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

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In this study, we evaluate the performance of strategy "Sell ASHOKLEY 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 ASHOKLEY 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
136663.648291960.424500.4512862.55-4939.44-16660.090.911.390.026763.83
292163.7148291960.426889.5517518.25-5664.9-14844.061.221.860.0531920.08
315508148291960.429685.6320472.44-6621.18-16346.151.462.230.0693230.85
414976948311764.589232.2223899.37-8025.28-20078.741.152.10.0633120.19
517897848272156.2512402.4733946.68-7423.26-20078.741.672.150.0633728.71
621160548291960.4212753.2241231.69-8328.35-23622.051.532.340.0684408.43
723849448301862.512571.9851798.56-7703.62-20199.651.632.720.0734968.63
826078548321666.6712693.9339904.08-9088.78-24518.661.42.790.0795433.03
922671248311764.5812052.3930642.13-8641.86-21957.041.392.540.0754723.18
1021402048311764.5812461.2734547.5-10134.06-25365.851.232.240.0664458.76
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ASHOKLEY Performance, X=8, Profit Factor:2.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018325 Jun 2018 (5.3%), 11 Jul 2018 (18.06%), 23 Aug 2018 (3.36%)
2017427 Feb 2017 (-1.63%), 24 Mar 2017 (3.49%), 28 Apr 2017 (-1.35%), 19 May 2017 (-10.98%)
2016212 Feb 2016 (-5.17%), 29 Jul 2016 (7.66%)
2014109 Jan 2014 (6.15%)
2013307 Feb 2013 (6.85%), 20 May 2013 (-1.88%), 05 Jun 2013 (6.08%)
2012121 Nov 2012 (-7.68%)
2011504 Jan 2011 (12.58%), 08 Sep 2011 (4.56%), 28 Sep 2011 (7.87%), 17 Nov 2011 (2.34%), 09 Dec 2011 (17.65%)
2009129 Apr 2009 (-0.0%)
2008228 Apr 2008 (1.5%), 20 May 2008 (9.94%)
2007312 Mar 2007 (-0.36%), 16 Oct 2007 (-1.01%), 02 Nov 2007 (3.56%)
2006113 Dec 2006 (-7.56%)
2005119 Apr 2005 (-10.26%)
2004118 May 2004 (1.43%)
2003320 Jan 2003 (2.93%), 13 Mar 2003 (-0.77%), 28 Mar 2003 (-5.53%)
2002420 Sep 2002 (6.03%), 04 Nov 2002 (13.44%), 06 Dec 2002 (0.57%), 23 Dec 2002 (2.08%)
2001329 Mar 2001 (9.81%), 19 Sep 2001 (-3.86%), 09 Oct 2001 (1.51%)
2000107 Feb 2000 (19.95%)
1999113 Apr 1999 (6.16%)
1997110 Jul 1997 (6.55%)
1996628 Feb 1996 (5.48%), 23 Apr 1996 (-12.26%), 30 May 1996 (1.11%), 16 Jul 1996 (-2.41%), 02 Aug 1996 (3.01%), 30 Aug 1996 (0.52%)
1995122 Dec 1995 (5.57%)

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
200trail-13.3516208368274139.7110061.5240294.65-2672.64-3966.73.762.480.0552383.57
200trail31.9913771268293942.658378.4711890.19-2699.07-3966.73.12.310.0712025.18
200nil32.0413545367283941.798951.1711890.19-2953.33-3966.73.032.180.0682021.69
atrtrail35.518089060342656.6710854.3253534-7236.81-13275.91.51.960.0493014.83
atrtrail24.617646060342656.6710724.0235689.34-7236.81-13275.91.481.940.0552941
200nil21.6493655.1369333647.836028.977926.79-2925.03-3966.72.061.890.061357.32
200trail21.6287107.1469323746.385995.537926.79-2831.07-3966.72.121.830.0571262.42
atrtrail-16.0312268360342656.679142.3636253.58-7236.81-13275.91.261.650.0382044.72
atrnil39.1217500251193237.2524183.7353534-8890.28-19082.112.721.620.043431.41
atrnil26.3312439054243044.4416276.7835689.34-8875.08-19082.111.831.470.0352303.53

In the table above, row 1 shows the best exit criterion. Profit factor is 2.48. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 39.71%, which is not acceptable. Avoid this strategy. Average return per trade is 1.19%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, 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.
ASHOKLEY Performance, Profit Factor:2.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018725 Jun 2018 (2.67%), 06 Jul 2018 (-1.82%), 11 Jul 2018 (-1.34%), 13 Jul 2018 (16.15%), 23 Aug 2018 (-1.54%), 28 Aug 2018 (-0.54%), 03 Sep 2018 (2.37%)
2017527 Feb 2017 (-1.15%), 24 Mar 2017 (1.72%), 28 Apr 2017 (0.95%), 10 May 2017 (-1.17%), 19 May 2017 (-1.28%)
2016212 Feb 2016 (-1.72%), 29 Jul 2016 (-1.61%)
2014109 Jan 2014 (3.8%)
2013407 Feb 2013 (6.94%), 20 May 2013 (1.96%), 27 May 2013 (-1.33%), 05 Jun 2013 (9.38%)
2012121 Nov 2012 (-1.84%)
2011504 Jan 2011 (-1.69%), 08 Sep 2011 (5.82%), 28 Sep 2011 (0.13%), 17 Nov 2011 (1.17%), 09 Dec 2011 (10.09%)
2009229 Apr 2009 (-1.07%), 06 May 2009 (-1.81%)
2008228 Apr 2008 (-1.09%), 20 May 2008 (5.61%)
2007412 Mar 2007 (3.16%), 22 Mar 2007 (11.67%), 16 Oct 2007 (0.66%), 02 Nov 2007 (1.7%)
2006113 Dec 2006 (-1.8%)
2005119 Apr 2005 (-1.19%)
2004318 May 2004 (-1.54%), 19 May 2004 (-1.66%), 25 May 2004 (-1.87%)
2003502 Jan 2003 (-0.48%), 20 Jan 2003 (-1.66%), 24 Jan 2003 (0.45%), 13 Mar 2003 (-1.94%), 26 Mar 2003 (-1.22%)
2002520 Sep 2002 (-1.36%), 04 Nov 2002 (2.43%), 06 Dec 2002 (-1.05%), 11 Dec 2002 (-1.15%), 17 Dec 2002 (-1.0%)
2001429 Mar 2001 (4.67%), 19 Sep 2001 (-1.37%), 25 Sep 2001 (-1.98%), 09 Oct 2001 (-1.33%)
2000307 Feb 2000 (-1.45%), 09 Feb 2000 (-1.53%), 10 Feb 2000 (20.15%)
1999113 Apr 1999 (-0.7%)
1997110 Jul 1997 (8.18%)
1996928 Feb 1996 (5.19%), 13 Mar 1996 (-1.33%), 23 Apr 1996 (-1.17%), 30 May 1996 (-0.2%), 16 Jul 1996 (-1.05%), 02 Aug 1996 (5.79%), 30 Aug 1996 (-1.36%), 02 Sep 1996 (-1.37%), 10 Sep 1996 (2.42%)
1995222 Dec 1995 (-1.0%), 26 Dec 1995 (0.61%)



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