Study: Buy TECHM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy TECHM 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 TECHM 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
1-3251853233043.43531.3320281.51-3791.29-18430.570.930.71-0.032-613.55
2-10231953223141.514260.4114190.16-6324.14-45206.680.670.48-0.064-1930.55
3-69764.553252847.176105.3120114.67-7942.76-34418.060.770.69-0.035-1316.31
4-91352.2553213239.628192.5628400.37-8231.13-53300.110.65-0.037-1723.63
5-19004853233043.47214.3124988.06-11865.91-51233.320.610.47-0.072-3585.82
6-23082353213239.628644.924304.14-12886.43-58399.30.670.44-0.076-4355.15
7-21461753213239.628982.3527125.29-12601.44-65728.530.710.47-0.069-4049.37
8-23701053262749.066606.323970.46-15139.77-56347.110.440.42-0.079-4471.89
9-14814753233043.49995.9321691.35-12601.78-48590.60.790.61-0.051-2795.23
10-91211.9853282552.839425.4228329.66-14204.95-52562.70.660.74-0.03-1720.98
Although, strategy looks good but profit factor on day 8 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
atrnil25.39-30125.497286928.8720535.4355376.99-8769.82-31390.822.340.95-0.0056-310.57
atrtrail24.04-33282.73104297527.8817857.4555376.99-7348.65-25032.112.430.94-0.0063-320.03
atrnil39.04-10183293187519.3530901.9478551.72-8774.22-31390.823.520.85-0.017-1094.96
atrtrail-15.04-199936104277725.9613221.785718.66-7232.75-25032.111.830.64-0.042-1922.46
atrtrail34.76-213263104277725.9612728.0937820.09-7232.75-25032.111.760.62-0.052-2050.61

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 28.87%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TECHM Performance, Profit Factor:0.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019924 May 2019 (-2.41%), 26 Jun 2019 (-2.14%), 27 Jun 2019 (-2.31%), 05 Jul 2019 (-2.29%), 09 Jul 2019 (-2.35%), 11 Jul 2019 (-2.42%), 25 Jul 2019 (-2.55%), 30 Jul 2019 (-2.52%), 01 Aug 2019 (5.55%)
2018125 Oct 2018 (7.84%)
2017831 Jan 2017 (-3.43%), 10 Mar 2017 (-2.85%), 28 Mar 2017 (-2.72%), 07 Apr 2017 (-2.53%), 13 Apr 2017 (-2.56%), 18 Apr 2017 (5.15%), 22 May 2017 (5.15%), 29 May 2017 (7.91%)
20161211 Jan 2016 (-2.3%), 02 Feb 2016 (-3.0%), 09 Feb 2016 (-3.21%), 11 Feb 2016 (-3.28%), 25 Feb 2016 (6.55%), 24 Jun 2016 (-2.82%), 28 Jul 2016 (4.43%), 17 Aug 2016 (-2.55%), 25 Aug 2016 (5.08%), 27 Sep 2016 (-2.39%), 29 Sep 2016 (-2.64%), 17 Oct 2016 (5.28%)
2015723 Apr 2015 (-3.11%), 24 Apr 2015 (-3.48%), 27 May 2015 (-4.73%), 09 Jun 2015 (-3.82%), 29 Jun 2015 (-3.81%), 06 Jul 2015 (7.35%), 16 Nov 2015 (5.35%)
2012327 Feb 2012 (8.28%), 11 May 2012 (-3.64%), 17 May 2012 (8.07%)
20111101 Feb 2011 (-4.18%), 09 Feb 2011 (-4.75%), 03 May 2011 (-3.66%), 17 May 2011 (7.08%), 18 Aug 2011 (-4.08%), 19 Aug 2011 (-4.43%), 25 Aug 2011 (9.93%), 26 Sep 2011 (-4.48%), 28 Sep 2011 (-5.05%), 03 Oct 2011 (10.22%), 12 Dec 2011 (8.72%)
20101631 Mar 2010 (-2.92%), 19 Apr 2010 (-2.47%), 27 Apr 2010 (-2.54%), 28 Apr 2010 (-2.85%), 04 May 2010 (-3.06%), 05 May 2010 (-3.11%), 07 May 2010 (-3.39%), 19 May 2010 (-4.01%), 21 May 2010 (-4.26%), 27 May 2010 (8.86%), 27 Jul 2010 (-2.69%), 26 Aug 2010 (-2.53%), 30 Aug 2010 (-2.69%), 16 Nov 2010 (-3.2%), 24 Nov 2010 (-3.54%), 25 Nov 2010 (8.42%)
2009123 Jan 2009 (19.99%)
20081916 Jan 2008 (-5.97%), 18 Jan 2008 (-6.08%), 21 Jan 2008 (-7.72%), 22 Jan 2008 (-10.96%), 07 Mar 2008 (-5.95%), 17 Mar 2008 (12.61%), 10 Jun 2008 (-6.88%), 14 Jul 2008 (12.17%), 15 Sep 2008 (-4.91%), 16 Sep 2008 (-5.37%), 18 Sep 2008 (-6.63%), 07 Oct 2008 (-8.28%), 08 Oct 2008 (-9.35%), 10 Oct 2008 (23.16%), 15 Oct 2008 (-12.23%), 17 Oct 2008 (27.69%), 27 Oct 2008 (-15.7%), 19 Nov 2008 (-12.52%), 25 Nov 2008 (26.18%)
20071018 Jun 2007 (-3.04%), 25 Jul 2007 (-3.64%), 27 Jul 2007 (-3.65%), 01 Aug 2007 (-3.65%), 06 Aug 2007 (7.43%), 22 Aug 2007 (10.51%), 25 Oct 2007 (-6.08%), 05 Nov 2007 (-5.85%), 07 Nov 2007 (-6.36%), 22 Nov 2007 (12.55%)



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