Study: Sell ARVIND when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell ARVIND when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ARVIND 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. buy 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
19880.1251272452.943837.5114012.74-3905.53-18048.780.981.110.0073193.73
2-11113.0151302158.824978.0926751.59-7640.74-23414.630.650.93-0.0054-217.9
3-14746.2251242747.067919.7336433.12-7585.91-36707.321.040.93-0.0054-289.14
4-8547.8851252649.029436.5938216.56-9402.41-34878.0510.97-0.0028-167.61
5-35453.3851232845.19593.5744585.99-9146.63-37926.831.050.86-0.011-695.16
6-33952.3451252649.029435.1832101.91-10378.15-34024.390.910.87-0.011-665.73
7-23837.5151282354.99371.2233859.4-12444.86-37439.020.750.92-0.0072-467.4
8-84103.7651262550.989169.8326111.91-12900.77-35731.710.710.74-0.025-1649.09
9-98021.3251282354.98768.4225477.71-14936.39-42317.070.590.71-0.026-1921.99
10-11211751242747.069870.9828280.25-12926.67-44390.240.760.68-0.03-2198.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.11. 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 52.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.097%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0073, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
atrtrail2437087.5361253640.9810243.7926552.43-6083.54-14585.761.681.170.013607.99
nilnil-119880.1251272452.943837.5114012.74-3905.53-18048.780.981.110.0073193.73
atrtrail34.4611357.0561253640.989214.5737326.56-6083.54-14585.761.511.050.0037186.18
atrnil26.72-31195.85015353017189.8926552.43-8258.4-195042.080.89-0.011-623.92
atrtrail-14.75-48723.85602436407095.1431771.22-6083.54-14585.761.170.78-0.02-812.06
200trail31.6-46373.5477176022.087382.0610721.29-2864.48-3946.452.580.73-0.027-602.25
200nil31.67-53535.2976156119.74870210721.29-3017.46-3965.352.880.71-0.03-704.41
200trail21.46-67168.9278186023.085961.917311.76-2908.05-3955.282.050.62-0.046-861.14
atrnil39.04-1277944573815.5626843.534559.76-8307.84-195043.230.6-0.044-2839.86
200nil21.47-74222.6478186023.085961.917311.76-3025.62-3965.351.970.59-0.05-951.57
200trail-12.28-102257751560204689.3413849.61-2876.62-3946.451.630.41-0.077-1363.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 40.98%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
ARVIND Performance, Profit Factor:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181109 Feb 2018 (-0.02%), 21 Feb 2018 (-2.27%), 06 Mar 2018 (-1.34%), 13 Mar 2018 (2.18%), 04 Apr 2018 (-3.24%), 08 Jun 2018 (-1.8%), 21 Jun 2018 (5.46%), 10 Jul 2018 (-1.22%), 13 Jul 2018 (5.5%), 17 Jul 2018 (0.32%), 02 Aug 2018 (-3.31%)
2017423 Jun 2017 (1.08%), 03 Jul 2017 (-1.84%), 10 Jul 2017 (-2.5%), 31 Aug 2017 (-2.62%)
2016205 Feb 2016 (0.18%), 10 May 2016 (-3.45%)
2015517 Apr 2015 (7.6%), 20 Aug 2015 (9.46%), 16 Sep 2015 (-4.75%), 01 Oct 2015 (-4.72%), 03 Nov 2015 (-0.77%)
2013725 Feb 2013 (-0.15%), 15 Mar 2013 (9.03%), 15 May 2013 (8.07%), 03 Jun 2013 (-1.66%), 10 Sep 2013 (-2.6%), 20 Sep 2013 (2.09%), 03 Oct 2013 (-3.57%)
2012511 Jan 2012 (-3.43%), 28 Feb 2012 (-6.72%), 14 Mar 2012 (-1.27%), 05 Oct 2012 (2.0%), 22 Oct 2012 (-3.04%)
2010516 Mar 2010 (-3.47%), 30 Mar 2010 (-4.03%), 16 Apr 2010 (-2.02%), 28 Jun 2010 (1.12%), 15 Jul 2010 (1.68%)
2007219 Jul 2007 (2.77%), 31 Aug 2007 (-5.06%)
2004204 Feb 2004 (-7.29%), 08 Apr 2004 (-4.3%)
2003403 Feb 2003 (8.29%), 07 Feb 2003 (1.22%), 07 Apr 2003 (-3.39%), 10 Apr 2003 (-4.09%)
2001131 Oct 2001 (3.37%)
1999412 Feb 1999 (0.19%), 27 Feb 1999 (12.44%), 28 Jul 1999 (13.28%), 18 Aug 1999 (-5.4%)
1997303 Feb 1997 (-3.41%), 29 May 1997 (-2.14%), 10 Jun 1997 (-2.37%)
1996518 Apr 1996 (-3.32%), 19 Apr 1996 (6.74%), 02 Aug 1996 (7.83%), 19 Sep 1996 (8.19%), 26 Dec 1996 (-2.91%)
1995122 Nov 1995 (7.98%)



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