Study: Buy ULTRACEMCO when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ULTRACEMCO when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ULTRACEMCO 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
1-30990.9860263443.332023.068462.33-2458.54-7118.450.820.63-0.046-516.52
2-5840.78603327553399.8914010.73-4371.75-21312.740.780.95-0.0047-97.35
35186.7560312951.674610.1521113.69-4749.24-16246.50.971.040.003586.45
423732.2660322853.335905.9522286.12-5902.08-19687.1411.140.014395.54
5740.2760312951.675548.5820102.37-5905.71-22288.190.9410.0004112.34
6-2635.9360312951.676280.0521951.82-6804.05-25439.60.920.99-0.0013-43.93
7-6487.6360312951.676450.9820661.81-7119.59-30673.670.910.97-0.0032-108.13
815241.0660342656.676591.1224784.38-8032.97-23910.140.821.070.0069254.02
948100.760312951.678128.3329874.93-7030.26-30944.191.161.240.02801.68
109024.9260293148.338330.8230318.1-7502.22-32334.151.111.040.0037150.42
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
50nil22.5831883.9489335637.086061.197978.81-3002.42-3940.792.021.190.021358.25
50trail22.2211483.691316034.075742.367614.16-2775.49-3887.472.071.070.0079126.19
50nil33.62-13316.0382196323.179193.5111968.21-2984.01-3979.53.080.93-0.0081-162.39
atrnil27.07-29614.3861194231.1512244.9221178.05-6244.47-14590.011.960.89-0.014-485.48
50trail32.75-24705.1891266528.575645.5910893.43-2638.32-3887.472.140.86-0.017-271.49
atrtrail24.61-41873.0374235131.087995.9621178.05-4427.06-14590.011.810.81-0.021-565.85
atrnil39.36-56591.3455124321.8218178.5428107.09-6389.16-14590.012.850.79-0.025-1028.93
atrtrail34.99-49020.2274225229.738251.7725755.51-4433.83-14590.011.860.79-0.024-662.44
50trail-13.33-55568.7488236526.144926.3517420.38-2598.07-3887.471.90.67-0.039-631.46
atrtrail-15.35-88556.8774225229.736454.6517239-4433.83-14590.011.460.62-0.051-1196.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 37.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
ULTRACEMCO Performance, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Jun 2019 (3.78%), 15 Jul 2019 (-1.45%), 01 Oct 2019 (-1.69%)
2018319 Jan 2018 (2.16%), 10 Sep 2018 (-1.63%), 14 Sep 2018 (-1.94%)
2017924 May 2017 (-1.65%), 31 May 2017 (-1.87%), 12 Jul 2017 (2.85%), 21 Jul 2017 (-1.54%), 19 Oct 2017 (2.93%), 20 Nov 2017 (2.55%), 30 Nov 2017 (-1.66%), 12 Dec 2017 (2.84%), 22 Dec 2017 (3.04%)
2016806 May 2016 (2.6%), 13 May 2016 (3.65%), 24 May 2016 (2.47%), 30 May 2016 (3.7%), 29 Sep 2016 (3.48%), 26 Oct 2016 (-1.09%), 28 Oct 2016 (-1.97%), 08 Nov 2016 (-1.01%)
2015410 Mar 2015 (-1.69%), 04 Jun 2015 (-1.92%), 15 Oct 2015 (-1.3%), 16 Oct 2015 (-1.69%)
20141205 May 2014 (-1.96%), 11 Jul 2014 (2.5%), 18 Jul 2014 (-1.69%), 05 Aug 2014 (-1.82%), 12 Aug 2014 (3.08%), 26 Aug 2014 (-1.84%), 15 Sep 2014 (-1.4%), 17 Sep 2014 (-1.87%), 10 Nov 2014 (2.58%), 13 Nov 2014 (-1.2%), 12 Dec 2014 (2.02%), 19 Dec 2014 (2.16%)
20131006 Feb 2013 (-1.53%), 14 Feb 2013 (-1.19%), 20 Feb 2013 (-1.14%), 15 Mar 2013 (-1.4%), 16 Apr 2013 (-1.74%), 02 May 2013 (2.45%), 20 Nov 2013 (-1.86%), 25 Nov 2013 (-1.02%), 28 Nov 2013 (-1.62%), 09 Dec 2013 (-1.71%)
20121202 Jan 2012 (-1.1%), 10 Jan 2012 (-1.78%), 13 Jan 2012 (3.45%), 17 Apr 2012 (3.1%), 19 Apr 2012 (-1.71%), 20 Apr 2012 (-1.14%), 13 Jun 2012 (2.3%), 04 Dec 2012 (-1.33%), 06 Dec 2012 (-1.05%), 14 Dec 2012 (-1.38%), 21 Dec 2012 (-1.19%), 31 Dec 2012 (2.84%)
20111104 Mar 2011 (3.99%), 20 Apr 2011 (-1.21%), 06 May 2011 (-1.53%), 10 May 2011 (-1.62%), 13 May 2011 (-1.2%), 14 Jun 2011 (-1.05%), 10 Oct 2011 (3.68%), 18 Nov 2011 (-1.33%), 12 Dec 2011 (-1.63%), 13 Dec 2011 (-1.12%), 29 Dec 2011 (-1.55%)
2010323 Apr 2010 (-1.57%), 19 Nov 2010 (3.25%), 03 Dec 2010 (2.67%)
2009525 Aug 2009 (3.98%), 16 Sep 2009 (3.63%), 17 Sep 2009 (3.62%), 24 Sep 2009 (-1.44%), 23 Oct 2009 (-1.44%)
2007429 Jan 2007 (-1.34%), 26 Oct 2007 (3.47%), 14 Nov 2007 (-1.65%), 14 Dec 2007 (-1.89%)
2006318 May 2006 (-1.06%), 28 Jun 2006 (2.19%), 23 Nov 2006 (3.19%)
2005214 Dec 2005 (3.81%), 22 Dec 2005 (-1.66%)



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