Study: Sell CONCOR when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell CONCOR when below 200 SMA and near 50 SMA and below 50 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
116219.4248262254.173060.310297.53-2879.48-13789.81.061.260.019337.9
229817.3148262254.174289.1711447.56-3713.69-23397.971.151.360.025621.19
334195.2448272156.255321.1817900.22-5213.17-23940.631.021.310.022712.4
476641.8448282058.33724719697.2-6313.71-26031.441.151.610.0411596.7
582029.8648262254.178634.3721878.04-6475.62-36517.441.331.580.0371708.96
670867.4748272156.258566.8626256.45-7639.89-35240.61.121.440.0311476.41
743455.2448291960.427935.7622831.82-9825.35-36118.430.811.230.018905.32
825279.2348252352.089676.2425606.67-9418.56-25776.081.031.120.0095526.65
957840.6248291960.429200.130169.42-10998.01-35111.110.841.280.0211205.01
106211448272156.2511268.9636459.84-11530.85-35972.220.981.260.021294.04
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
atrnil312.2613688439142535.922497.8937524.13-7123.47-11022.743.161.770.0543509.84
atrtrail36.0410671255203536.3613793.0237524.13-4832.81-9532.752.851.630.041940.22
atrnil29.3262484.3841162539.0214976.6425016.09-7085.68-11022.742.111.350.0311524.01
atrtrail-17.0556842.5855203536.3611299.5425766.75-4832.81-9532.752.341.340.0251033.5
atrtrail25.5130288.8555203536.369971.8525016.09-4832.81-9532.752.061.180.015550.71
50nil32.14-11507.1971185325.358619.8511584.77-3144.61-3951.582.740.93-0.007-162.07
50trail-13-21175.1372165622.228672.0929666.25-2855.87-3951.583.040.87-0.011-294.1
50trail31.96-21207.6173185524.667589.6111584.77-2869.46-3951.582.640.87-0.014-290.52
50nil21.9-40393.1773215228.775833.57723.18-3132.63-3951.581.860.75-0.03-553.33
50trail21.83-54948.2575205526.675143.617723.18-2869.46-3951.581.790.65-0.045-732.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 35.9%, which is not acceptable. Avoid this strategy. Average return per trade is 1.75%, 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. 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.
CONCOR Performance, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Mar 2019 (-3.04%), 24 Apr 2019 (-2.55%), 11 Sep 2019 (-3.15%)
2018410 Apr 2018 (-2.59%), 20 Jul 2018 (-3.47%), 02 Aug 2018 (11.1%), 29 Oct 2018 (-4.76%)
2017109 Jan 2017 (-3.05%)
2016204 Jan 2016 (9.76%), 09 Mar 2016 (-4.07%)
2015101 Oct 2015 (14.29%)
2014322 Jan 2014 (-3.16%), 06 Feb 2014 (-2.53%), 11 Feb 2014 (-2.56%)
2013124 Jan 2013 (-2.37%)
2012117 Apr 2012 (-3.92%)
2011707 Mar 2011 (-3.8%), 11 Mar 2011 (-3.64%), 22 Mar 2011 (-4.11%), 08 Jun 2011 (10.79%), 25 Jul 2011 (-3.67%), 29 Jul 2011 (10.93%), 08 Dec 2011 (10.71%)
2010222 Nov 2010 (6.25%), 02 Dec 2010 (11.58%)
2009201 Jan 2009 (-4.47%), 17 Feb 2009 (-4.52%)
2008504 Jan 2008 (10.5%), 08 Feb 2008 (-5.48%), 30 Apr 2008 (-3.8%), 27 May 2008 (11.04%), 24 Sep 2008 (11.93%)
2004119 Jul 2004 (-5.51%)
2003328 Jan 2003 (-3.39%), 04 Mar 2003 (9.13%), 04 Apr 2003 (-2.55%)
2002120 Nov 2002 (-2.87%)
2001110 Sep 2001 (10.72%)
2000104 Feb 2000 (18.76%)



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