Study: Sell CONCOR 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 CONCOR 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 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
1-4595.5927141351.851851.776904.36-2347.72-9716.570.790.85-0.012-170.21
2-15058.827101737.043495.987398.73-2942.27-15816.911.190.7-0.027-557.73
3-14156.9127121544.443374.4811920.78-3643.38-16175.270.930.74-0.024-524.33
44414.4527141351.854647.3719697.2-4665.29-14945.4311.070.0057163.5
53097.927101737.047365.9917067.83-4150.7-11687.571.771.040.0039114.74
619720.6827141351.856541.4525912.29-5527.66-15034.411.181.270.02730.4
7-5489.8327111640.747826.3827485.77-5723.75-15229.281.370.94-0.0051-203.33
8-21667.5627111640.747425.0722564.45-6458.96-13862.011.150.79-0.021-802.5
9-13681.7927121544.447509.8519685.3-6920-13602.671.090.87-0.013-506.73
10-47627.622791833.339964.3728203.02-7628.16-33010.81.310.65-0.035-1763.99
Although, strategy looks good but profit factor on day 2 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
atrtrail35.35-37049.513482623.5311955.9926062.12-5103.75-11940.022.340.72-0.029-1089.69
atrtrail24.82-53462.883482623.539904.3217374.74-5103.75-11940.021.940.6-0.049-1572.44
atrtrail-15.82-60550.923482623.539018.3221945.68-5103.75-11940.021.770.54-0.056-1780.91
atrnil37.96-74731.972752218.5217568.9523866.92-7389.85-16957.742.380.54-0.062-2767.85
200nil21.88-58464.444994018.376895.287882.55-3013.05-3865.732.290.51-0.07-1193.15
atrnil26.7-78094.12762122.2212640.4717279.64-7330.33-16957.741.720.49-0.074-2892.37
200nil32.23-65158.584864212.510336.4810906.61-3028.04-3941.283.410.49-0.069-1357.47
200trail21.86-65438.494984116.336882.617882.55-2939.01-3727.872.340.46-0.083-1335.48
200trail32.16-68219.244974214.297616.2610906.61-2893.64-3727.872.630.44-0.078-1392.23
200trail-12.53-72482.044974214.297007.2918375.67-2893.64-3727.872.420.4-0.08-1479.23

In the table above, row 1 shows the best exit criterion. Profit factor is 0.72. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, Profit Factor:0.721

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Feb 2019 (9.59%), 29 Jul 2019 (7.57%)
2018105 Mar 2018 (8.59%)
2016119 Sep 2016 (-2.62%)
2014422 Jan 2014 (-3.16%), 06 Feb 2014 (-2.53%), 11 Feb 2014 (-0.67%), 19 Feb 2014 (-1.88%)
2013924 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%)
2012330 Nov 2012 (-0.05%), 14 Dec 2012 (-1.96%), 24 Dec 2012 (-1.94%)
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%)
2008224 Sep 2008 (0.74%), 06 Oct 2008 (13.03%)
2007206 Mar 2007 (-2.07%), 08 Mar 2007 (-1.68%)
2006127 Jun 2006 (-5.97%)
2004121 May 2004 (-2.83%)
2002109 Sep 2002 (1.84%)



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