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

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In this study, we evaluate the performance of strategy "Sell CESC when below 200 SMA and near 50 SMA and below 50 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 CESC 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
1-1227232151746.883235.4810267.81-3576.72-14168.040.90.8-0.016-383.5
25463.06321616504487.712224.94-4146.26-9510.361.081.080.0064170.72
331511.6532201262.55861.8325589.82-7143.75-19769.360.821.370.024984.74
434204.132181456.258477.5820919.18-8456.6-33716.4811.290.0191068.88
577269.8932201262.59591.6926219.96-9546.99-37547.8911.670.0382414.68
664367.0932191359.3810159.0130427.89-9896.47-32950.191.031.50.0332011.47
76972132201262.59537.5827892.23-10085.88-27586.210.951.580.0372178.78
812032532211165.6210351.6127258.32-8823.53-21739.131.172.240.0663760.16
914090132221068.7511050.7731378.76-10221.59-39525.691.082.380.0664403.16
1082852.3132201262.512450.9332329.64-13847.19-58893.280.91.50.032589.13
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=9, Profit Factor:2.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020223 Jan 2020 (3.61%), 11 Feb 2020 (6.04%)
2019422 Jan 2019 (0.07%), 14 Feb 2019 (1.67%), 28 Feb 2019 (-7.99%), 30 Apr 2019 (5.61%)
2018121 Sep 2018 (12.6%)
2015319 Aug 2015 (9.46%), 17 Nov 2015 (-2.63%), 03 Dec 2015 (9.51%)
2012130 Mar 2012 (4.95%)
2011303 Jan 2011 (6.84%), 24 Mar 2011 (-4.4%), 29 Apr 2011 (8.26%)
2010523 Jun 2010 (0.93%), 29 Jul 2010 (-1.08%), 16 Aug 2010 (2.48%), 27 Sep 2010 (-0.49%), 12 Oct 2010 (2.75%)
2009113 Jan 2009 (-0.22%)
2008105 Jun 2008 (7.18%)
2006125 Jul 2006 (-9.86%)
2002206 Mar 2002 (-0.85%), 22 Mar 2002 (6.36%)
2001114 Nov 2001 (-3.83%)
2000120 Jan 2000 (15.69%)
1999209 Feb 1999 (0.86%), 17 Jun 1999 (-19.76%)
1998305 Aug 1998 (8.5%), 20 Aug 1998 (4.33%), 06 Oct 1998 (1.65%)
1996117 Jan 1996 (2.2%)

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
50nil32.4529617.6547133427.6610540.5111957.49-3159.09-3975.493.341.280.02630.16
50trail32.125874.5149153430.618590.5411957.49-3028.93-3975.492.841.250.018528.05
atrtrail-16.0226123.3341152636.5913249.7685590.67-6639.35-16178.121.150.008637.15
50nil21.912293.2948163233.337040.037971.66-3135.85-3975.492.251.120.011256.11
50trail21.8411656.9949163332.657040.037971.66-3060.11-3975.492.31.120.01237.9
50trail-12.82-13287.149143528.576610.8822002.45-3023.99-3975.492.190.87-0.01-271.17
atrtrail35.15-23899.8941152636.599914.8825294.32-6639.35-16178.11.490.86-0.012-582.92
atrtrail24.12-29164.1142162638.19223.5716862.88-6797.74-16178.11.360.83-0.016-694.38
atrnil25.51-54705.6841142734.1513416.8720705.18-8983.03-16535.841.490.77-0.024-1334.28
atrnil38.11-72862.513892923.6820621.5131057.78-8912.28-16535.842.310.72-0.029-1917.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 27.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
CESC Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020423 Jan 2020 (-1.26%), 28 Jan 2020 (5.97%), 11 Feb 2020 (-1.92%), 13 Feb 2020 (5.98%)
2019522 Jan 2019 (-1.3%), 28 Jan 2019 (-1.99%), 04 Feb 2019 (-1.34%), 14 Feb 2019 (-1.65%), 30 Apr 2019 (4.95%)
2018121 Sep 2018 (4.38%)
2015419 Aug 2015 (-1.17%), 17 Nov 2015 (-1.99%), 26 Nov 2015 (-1.82%), 03 Dec 2015 (-1.73%)
2012130 Mar 2012 (-1.56%)
2011503 Jan 2011 (-1.9%), 12 Jan 2011 (5.87%), 24 Mar 2011 (-1.5%), 29 Apr 2011 (-1.29%), 02 May 2011 (5.32%)
2010923 Jun 2010 (5.87%), 06 Jul 2010 (-1.87%), 29 Jul 2010 (-1.0%), 11 Aug 2010 (-1.21%), 16 Aug 2010 (-1.68%), 25 Aug 2010 (-1.84%), 27 Sep 2010 (-1.79%), 01 Oct 2010 (-1.69%), 12 Oct 2010 (5.89%)
2009113 Jan 2009 (-1.12%)
2008205 Jun 2008 (-1.56%), 06 Jun 2008 (4.23%)
2006125 Jul 2006 (-1.97%)
2002306 Mar 2002 (-1.66%), 07 Mar 2002 (5.16%), 22 Mar 2002 (5.19%)
2001214 Nov 2001 (4.4%), 19 Nov 2001 (-1.45%)
2000120 Jan 2000 (-1.43%)
1999309 Feb 1999 (-1.03%), 16 Feb 1999 (-1.69%), 17 Jun 1999 (-1.94%)
1998305 Aug 1998 (-1.97%), 20 Aug 1998 (-1.82%), 06 Oct 1998 (-1.07%)
1996217 Jan 1996 (5.3%), 30 Jan 1996 (-1.48%)



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