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

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In this study, we evaluate the performance of strategy "Sell BALRAMCHIN when near 200 SMA and below 200 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 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
1-36124.8223101343.484504.3910252.1-6243.75-26242.040.720.55-0.043-1570.64
2-30545.442391439.136640.1616816.14-6450.49-30063.691.030.66-0.029-1328.06
34998.062314960.876636.5818953.21-9768.24-29808.920.681.060.0039217.31
480223.762315865.2210708.9523318.39-10051.31-26846.311.0720.0593487.99
561768.142315865.2211619.8123865.55-14066.13-39720.560.831.550.0382685.57
627922.652314960.8712167.6731428.57-15824.97-49900.20.771.20.0141214.03
725525.6323131056.5213495.8231596.64-14992-39421.160.91.170.0131109.81
880026.352314960.8714684.7433781.51-13951.12-30271.521.051.640.0433479.41
91149822314960.8716247.0834285.71-12497.47-25548.91.32.020.0614999.21
101372772314960.8718871.232536.97-14102.26-30828.031.342.080.0665968.54
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BALRAMCHIN Performance, X=10, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017130 Nov 2017 (8.95%)
2014217 Jan 2014 (16.27%), 16 Sep 2014 (15.97%)
2013116 Dec 2013 (-4.07%)
2012216 May 2012 (-1.02%), 13 Jun 2012 (-0.72%)
2011112 Jan 2011 (10.63%)
2010211 Feb 2010 (9.71%), 12 Nov 2010 (15.19%)
2008201 Feb 2008 (-15.41%), 26 Mar 2008 (-14.62%)
2006122 Jun 2006 (8.96%)
2002230 Jan 2002 (-12.82%), 30 Sep 2002 (1.94%)
2001202 Jul 2001 (0.58%), 16 Jul 2001 (8.75%)
2000201 Feb 2000 (7.63%), 26 Dec 2000 (-4.04%)
1998214 Aug 1998 (-5.86%), 28 Sep 1998 (13.39%)
1997225 Mar 1997 (3.98%), 14 Oct 1997 (-4.89%)
1996127 Jun 1996 (10.16%)

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
atrnil310.2611898223101343.4827067.0964613.96-11668.36-29964.442.321.780.055173.14
200trail-12.9738631.63272521.8814635.5424369.87-2552.69-3939.35.731.610.0311207.24
atrtrail34.8846271.612512134815397.7534092.83-10653.95-29964.441.451.330.0251850.86
atrnil25.5228758.6323101343.4818044.7343075.98-11668.36-29964.441.551.190.0161250.38
atrtrail-15.8493052512134812317.225922.57-10653.95-29964.441.161.070.0056372.2
atrtrail24.4842.082512134811611.9522728.56-10653.95-29964.441.091.010.0005533.68
200nil31.97-22.523182325.817918.1710056.6-2755.13-3939.32.871-3.2e-05-0.73
200nil21.82-5804.3233102330.35756.367776.49-2755.13-3939.32.090.91-0.0092-175.89
200trail31.81-8562.973272521.887893.4611664.73-2552.69-3939.33.090.87-0.013-267.59
200trail21.73-21119.133382524.245442.577776.49-2586.39-3939.32.10.67-0.038-639.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 43.48%, which is not acceptable. Avoid this strategy. Average return per trade is 2.59%, which is very good. Sharpe Ratio is 0.05, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BALRAMCHIN Performance, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017130 Nov 2017 (9.52%)
2014217 Jan 2014 (10.21%), 16 Sep 2014 (17.05%)
2013116 Dec 2013 (-5.05%)
2012216 May 2012 (-5.22%), 13 Jun 2012 (-4.57%)
2011112 Jan 2011 (13.03%)
2010211 Feb 2010 (13.99%), 12 Nov 2010 (10.99%)
2008201 Feb 2008 (-14.98%), 26 Mar 2008 (-11.08%)
2006122 Jun 2006 (32.31%)
2002330 Jan 2002 (-3.68%), 30 Sep 2002 (-2.47%), 03 Oct 2002 (7.71%)
2001102 Jul 2001 (9.25%)
2000201 Feb 2000 (-6.54%), 26 Dec 2000 (-2.65%)
1998214 Aug 1998 (-4.48%), 28 Sep 1998 (11.3%)
1997225 Mar 1997 (-5.04%), 14 Oct 1997 (-3.99%)
1996127 Jun 1996 (-6.09%)



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