Study: Sell CONCOR 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 CONCOR 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 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
19210.3934191555.882197.97111.16-2169.97-9716.571.011.280.019270.89
2-17673.434142041.183433.5713015.44-3287.17-15816.911.040.73-0.024-519.81
3-24175.2234132138.244920.726587-4197.35-16175.271.170.73-0.023-711.04
41858.2334151944.126631.9732290.13-5137.96-14945.431.291.020.001454.65
5-11912.0634122235.298781.8827876.71-5331.57-17542.591.650.9-0.009-350.35
627451.1434161847.069185.0135910.79-6639.39-16042.391.381.230.016807.39
77843.2734142041.1810744.0831130.57-7128.69-16385.081.511.060.0046230.68
8-17779.1934142041.189321.6124977.81-7414.09-19094.921.260.88-0.012-522.92
9-10689.2834151944.129474.8929580.55-8042.77-21605.961.180.93-0.0066-314.39
10-90666.7234122235.299898.5728018.69-9520.44-33554.081.040.57-0.047-2666.67

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
nilnil-119210.3934191555.882197.97111.16-2169.97-9716.571.011.280.019270.89
atrtrail35.4-32832.744010302511293.7826062.12-4859.02-11940.022.320.77-0.022-820.82
atrtrail24.92-42824.134010302510294.6417374.74-4859.02-11940.022.120.71-0.032-1070.6
atrtrail-15.8-56334.15401030258943.6421945.68-4859.02-11940.021.840.61-0.044-1408.35
atrnil39.27-85306.89306242017103.1223866.92-7830.23-16957.742.180.55-0.062-2843.56
200nil32.18-66371.125784914.049767.2410906.61-2949.16-3967.953.310.54-0.059-1164.41
200nil21.86-65049.9958114718.976618.57882.55-2933.05-3967.952.260.53-0.067-1121.55
200trail32.12-69431.785894915.527714.7610906.61-2833.97-3967.952.720.5-0.066-1197.1
atrnil27.9-93593.693072323.3312241.7317279.64-7795.04-16957.741.570.48-0.079-3119.79
200trail21.84-72024.0358104817.246580.697882.55-2871.48-3967.952.290.48-0.078-1241.79
200trail-12.59-73563.685894915.527255.6618375.67-2833.97-3967.952.560.47-0.065-1268.34

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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Feb 2019 (0.23%), 12 Apr 2019 (0.17%), 29 Jul 2019 (0.46%)
2018205 Mar 2018 (3.45%), 26 Apr 2018 (-1.3%)
2016119 Sep 2016 (-0.07%)
2014320 Jan 2014 (-0.63%), 03 Feb 2014 (-0.17%), 19 Feb 2014 (0.66%)
2013724 Jan 2013 (-0.42%), 29 Jul 2013 (2.79%), 27 Aug 2013 (1.37%), 12 Sep 2013 (-0.36%), 01 Oct 2013 (-1.77%), 27 Nov 2013 (0.82%), 12 Dec 2013 (-0.25%)
2012330 Nov 2012 (0.31%), 14 Dec 2012 (0.15%), 31 Dec 2012 (0.08%)
2010628 May 2010 (-4.86%), 14 Jun 2010 (-2.06%), 27 Aug 2010 (-0.21%), 30 Sep 2010 (-0.68%), 22 Oct 2010 (0.07%), 22 Nov 2010 (0.42%)
2008217 Sep 2008 (3.44%), 06 Oct 2008 (3.56%)
2007206 Mar 2007 (2.1%), 30 Aug 2007 (-1.07%)
2006227 Jun 2006 (0.01%), 17 Jul 2006 (-0.98%)
2004221 May 2004 (0.13%), 15 Jun 2004 (-1.45%)
2002109 Sep 2002 (0.66%)



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