Study: Sell ARVIND when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > arvind > 17

In this study, we evaluate the performance of strategy "Sell ARVIND when below 200 SMA and near 50 SMA and below 50 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
12615.7845252055.563919.114436.09-4768.08-32820.510.821.030.001758.13
21744.5145291664.445162.614371.26-9248.18-45128.210.561.010.0008138.77
3-29537.2945252055.566258.9418263.47-9300.55-38974.360.670.84-0.013-656.38
4-83452.5345232251.116611.5828699.55-10705.41-35287.90.620.65-0.032-1854.5
5-55743.9545242153.337599.7120059.88-11339.86-31892.140.670.77-0.02-1238.75
6-49054.5845261957.788048.1428921.89-13595.06-32223.980.590.81-0.016-1090.1
7-57532.2545232251.118989.0125306.65-12012.71-29824.560.750.78-0.02-1278.49
8-40738.5345242153.339038.6621230.16-12269.83-27631.580.740.84-0.015-905.3
9-11144245212446.679728.9228993.06-13156.24-45560.20.740.65-0.035-2476.5
10-29963.7545252055.569674.925297.62-13591.81-38323.350.710.89-0.0093-665.86

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.03. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.029%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0017, 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
nilnil-112615.7845252055.563919.114436.09-4768.08-32820.510.821.030.001758.13
50nil21.59-5839.7869224731.886255.097839.29-3052.17-3939.622.050.96-0.0039-84.63
50trail21.52-12138.7869214830.436179.657784.43-2956.49-3939.622.090.91-0.0084-175.92
50trail31.9-24222.9967175025.377012.111676.65-2868.57-3939.622.440.83-0.015-361.54
50nil32.27-28589.5266145221.219331.3411676.65-3062.08-3927.713.050.82-0.017-433.17
atrtrail24.11-56448.5553163730.1911850.6622202.55-6650.25-16798.361.780.77-0.022-1065.07
50trail-12.57-46766.6867165123.886052.4714572.06-2815.81-3939.622.150.67-0.032-698.01
atrtrail34.74-84212.9653163730.1910115.3829147.19-6650.25-16798.361.520.66-0.034-1588.92
atrtrail-15.06-85805.1553163730.1910015.8743139.62-6650.25-16798.361.510.65-0.032-1618.97
atrnil26.26-11886447133427.6616054.2822202.55-9634.41-16798.361.670.64-0.043-2529.03
atrnil39.51-2485394353811.6323232.8429147.19-9597.45-16798.362.420.32-0.11-5779.98

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.029%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0017, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ARVIND Performance, X=1, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Apr 2019 (-1.23%)
2018607 Jun 2018 (-1.45%), 25 Jun 2018 (0.39%), 20 Jul 2018 (-0.79%), 07 Aug 2018 (2.32%), 27 Aug 2018 (1.67%), 10 Sep 2018 (4.22%)
2017114 Aug 2017 (-1.44%)
2016112 Apr 2016 (-0.49%)
2015103 Nov 2015 (2.67%)
2013506 May 2013 (-4.34%), 28 May 2013 (0.25%), 12 Jun 2013 (2.62%), 01 Jul 2013 (1.32%), 30 Jul 2013 (-1.74%)
2012411 Jan 2012 (1.52%), 02 Jul 2012 (-0.39%), 18 Jul 2012 (0.54%), 13 Sep 2012 (-1.07%)
2009103 Feb 2009 (-0.66%)
2008205 Aug 2008 (1.38%), 23 Dec 2008 (-6.31%)
2007604 Jan 2007 (0.09%), 07 May 2007 (1.31%), 23 May 2007 (1.0%), 07 Jun 2007 (0.67%), 08 Aug 2007 (2.19%), 24 Aug 2007 (0.77%)
2006306 Mar 2006 (-1.71%), 30 Mar 2006 (-6.18%), 25 Apr 2006 (-0.25%)
2001214 May 2001 (4.19%), 28 Sep 2001 (-0.0%)
2000101 Nov 2000 (-16.41%)
1999127 Dec 1999 (3.7%)
1998518 Mar 1998 (-0.23%), 28 Apr 1998 (0.45%), 15 Sep 1998 (-0.0%), 28 Oct 1998 (0.3%), 13 Nov 1998 (7.22%)
1997122 Oct 1997 (2.38%)
1996429 Feb 1996 (-2.04%), 11 Apr 1996 (-0.93%), 23 Oct 1996 (3.63%), 19 Nov 1996 (2.2%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play