Study: Sell DCBBANK 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 DCBBANK 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 DCBBANK 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
1120.87146842.863302.897484.87-2462.06-6610.091.341.010.000688.63
21670.46145935.714859.1711630.12-2513.93-4849.661.931.070.0078119.32
331263.9148657.145448.8117540.51-2054.42-4708.522.653.540.122233.14
446778.62148657.147807.3418303.15-2613.35-5293.952.993.980.143341.33
575683.84149564.2910815.2824785.51-4330.73-8247.422.54.50.175405.99
671180.441410471.4310207.9724594.85-7724.82-11590.971.323.30.145084.32
772969.17149564.2912142.1618684.46-7262.05-12482.591.673.010.145212.08
861355.24149564.2910225.7923635.88-6135.37-16647.41.6730.124382.52
944147.1514775013346.6223050.31-7039.88-23352.61.91.90.073153.37
1049706.2314775014443.6327264.06-7342.74-21040.461.971.970.0723550.44
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
DCBBANK Performance, X=5, Profit Factor:4.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018222 Jan 2018 (4.98%), 01 Jun 2018 (-0.52%)
2017217 Nov 2017 (-4.12%), 01 Dec 2017 (-3.52%)
2013215 Feb 2013 (1.48%), 29 Jul 2013 (4.67%)
2012327 Apr 2012 (5.83%), 30 Oct 2012 (-0.0%), 19 Nov 2012 (-2.66%)
2011210 Jan 2011 (4.17%), 24 Jan 2011 (12.39%)
2010129 Jan 2010 (6.26%)
2008104 Feb 2008 (8.44%)
2007116 Aug 2007 (0.45%)

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
atrnil28.43141608149564.2919700.446885.73-7139.07-10608.552.764.970.1910114.88
atrnil317.92163299137653.8530128.6970328.59-7933.62-11906.373.84.430.1612561.47
atrtrail25.6974154.49169756.2512992.0723812.74-6110.59-10608.552.132.730.124634.66
atrtrail36.542879.3116885010711.2120961.56-5351.3-10608.55220.0762679.96
atrtrail-17.0630906.41688509214.617818.52-5351.3-10608.551.721.720.0621931.65
200trail31.68-17265.841931615.799459.0511172.74-2852.69-3822.093.320.62-0.057-908.73
200trail-12.16-17510.031931615.799377.6620097.95-2852.69-3822.093.290.62-0.048-921.58
200nil31.68-18686.811931615.799459.0511172.74-2941.5-3822.093.220.6-0.061-983.52
200trail21.53-26724.91931615.796306.037448.5-2852.69-3822.092.210.41-0.12-1406.57
200nil21.53-28145.861931615.796306.037448.5-2941.5-3822.092.140.4-0.12-1481.36

In the table above, row 1 shows the best exit criterion. Profit factor is 4.97. Strategy is very good and impressively bearish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 5.06%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DCBBANK Performance, Profit Factor:4.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018322 Jan 2018 (6.99%), 01 Jun 2018 (5.74%), 07 Jun 2018 (6.45%)
2017217 Nov 2017 (-3.21%), 01 Dec 2017 (-3.08%)
2013215 Feb 2013 (5.88%), 29 Jul 2013 (8.75%)
2012327 Apr 2012 (8.8%), 30 Oct 2012 (-3.16%), 19 Nov 2012 (-3.1%)
2011110 Jan 2011 (10.7%)
2010129 Jan 2010 (11.91%)
2008104 Feb 2008 (23.44%)
2007116 Aug 2007 (-5.3%)



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