Study: Buy TECHM when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy TECHM 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 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
114811.8323111247.833968.7611096.41-2403.71-6339.381.651.510.045643.99
2277252314960.874720.813708.64-4262.91-5904.461.111.720.0641205.43
319678.1623131056.525453.3513192.95-5121.54-8505.121.061.380.039855.57
460294.923111247.839473.1229632.52-3659.12-8005.312.592.370.0842621.52
550426.3423131056.527743.5922963.25-5024.04-9553.31.5420.0762192.45
636381.3123121152.178371.6635153.07-5825.33-15140.791.441.570.0421581.8
740744.9323121152.179214.5133903.98-6348.11-14748.351.451.580.0441771.52
821988.5323121152.177745.5223498.58-6450.7-21113.141.21.310.027956.02
932893.423121152.178130.1424279.26-5878.93-21435.581.381.510.0421430.15
1042882.1323121152.178589.8927591.59-5472.41-14692.281.571.710.0581864.44
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
TECHM Performance, X=4, Profit Factor:2.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (1.91%), 22 May 2019 (-1.71%)
2018328 Jun 2018 (-1.47%), 25 Jul 2018 (7.82%), 22 Oct 2018 (-3.44%)
2017105 Dec 2017 (7.57%)
2015226 Feb 2015 (5.84%), 20 Mar 2015 (-4.0%)
2014517 Jan 2014 (3.12%), 10 Mar 2014 (-0.8%), 09 Apr 2014 (0.74%), 08 Oct 2014 (-1.01%), 10 Dec 2014 (-1.44%)
2013203 Apr 2013 (-1.01%), 17 Apr 2013 (-2.89%)
2012309 May 2012 (-2.74%), 25 Oct 2012 (4.04%), 19 Nov 2012 (2.31%)
2011108 Aug 2011 (3.47%)
2010227 Jan 2010 (0.46%), 24 Feb 2010 (-0.97%)
2009103 Nov 2009 (14.82%)
2007119 Jun 2007 (-0.48%)

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
atrnil38.6256776.3432112134.3816993.8920316.01-6197.93-11292.652.741.440.0441774.26
atrnil26.5631599.9232131940.6211490.6313544.01-6198.86-11292.651.851.270.031987.5
atrtrail34.2218070.1636122433.3310261.5120316.01-4377.83-7823.542.341.170.017501.95
atrtrail-14.7210019.6436122433.339590.6327045.49-4377.83-7823.542.191.10.0095278.32
atrtrail23.698565.9636122433.339469.4913544.01-4377.83-7823.542.161.080.0092237.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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.
TECHM Performance, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Mar 2019 (7.0%), 22 May 2019 (-2.33%)
2018428 Jun 2018 (-3.27%), 29 Jun 2018 (-3.53%), 25 Jul 2018 (9.3%), 22 Oct 2018 (-3.91%)
2017105 Dec 2017 (8.86%)
2015426 Feb 2015 (6.59%), 20 Mar 2015 (-2.58%), 23 Mar 2015 (-2.85%), 30 Mar 2015 (-3.1%)
2014917 Jan 2014 (-2.53%), 28 Jan 2014 (8.02%), 10 Mar 2014 (-2.6%), 09 Apr 2014 (-2.53%), 08 Oct 2014 (-2.41%), 09 Oct 2014 (-2.66%), 17 Oct 2014 (9.43%), 10 Dec 2014 (-2.18%), 15 Dec 2014 (7.11%)
2013303 Apr 2013 (-3.33%), 18 Apr 2013 (-3.14%), 23 Apr 2013 (10.16%)
2012309 May 2012 (-3.33%), 25 Oct 2012 (-3.09%), 19 Nov 2012 (8.78%)
2011108 Aug 2011 (-3.13%)
2010227 Jan 2010 (-5.65%), 26 Feb 2010 (-3.89%)
2009103 Nov 2009 (9.91%)
2007219 Jun 2007 (-3.04%), 29 Jun 2007 (8.31%)



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