Study: Buy ULTRACEMCO when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ULTRACEMCO 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 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
112612.9435181751.433239.619699.52-2688.23-11667.051.211.280.02360.37
231084.6352114605402.5120491.02-5883.44-19568.750.921.380.032888.13
3-7922.9835161945.715779.8619325.51-5284.25-22768.371.090.92-0.0075-226.37
49263.4235191654.296123.1825562.5-6692.31-28082.540.911.090.0075264.67
59891.1635181751.437298.8927599.17-7146.4-20375.611.021.080.0075282.6
6-3806.7935181751.437691.5526593.53-8367.92-25445.250.920.97-0.0025-108.77
726504.9735171848.5710130.9237101.94-8095.6-25128.741.251.180.016757.28
8-30478.6435152042.869846.9937559.04-8909.17-33133.631.110.83-0.018-870.82
9-62493.8235161945.718789.9738285.34-10691.23-42709.040.820.69-0.034-1785.54
10-70534.79351421409382.1730682.11-9613.58-29090.910.980.65-0.043-2015.28
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
atrtrail-14.95-14478.1260194131.6710054.2141016.56-5012.39-18784.92.010.93-0.0063-241.3
atrtrail34.18-41520.9460194131.678630.935039.55-5012.39-18784.91.720.8-0.021-692.02
atrtrail23.6-44592.6260204033.338039.7823359.7-5134.71-18784.91.570.78-0.024-743.21
atrnil25.53-73586.953163730.1912835.6723359.7-7539.4-18784.91.70.74-0.036-1388.43
atrnil37.96-1025565010402019754.0135039.55-7502.41-18784.92.630.66-0.045-2051.12

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 31.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ULTRACEMCO Performance, Profit Factor:0.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019517 Jun 2019 (1.0%), 08 Jul 2019 (2.73%), 30 Jul 2019 (-1.94%), 01 Aug 2019 (-0.01%), 19 Aug 2019 (-3.07%)
2018205 Sep 2018 (-0.01%), 12 Sep 2018 (-0.37%)
2017829 May 2017 (2.11%), 15 Jun 2017 (-0.25%), 23 Jun 2017 (-2.19%), 27 Jun 2017 (10.05%), 09 Aug 2017 (-1.86%), 10 Aug 2017 (0.65%), 20 Nov 2017 (0.51%), 04 Dec 2017 (-2.14%)
2016204 Nov 2016 (0.71%), 09 Nov 2016 (-0.73%)
2015713 Mar 2015 (-3.37%), 20 Mar 2015 (-3.25%), 25 Mar 2015 (5.6%), 23 Apr 2015 (-3.17%), 12 Aug 2015 (0.73%), 20 Aug 2015 (-2.64%), 21 Aug 2015 (-2.8%)
2014707 May 2014 (15.11%), 08 Jul 2014 (0.85%), 23 Jul 2014 (-1.55%), 28 Jul 2014 (-0.66%), 10 Oct 2014 (-2.68%), 16 Oct 2014 (11.59%), 17 Dec 2014 (10.24%)
2013410 Jan 2013 (-2.61%), 29 Jan 2013 (-0.28%), 01 Feb 2013 (3.35%), 13 Nov 2013 (1.02%)
2012416 Apr 2012 (-0.06%), 24 Apr 2012 (-2.04%), 04 May 2012 (0.32%), 15 Nov 2012 (-1.65%)
2010428 Apr 2010 (-2.67%), 29 Apr 2010 (-3.2%), 30 Apr 2010 (-3.54%), 04 May 2010 (-0.09%)
2009229 Oct 2009 (-2.93%), 03 Nov 2009 (-3.19%)
2008209 Jan 2008 (-4.03%), 10 Jan 2008 (-3.22%)
2007329 Jan 2007 (5.86%), 14 Feb 2007 (-5.11%), 23 Feb 2007 (-0.26%)
2006615 May 2006 (2.58%), 22 May 2006 (-3.91%), 31 May 2006 (-4.44%), 07 Jun 2006 (-9.39%), 19 Jul 2006 (-5.51%), 24 Jul 2006 (20.51%)
2005414 Oct 2005 (-4.41%), 18 Oct 2005 (-4.59%), 20 Oct 2005 (-0.32%), 07 Dec 2005 (-2.59%)



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