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

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In this study, we evaluate the performance of strategy "Sell ASHOKLEY 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 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
1-14938.2146252154.352734.465787.35-3966.65-11396.010.690.82-0.015-324.74
2-57672.25462323503731.289853.53-6238.77-27556.820.60.6-0.037-1253.74
3-64706.6462323505337.7222300.88-8151.05-35511.360.650.65-0.031-1406.67
4-39988.5646222447.837029.4421946.9-8109.84-34090.910.870.79-0.018-869.32
5-15231.0346222447.838263.9632212.39-8209.92-35227.271.010.92-0.0061-331.11
634895.6146212545.6510034.4737876.11-7033.13-343751.431.20.013758.6
72545.8946222447.8310591.4937168.14-9602.79-49147.731.11.010.000855.35
819780.6246222447.8312184.1441769.91-10344.6-38636.361.181.080.0059430.01
9-7676.5146222447.8312593.143893.81-11863.53-44602.271.060.97-0.0022-166.88
10-59370.5846212545.6513846.6350265.49-14005.99-39204.550.990.83-0.015-1290.66
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail35.3219495.3657174029.8214473.5141532.18-5663.86-11404.332.561.090.0059342.02
atrnil38.4821683.9646113523.9126966.941532.18-7855.77-13358.553.431.080.0063471.39
atrtrail-15.72-36.8157174029.8213324.5635486.81-5663.86-11404.332.351-1.2e-05-0.65
atrtrail24.82-24864.9857174029.8211864.0827688.12-5663.86-11404.332.090.89-0.0094-436.23
50nil32.5-36380.666145221.219111.2211839.08-3152.65-3927.322.890.78-0.022-551.22
50nil21.84-46777.7768185026.476137.557892.72-3145.07-3927.321.950.7-0.034-687.91
50trail21.73-47653.4370185225.715941.347892.72-2973.03-3886.7920.69-0.034-680.76
atrnil26.54-89098.7848113722.9217977.9327688.12-7752.87-13358.552.320.69-0.034-1856.22
50trail32.09-61518.8468145420.596593.2711798.23-2848.61-3886.792.310.6-0.044-904.69
50trail-12.53-73655.0768125617.656900.1524814.16-2793.87-3886.792.470.53-0.044-1083.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 29.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0059, 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:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019726 Mar 2019 (-2.15%), 26 Apr 2019 (-1.41%), 23 May 2019 (-3.41%), 31 May 2019 (-3.47%), 12 Jun 2019 (3.93%), 27 Jun 2019 (-2.31%), 05 Jul 2019 (9.92%)
2018210 Aug 2018 (-2.27%), 05 Nov 2018 (12.33%)
2017402 Jan 2017 (-2.89%), 02 Mar 2017 (-2.83%), 10 May 2017 (-2.3%), 19 May 2017 (0.81%)
2016118 Oct 2016 (-2.91%)
2013825 Apr 2013 (-2.43%), 06 May 2013 (-2.74%), 10 May 2013 (-1.04%), 19 Sep 2013 (-4.35%), 12 Nov 2013 (-4.62%), 20 Nov 2013 (-2.52%), 27 Nov 2013 (-4.0%), 06 Dec 2013 (-3.73%)
2011819 Apr 2011 (-4.35%), 02 Jun 2011 (0.08%), 04 Jul 2011 (-3.75%), 14 Jul 2011 (-3.47%), 20 Jul 2011 (-3.45%), 23 Aug 2011 (-3.22%), 03 Oct 2011 (2.35%), 09 Dec 2011 (13.0%)
2009216 Jan 2009 (2.11%), 05 Feb 2009 (-5.7%)
2008207 Apr 2008 (-4.73%), 23 May 2008 (14.87%)
2007726 Apr 2007 (-1.88%), 07 May 2007 (1.09%), 06 Jun 2007 (1.94%), 18 Jun 2007 (-2.66%), 28 Jun 2007 (-2.83%), 11 Sep 2007 (-1.87%), 01 Nov 2007 (0.32%)
2004322 Sep 2004 (-0.54%), 14 Oct 2004 (-1.09%), 28 Oct 2004 (-0.01%)
2003129 Jan 2003 (-3.69%)
2002126 Nov 2002 (-1.75%)
2001104 Jan 2001 (2.3%)
2000326 Apr 2000 (20.77%), 01 Jun 2000 (-4.74%), 20 Jun 2000 (10.36%)
1998216 Mar 1998 (-5.69%), 24 Sep 1998 (15.24%)
1997531 Jan 1997 (-0.73%), 13 Feb 1997 (-2.13%), 19 Feb 1997 (-0.78%), 28 Feb 1997 (-2.83%), 18 Aug 1997 (11.64%)



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