Study: Sell CADILAHC 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 CADILAHC 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 CADILAHC 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
1921.2128101835.712974.7410678.66-1601.46-4796.921.861.030.002532.9
2-5517.128131546.434225.8212821.79-4030.18-11894.841.050.91-0.0081-197.04
3-34102.8128131546.434457.7516439.72-6136.91-16405.690.730.63-0.04-1217.96
42390.7128181064.293437.0918507.11-5947.7-14739.260.581.040.003185.38
5-22952.12281414504453.0213092.85-6092.46-18014.650.730.73-0.026-819.72
6-25961.4728111739.296115.4119898.62-5484.17-18487.391.120.72-0.025-927.2
7-25202.3628131546.435536.7121596.11-6478.64-17261.90.850.74-0.023-900.08
8-10625.9328151353.576427.0520799.53-8233.21-18277.310.780.9-0.0093-379.5
9-12090.5928131546.438092.8623248.27-7819.85-19082.631.030.9-0.0094-431.81
10-13463.9328151353.578042.7726720.11-10315.81-260480.780.9-0.0091-480.85
Although, strategy looks good but profit factor on day 3 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
200trail31.98-15710.0155163929.096201.6211605.93-2947.07-3953.612.10.86-0.014-285.64
atrnil38.29-42377.113172422.5820842.5926680.28-7844.8-13307.552.660.77-0.025-1367
atrnil27.06-43711.333292328.1214874.2422702.11-7720.85-13307.551.930.75-0.03-1365.98
200nil32.23-32427.9853124122.647787.589762.45-3070.22-3953.612.540.74-0.03-611.85
atrtrail24.3-53741.85408322014536.3821758.81-5313.53-9583.12.740.68-0.036-1343.55
200trail21.84-36851.8556173930.364579.617737.29-2941.16-3953.611.560.68-0.041-658.07
200trail-12.69-41817.4555144125.455344.516541.92-2844.89-3953.611.880.64-0.039-760.32
atrtrail34.9-65325.47408322013088.4226792.17-5313.53-9583.12.460.62-0.043-1633.14
200nil22.02-53421.3755144125.455241.966508.3-3092.9-3953.611.690.58-0.06-971.3
atrtrail-15.22-92405.0940832209703.4720961.34-5313.53-9583.11.830.46-0.075-2310.13

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 29.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:0.863

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Sep 2018 (-1.49%), 03 Oct 2018 (3.84%)
2017310 Jan 2017 (-1.95%), 11 Jan 2017 (0.23%), 20 Jan 2017 (-1.33%)
2016402 Aug 2016 (-1.39%), 03 Aug 2016 (-1.41%), 22 Dec 2016 (4.85%), 30 Dec 2016 (-1.5%)
2012423 May 2012 (-1.4%), 29 May 2012 (-1.48%), 30 May 2012 (-0.58%), 11 Jun 2012 (-1.29%)
2011624 Aug 2011 (-1.13%), 06 Sep 2011 (-1.87%), 08 Sep 2011 (-1.02%), 09 Sep 2011 (-1.87%), 13 Sep 2011 (-1.82%), 19 Sep 2011 (-1.63%)
2008103 Jun 2008 (-1.62%)
20071112 Feb 2007 (-1.58%), 28 Feb 2007 (-1.85%), 01 Mar 2007 (-1.7%), 07 Mar 2007 (3.54%), 13 Mar 2007 (3.47%), 24 Apr 2007 (-1.21%), 30 Apr 2007 (-1.98%), 10 May 2007 (0.1%), 16 May 2007 (-1.86%), 10 Aug 2007 (-1.32%), 13 Aug 2007 (3.18%)
2006426 Jun 2006 (0.68%), 04 Jul 2006 (3.65%), 12 Dec 2006 (-1.85%), 13 Dec 2006 (-1.69%)
2005603 Mar 2005 (-1.02%), 10 Mar 2005 (-1.11%), 15 Mar 2005 (-1.44%), 30 Aug 2005 (-1.45%), 17 Oct 2005 (4.88%), 22 Dec 2005 (-1.95%)
2004221 Jun 2004 (3.21%), 25 Jun 2004 (-1.52%)
2003511 Apr 2003 (-1.15%), 21 Apr 2003 (-1.2%), 02 May 2003 (4.26%), 15 May 2003 (-1.8%), 21 May 2003 (-0.79%)
2002227 Aug 2002 (0.2%), 03 Sep 2002 (5.8%)
2001507 Feb 2001 (-1.0%), 16 Feb 2001 (3.41%), 26 Feb 2001 (-1.82%), 28 Feb 2001 (-1.39%), 01 Mar 2001 (4.31%)



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