Study: Buy INFRATEL 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 INFRATEL 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 INFRATEL 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
110646.77128466.673757.199539.92-4852.69-6617.150.771.550.093887.23
2375.81127558.334070.7110385.66-5623.83-10074.270.721.010.002731.32
317808.65128466.675929.0115392.42-7405.86-12857.940.81.60.0941484.05
436844.93127558.33921323342.35-5529.22-9938.721.672.330.163070.41
569133.19128466.6711020.7634573.75-4758.23-10344.362.324.630.255761.1
649834.6127558.3310874.3230446.55-5257.13-9484.132.072.90.184152.88
751779.2312665015208.2334675.24-6578.36-13772.822.312.310.164314.94
859929.5112665015512.4933897.16-5524.24-13396.352.812.810.194994.13
995009.11128466.6716184.8136569.69-8617.34-18528.021.883.760.277917.43
1099320.64128466.6716609.3537686.06-8388.55-17852.81.983.960.288276.72
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
INFRATEL Performance, X=5, Profit Factor:4.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016108 Dec 2016 (-5.17%)
2015503 Mar 2015 (5.28%), 08 Apr 2015 (1.7%), 07 Jul 2015 (2.61%), 21 Jul 2015 (-3.12%), 14 Oct 2015 (0.33%)
2014630 Jan 2014 (-1.02%), 14 Feb 2014 (-0.2%), 30 Jul 2014 (7.64%), 25 Aug 2014 (4.81%), 10 Nov 2014 (4.42%), 04 Dec 2014 (17.29%)

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-17.0870972.19137653.8514847.0236363.41-5492.82-7505.92.73.150.25459.4
50trail-13.7959840.651951426.3218864.4734963.07-2462.98-3942.477.662.740.133149.51
atrtrail25.2348742.36137653.8511671.3316306.29-5492.82-7505.92.122.480.23749.41
atrtrail35.9245796.93137653.8511250.5520453.07-5492.82-7505.92.052.390.183522.84
atrnil312.1148916.2394544.4423167.9627929.38-8751.12-11523.642.652.120.175435.14
atrnil26.7327686.38115645.4515617.518619.59-8400.19-11523.641.861.550.12516.94
50trail32.3214459.361961331.587970.9211013.1-2566.63-3942.473.111.430.073761.02
50trail21.6810222.691971236.846026.367758.31-2663.48-3942.472.261.320.062538.04
50nil32.4712076.671961331.588606.5511013.1-3043.28-3942.472.831.310.057635.61
50nil21.746501.031971236.846026.367758.31-2973.62-3942.472.031.180.038342.16

In the table above, row 1 shows the best exit criterion. Profit factor is 3.15. Strategy is very good and impressively bullish. Percentage of profitable trades is 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 2.73%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INFRATEL Performance, Profit Factor:3.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016108 Dec 2016 (-3.74%)
2015503 Mar 2015 (4.78%), 08 Apr 2015 (-0.35%), 07 Jul 2015 (3.19%), 21 Jul 2015 (-2.34%), 14 Oct 2015 (-3.75%)
2014730 Jan 2014 (-3.02%), 14 Feb 2014 (-3.27%), 21 Feb 2014 (18.18%), 30 Jul 2014 (5.09%), 25 Aug 2014 (5.31%), 10 Nov 2014 (1.11%), 04 Dec 2014 (14.31%)



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