Study: Sell BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
13648.0149252451.023726.0121083.74-3729.26-13643.9311.040.002974.45
2-23896.9149252451.025086.7922463.05-6294.44-17865.610.810.84-0.014-487.69
3-98327.2149272255.15199.417142.86-10850.49-600000.480.59-0.034-2006.68
4-88845.7849242548.987699.9323054.19-10945.76-512500.70.68-0.03-1813.18
5-95915.9949252451.028347.4218170.81-12691.73-47343.750.660.69-0.03-1957.47
6-12946549222744.99353.9425221.67-12416.72-456250.750.61-0.039-2642.14
7-17736749193038.789971.425812.81-12227.47-518750.820.52-0.052-3619.74
8-18545449202940.8211969.7340783.41-14649.97-44062.50.820.56-0.046-3784.78
9-13700749202940.8213080.5846774.19-13745.48-50434.780.950.66-0.034-2796.07
10-97207.7849222744.913770.3156451.61-14820.54-41739.130.930.76-0.022-1983.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.04. 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 51.02%, which is not acceptable. Avoid this strategy. Average return per trade is 0.037%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0029, which is low, don't trade solely on the basis of this study. 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
atrtrail24.0519342.1157203735.0912335.7621915.46-6145.22-11370.372.011.090.0071339.34
nilnil-113648.0149252451.023726.0121083.74-3729.26-13643.9311.040.002974.45
50trail31.89-1527.8371185325.358190.7911921.44-2810.6-3971.012.910.99-0.00091-21.52
atrnil25.73-17016.0852163630.7717864.1224800.3-8412.28-11370.372.120.94-0.0056-327.23
50nil31.96-14114.4670175324.298518.5111921.44-2998.66-3995.852.840.91-0.0084-201.64
50trail-12.85-14135.4466125418.1811105.1834101.24-2729.59-3971.014.070.9-0.0067-214.17
50trail21.62-29659.2273215228.775630.697947.63-2844.3-3971.011.980.8-0.022-406.29
50nil21.67-36426.0172215129.175630.697947.63-3032.75-3995.851.860.76-0.026-505.92
atrnil37.54-94112.024893918.7526405.8332873.18-8506.78-12400.153.10.72-0.03-1960.67
atrtrail34.71-71630.0655183732.738652.3931781.84-6145.22-11370.371.410.68-0.031-1302.36
atrtrail-14.89-10028455183732.737060.4820062.85-6145.22-11370.371.150.56-0.053-1823.35

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 35.09%, 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 0.0071, 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.
BALRAMCHIN Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018231 May 2018 (-4.25%), 13 Jul 2018 (9.15%)
2015223 Jan 2015 (-3.7%), 05 Feb 2015 (2.02%)
2014123 Dec 2014 (-4.43%)
2013808 Feb 2013 (1.45%), 25 Feb 2013 (-0.2%), 01 Mar 2013 (-3.12%), 15 Mar 2013 (9.37%), 02 Apr 2013 (-3.15%), 20 May 2013 (-2.04%), 30 May 2013 (6.63%), 31 Oct 2013 (-4.32%)
2012113 Jan 2012 (-0.62%)
2011823 Mar 2011 (-0.22%), 05 May 2011 (-2.91%), 05 Jul 2011 (-3.62%), 11 Jul 2011 (0.36%), 14 Jul 2011 (-2.29%), 18 Jul 2011 (-0.74%), 17 Oct 2011 (-4.32%), 11 Nov 2011 (8.31%)
2010422 Jun 2010 (-1.07%), 22 Jul 2010 (-1.96%), 18 Oct 2010 (-1.83%), 23 Dec 2010 (-4.35%)
2008123 Sep 2008 (10.96%)
2007529 Mar 2007 (-5.38%), 23 Apr 2007 (-2.84%), 08 May 2007 (-3.7%), 21 Jun 2007 (-4.87%), 14 Sep 2007 (-5.08%)
2006312 Oct 2006 (-3.43%), 07 Nov 2006 (-2.86%), 09 Nov 2006 (8.48%)
2005215 Jun 2005 (0.76%), 23 Nov 2005 (-3.12%)
2003513 Jan 2003 (6.71%), 11 Apr 2003 (8.04%), 16 Apr 2003 (8.4%), 21 Apr 2003 (8.74%), 16 May 2003 (-5.69%)
2002130 Jan 2002 (-3.68%)
2001102 Nov 2001 (-1.91%)
2000413 Apr 2000 (10.59%), 31 May 2000 (1.56%), 21 Jun 2000 (-1.96%), 29 Jun 2000 (-3.45%)
1999520 Mar 1999 (1.81%), 17 Apr 1999 (10.14%), 04 May 1999 (-4.24%), 15 Jun 1999 (-3.65%), 02 Sep 1999 (-2.42%)
1998312 Jan 1998 (-4.32%), 03 Feb 1998 (7.6%), 15 Dec 1998 (-1.93%)
1996116 Sep 1996 (2.28%)



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