Study: Sell ARVIND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell ARVIND when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
136004.242214863.644407.0114012.74-3211.74-6200.71.372.40.0711636.56
266376.62216672.736005.4626751.59-4951.8-7961.841.213.230.083017.12
365002.382211115010767.3336433.12-4858.02-13037.042.222.220.0552954.65
486432.8522121054.5512307.6638216.56-6125.91-13037.042.012.410.0643928.77
585452.6522121054.5511476.244585.99-5226.18-10787.012.22.640.0643884.21
645862.5622121054.559976.2632101.91-7385.25-17185.191.351.620.0362084.66
739830.532213959.099620.5933859.4-9470.79-20169.851.021.470.031810.48
850484.0422121054.5510832.3326111.91-7950.39-25265.391.361.630.0412294.73
932434.342211115010681.3625477.71-7732.79-21443.741.381.380.0251474.29
1045363.2922101245.4512739.5628280.25-6836.02-15701.751.861.550.0332061.97

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.23. Strategy is very good and impressively bearish. Percentage of profitable trades is 72.73%, which is good. Average return per trade is 1.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
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.
ARVIND Performance, X=2, Profit Factor:3.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018209 Feb 2018 (0.58%), 06 Mar 2018 (0.33%)
2017123 Jun 2017 (3.63%)
2016105 Feb 2016 (0.44%)
2015320 Aug 2015 (8.96%), 01 Oct 2015 (-3.98%), 03 Nov 2015 (-2.18%)
2013225 Feb 2013 (2.61%), 15 Mar 2013 (3.15%)
2012114 Mar 2012 (3.55%)
2010316 Mar 2010 (-2.67%), 31 Mar 2010 (-2.22%), 16 Apr 2010 (0.3%)
2004104 Feb 2004 (1.8%)
2003103 Feb 2003 (0.47%)
1999227 Feb 1999 (13.38%), 28 Jul 1999 (4.16%)
1997229 May 1997 (0.36%), 12 Jun 1997 (-3.2%)
1996202 Aug 1996 (2.31%), 19 Sep 1996 (-0.61%)
1995122 Nov 1995 (2.02%)

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
nilnil-1266376.62216672.736005.4626751.59-4951.8-7961.841.213.230.083017.12
atrtrail35.0495851.8426121446.1513604.5937326.56-4814.51-14585.762.832.420.063686.61
atrtrail24.2794903.2126121446.1513525.5326552.43-4814.51-14585.762.812.410.0663650.12
atrtrail-15.7246350.182511144410341.2231771.22-4814.51-14585.762.151.690.0371854.01
atrnil27.6552907.292391439.131914326552.43-8527.12-195042.241.440.0332300.32
200trail31.747323.5735102528.577390.9710721.29-2663.45-3810.552.771.110.0087209.24
200trail21.56-2017.2936112530.566107.597311.76-2768.03-3955.282.210.97-0.0027-56.04
200nil31.88-6823.253482623.538791.7110721.29-2967.57-3890.372.960.91-0.008-200.68
200nil21.58-7445.1836112530.566107.597311.76-2985.15-3955.282.050.9-0.0099-206.81
atrnil310.09-19962.222351821.7427834.1537326.56-8840.72-195043.150.87-0.011-867.92
200trail-12.44-26755.453492526.474454.513849.61-2673.84-3810.551.670.6-0.041-786.93

In the table above, row 1 shows the best exit criterion. Profit factor is 3.23. Strategy is very good and impressively bearish. Percentage of profitable trades is 72.73%, which is good. Average return per trade is 1.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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