Study: Sell CONCOR when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell CONCOR when there is Dead Cross (50 DMA < 200 DMA)" 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
12817.01146842.863062.796632.24-1944.97-4927.821.571.180.015201.21
2-441.161441028.575872.5811675.87-2393.15-5978.092.450.98-0.0015-31.51
3-33413.52146842.863590.1911809.67-6869.33-17857.930.520.39-0.075-2386.68
4-29840.021441028.577113.0215287.6-5829.21-15570.711.220.49-0.065-2131.43
5-4753.64145935.7112732.8333229.19-7601.98-14734.991.670.93-0.0059-339.55
6-20365.75145935.7113028.2426256.45-9500.77-19903.831.370.76-0.025-1454.7
7-36343.55145935.7110984.5620600.04-10140.71-24927.821.080.6-0.047-2595.97
8-22681.07145935.7112780.8621717.7-9620.6-23715.111.330.74-0.028-1620.08
9-38725.11145935.7111865.6325091.99-10894.81-31068.331.090.61-0.045-2766.08
10-49739.96145935.7110624.6420259.67-11429.24-38132.820.930.52-0.057-3552.85

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study.

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-112817.01146842.863062.796632.24-1944.97-4927.821.571.180.015201.21
atrtrail35.67-9087.061541126.6712145.0337524.13-5242.47-10225.12.320.84-0.012-605.8
atrnil310.6-20050.81521313.3337813.638103.06-7359.85-10879.445.140.79-0.02-1336.72
atrnil28.6-19711.84153122022483.3825402.04-7263.5-10879.443.10.77-0.024-1314.12
atrtrail25.6-21595.111541126.679018.0225016.09-5242.47-10225.11.720.63-0.039-1439.67
atrtrail-15.87-32088.531541126.676394.6714522.67-5242.47-10225.11.220.44-0.078-2139.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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, X=1, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Mar 2019 (-1.03%), 12 Sep 2019 (-2.46%)
2018209 Apr 2018 (-1.17%), 13 Jul 2018 (1.61%)
2016128 Nov 2016 (0.11%)
2015123 Sep 2015 (3.32%)
2014116 Jan 2014 (2.52%)
2013129 Jan 2013 (0.02%)
2010129 Oct 2010 (-0.18%)
2008120 Oct 2008 (-0.92%)
2007113 Nov 2007 (-0.73%)
2004106 Jul 2004 (-0.76%)
2002101 Oct 2002 (-0.53%)
2000104 Feb 2000 (1.61%)



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