013 (-3.49%), 10 Jul 2013 (-4.36%), 29 Jul 2013 (-5.19%), 31 Jul 2013 (21.63%), 05 Dec 2013 (-4.92%), 19 Dec 2013 (56.86%)
20111325 Jan 2011 (-3.6%), 04 Feb 2011 (-4.07%), 08 Feb 2011 (-4.46%), 09 Feb 2011 (-5.34%), 10 Feb 2011 (17.94%), 28 Feb 2011 (22.29%), 25 May 2011 (-3.82%), 16 Jun 2011 (-3.05%), 20 Jun 2011 (-3.63%), 08 Aug 2011 (-4.05%), 09 Aug 2011 (-4.41%), 16 Aug 2011 (-4.88%), 26 Aug 2011 (14.45%)
2010126 Nov 2010 (16.53%)
2009307 Jan 2009 (-9.25%), 12 Jan 2009 (-10.81%), 10 Feb 2009 (25.48%)
20081208 Jan 2008 (-6.48%), 16 Jan 2008 (-6.61%), 21 Jan 2008 (-10.04%), 22 Jan 2008 (-17.37%), 02 Jul 2008 (25.65%), 16 Sep 2008 (-5.76%), 08 Oct 2008 (-9.03%), 16 Oct 2008 (-10.47%), 22 Oct 2008 (-11.61%), 24 Oct 2008 (-13.22%), 27 Oct 2008 (42.3%), 24 Dec 2008 (-8.45%)
20071027 Apr 2007 (15.75%), 18 Jul 2007 (-4.13%), 26 Jul 2007 (-4.21%), 01 Aug 2007 (-4.25%), 06 Aug 2007 (-4.49%), 16 Aug 2007 (-4.83%), 05 Oct 2007 (-4.5%), 08 Oct 2007 (-4.79%), 25 Oct 2007 (-5.82%), 01 Nov 2007 (19.2%)
2006516 May 2006 (-5.61%), 19 May 2006 (-7.76%), 22 May 2006 (-9.72%), 27 Jul 2006 (17.61%), 30 Oct 2006 (13.39%)
2004816 Mar 2004 (-6.77%), 22 Mar 2004 (20.49%), 03 May 2004 (-5.3%), 11 May 2004 (-5.43%), 14 May 2004 (-6.43%), 17 May 2004 (-9.18%), 08 Jul 2004 (-5.61%), 09 Jul 2004 (17.95%)
2002121 Jun 2002 (25.9%)
20011305 Feb 2001 (-6.64%), 07 Feb 2001 (-7.3%), 22 Feb 2001 (-7.03%), 23 Feb 2001 (-7.69%), 26 Feb 2001 (-8.38%), 28 Mar 2001 (-5.32%), 02 Apr 2001 (-5.88%), 03 Apr 2001 (-6.52%), 04 Apr 2001 (-7.18%), 07 May 2001 (-7.27%), 10 May 2001 (-7.71%), 25 Jun 2001 (-5.61%), 19 Jul 2001 (18.7%)



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