Study: Sell CESC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell CESC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
11851.361991047.374299.7114862-3684.6-14164.711.171.050.003497.44
2-39771.881991047.375800.8315397.06-9197.93-30166.340.630.57-0.04-2093.26
36214.611912763.166563.0222157.53-10363.08-28696.810.631.090.0061327.08
45371.451911857.897306.1522080.68-9374.52-23777.940.781.070.0052282.71
553415.781912763.168499.7330148.62-6940.14-17593.631.222.10.0522811.36
696666.791913668.4210301.7443736.73-6209.31-20902.261.663.590.0825087.73
773844.041913668.429382.2130573.25-8020.79-25614.041.172.530.0683886.53
870296.51912763.169853.7823779.19-6849.83-27669.171.442.470.0663699.82
982424.771912763.1611940.3526987.76-8694.21-30676.691.372.350.0634338.15
1057290.431911857.8911992.9636518.05-9329.02-32080.21.291.770.043015.29
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CESC Performance, X=6, Profit Factor:3.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Nov 2019 (-1.6%), 05 Dec 2019 (0.73%)
2018207 Feb 2018 (-2.43%), 06 Mar 2018 (1.1%)
2015109 Feb 2015 (7.99%)
2013215 Feb 2013 (4.08%), 14 Aug 2013 (3.7%)
2012130 Mar 2012 (0.92%)
2010531 May 2010 (2.62%), 11 Aug 2010 (-1.67%), 25 Aug 2010 (0.73%), 27 Sep 2010 (-0.63%), 12 Oct 2010 (4.3%)
2008201 Feb 2008 (-1.84%), 25 Feb 2008 (6.28%)
2005107 Nov 2005 (-10.45%)
2003224 Jan 2003 (4.12%), 28 Feb 2003 (8.51%)
2001102 Mar 2001 (21.87%)

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
200trail-13.9642833.142391439.138966.8617497.83-2704.9-3822.973.322.130.0541862.31
200nil33.4839796.012391439.139107.1210985.04-3012-3945.013.021.940.0581730.26
200trail22.231859.42251213485787.57323.36-2891.58-3822.9721.850.0571274.38
200trail32.9629698.942391439.137507.5110985.04-2704.9-3822.972.781.780.0481291.26
200nil22.625602.24251114446160.947323.36-3012-3945.012.051.610.0451024.09
atrtrail25.2946229.492181338.116267.4633011.15-6454.63-20321.932.521.550.0342201.4
atrnil26.7152973.022191242.8617892.2833011.15-9004.79-20321.931.991.490.0352522.52
atrtrail36.436132.882181338.111255.3928230.83-6454.63-20321.931.741.070.0053292.04
atrtrail-16.571311.032181338.110652.6528230.83-6454.63-20321.931.651.020.001262.43
atrnil311.76-18939.052141719.0531806.3349516.73-8597.9-20321.933.70.87-0.011-901.86

In the table above, row 1 shows the best exit criterion. Profit factor is 2.13. 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 39.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, 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:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Nov 2019 (-1.54%), 04 Dec 2019 (0.84%)
2018307 Feb 2018 (-1.62%), 20 Feb 2018 (-1.57%), 06 Mar 2018 (8.75%)
2015109 Feb 2015 (-1.55%)
2013215 Feb 2013 (4.81%), 14 Aug 2013 (7.31%)
2012230 Mar 2012 (-1.91%), 09 Apr 2012 (3.6%)
2010731 May 2010 (-0.14%), 11 Aug 2010 (-1.13%), 16 Aug 2010 (-1.66%), 25 Aug 2010 (0.4%), 27 Sep 2010 (-1.01%), 01 Oct 2010 (-1.27%), 12 Oct 2010 (0.86%)
2008201 Feb 2008 (-1.42%), 25 Feb 2008 (-1.27%)
2005107 Nov 2005 (-1.8%)
2003224 Jan 2003 (-1.05%), 28 Feb 2003 (5.98%)
2001102 Mar 2001 (7.79%)



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