Study: Sell CONCOR when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell CONCOR when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CONCOR 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
1-16089.159302950.852431.278056.87-3069.9-13490.080.790.82-0.016-272.7
25212.0859273245.764245.3113015.44-3419.1-15816.911.241.050.003888.34
36437.0759263344.075555.4726587-4181.97-16175.271.331.050.0037109.1
449416.759293049.156508.4132290.13-4644.24-14945.431.41.350.024837.57
57539.6759243540.688313.4827876.71-5485.25-25066.21.521.040.0033127.79
632006.7759263344.079563.2935910.79-6564.81-32950.871.461.150.011542.49
739228.1859273245.769813.8531130.57-7054.55-33539.281.391.170.014664.88
85764.4159283147.468902.7324977.81-7855.22-34716.091.131.020.002197.7
935258.8759273245.7610053.3829580.55-7380.7-25948.811.361.150.013597.61
10-49777.5659253442.3710411.7428018.69-9119.73-33554.081.140.84-0.015-843.69
Although, strategy looks good but profit factor on day 1 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
atrtrail35.3623006.6673244932.8812126.6837524.13-5470.08-12493.672.221.090.007315.16
atrtrail24.64-27890.1473244932.8810005.9825016.09-5470.08-12493.671.830.9-0.01-382.06
atrnil39.64-33905.453134024.5320832.9437524.13-7618.34-16957.742.730.89-0.011-639.72
atrtrail-15.92-32792.0673244932.889801.7428973.7-5470.08-12493.671.790.88-0.012-449.21
atrnil27.33-66264.4557174029.8213838.0625016.09-7537.79-16957.741.840.78-0.026-1162.53
200nil32.32-67371.2696177917.719471.3111728.04-2890.93-3967.953.280.71-0.033-701.78
200trail32.17-73714.461002080207337.2911728.04-2755.75-3967.952.660.67-0.038-737.14
200nil21.83-76117.031002377236348.187882.55-2884.74-3967.952.20.66-0.044-761.17
200trail-12.82-80338.4999207920.26906.0918375.67-2765.32-3967.952.50.63-0.04-811.5
200trail21.78-83570.89102228021.576318.717882.55-2782.28-3967.952.270.62-0.049-819.32

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 32.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, 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.
CONCOR Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019704 Feb 2019 (9.59%), 15 Mar 2019 (0.07%), 12 Apr 2019 (1.71%), 02 May 2019 (8.79%), 29 Jul 2019 (7.57%), 05 Sep 2019 (-1.15%), 11 Sep 2019 (-3.15%)
2018805 Mar 2018 (8.59%), 12 Apr 2018 (-2.51%), 26 Apr 2018 (-2.77%), 23 Jul 2018 (-1.79%), 01 Aug 2018 (0.29%), 07 Sep 2018 (3.8%), 01 Oct 2018 (10.54%), 12 Nov 2018 (-4.21%)
2017109 Feb 2017 (8.49%)
2016520 Apr 2016 (1.58%), 02 May 2016 (-2.75%), 13 May 2016 (-2.87%), 20 May 2016 (-2.75%), 19 Sep 2016 (-2.62%)
2014501 Jan 2014 (-3.03%), 20 Jan 2014 (-2.76%), 03 Feb 2014 (-2.34%), 07 Feb 2014 (-0.09%), 19 Feb 2014 (-1.88%)
20131024 Jan 2013 (-2.37%), 29 Jul 2013 (-0.31%), 27 Aug 2013 (-2.35%), 29 Aug 2013 (-3.81%), 12 Sep 2013 (-4.4%), 01 Oct 2013 (-3.53%), 27 Nov 2013 (-2.24%), 03 Dec 2013 (-2.73%), 12 Dec 2013 (0.22%), 23 Dec 2013 (-0.33%)
20121017 Feb 2012 (-3.45%), 28 Feb 2012 (6.49%), 30 Mar 2012 (2.69%), 30 May 2012 (2.59%), 02 Jul 2012 (-3.09%), 11 Jul 2012 (-1.51%), 17 Jul 2012 (-2.88%), 30 Nov 2012 (-0.05%), 14 Dec 2012 (-1.96%), 24 Dec 2012 (-1.94%)
2011118 Apr 2011 (11.42%)
2010728 May 2010 (-3.63%), 07 Jun 2010 (-3.37%), 27 Aug 2010 (-3.26%), 09 Sep 2010 (-3.31%), 30 Sep 2010 (-2.66%), 22 Oct 2010 (-1.04%), 22 Nov 2010 (6.25%)
2008512 May 2008 (12.11%), 11 Aug 2008 (-4.11%), 17 Sep 2008 (-0.47%), 24 Sep 2008 (0.74%), 06 Oct 2008 (13.03%)
2007306 Mar 2007 (-2.07%), 08 Mar 2007 (-1.68%), 30 Aug 2007 (-4.14%)
2006127 Jun 2006 (-5.97%)
2004421 May 2004 (-2.83%), 15 Jun 2004 (6.93%), 02 Aug 2004 (-4.91%), 17 Aug 2004 (-3.79%)
2002316 Jan 2002 (-2.79%), 22 Jan 2002 (-4.16%), 09 Sep 2002 (1.84%)
2000227 Jan 2000 (-6.25%), 04 Feb 2000 (18.76%)
1999127 Jul 1999 (1.43%)



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