Study: Buy L&TFH when above 200 SMA and makes a 20 day low today

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In this study, we evaluate the performance of strategy "Buy L&TFH when above 200 SMA and makes a 20 day low today" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy L&TFH 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
19536.2294544.446694.4314010.51-3448.3-10431.151.941.550.0721059.58
225359.6897277.785862.316695.86-7838.23-13073.710.752.620.152817.74
325334.5496366.678123.2718914.19-7801.7-21418.641.042.080.122814.95
432402.5596366.6711033.8625452.42-11266.87-25312.930.981.960.123600.28
524997.6895455.5612126.4821599.53-8908.69-29068.151.361.70.0862777.52
629775.7696366.6710127.8120013.71-10330.37-25730.180.981.960.113308.42
7-16804.1794544.4412145.3519030.94-13077.12-32962.450.930.74-0.051-1867.13
8-21425.1494544.4410230.4416112.08-12469.38-38664.810.820.66-0.066-2380.57
9-14763.3195455.5611322.9731873.91-17844.54-50069.540.630.79-0.034-1640.37
10-10526.4195455.5611266.830706.36-16715.1-47426.980.670.84-0.025-1169.6

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.62. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 77.78%, which is excellent. Average return per trade is 1.41%, which is not very high, but percentage of profitable trades compensates for it. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
L&TFH Performance, X=2, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016324 Jun 2016 (6.17%), 29 Sep 2016 (8.35%), 15 Nov 2016 (0.59%)
2015213 Aug 2015 (1.78%), 02 Nov 2015 (0.6%)
2013421 Mar 2013 (-1.3%), 13 Jun 2013 (1.12%), 24 Jul 2013 (-6.54%), 27 Nov 2013 (1.91%)

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
atrnil28.2781959.76117463.6415087.6222616.23-5913.4-7040.712.554.460.317450.89
atrtrail2445914.84117463.649795.9515015.06-5664.2-7040.711.733.030.224174.08
nilnil-1225359.6897277.785862.316695.86-7838.23-13073.710.752.620.152817.74
atrtrail34.9135241.7117463.648271.2122522.58-5664.2-7040.711.462.560.153203.79
atrnil313.0960765.11114736.3625729.7633924.34-6021.99-7040.714.272.440.155524.1
atrtrail-15.5527004.94117463.647094.5317623.15-5664.2-7040.711.252.190.142454.99

In the table above, row 1 shows the best exit criterion. Profit factor is 4.46. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 3.73%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
L&TFH Performance, Profit Factor:4.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016324 Jun 2016 (5.81%), 29 Sep 2016 (7.51%), 15 Nov 2016 (11.31%)
2015213 Aug 2015 (5.3%), 02 Nov 2015 (-1.9%)
2013621 Mar 2013 (9.69%), 13 Jun 2013 (6.34%), 24 Jun 2013 (6.86%), 24 Jul 2013 (-3.17%), 25 Jul 2013 (-3.52%), 27 Nov 2013 (-3.24%)



View performance of other stocks for this trading system.