Study: Sell ENGINERSIN 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 ENGINERSIN 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 ENGINERSIN 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
1-54494.3554252946.32619.495823.29-4137.3-26804.950.630.55-0.039-1009.15
2-29024.0854302455.563554.39617.54-5652.22-26369.860.630.79-0.018-537.48
3-66712.89542727503975.6413151.42-6446.49-25253.860.620.62-0.037-1235.42
4-13687254243044.445374.616676.56-8862.09-36979.790.610.49-0.057-2534.67
5-10823854252946.37368.0729554.9-10084.13-34175.330.730.63-0.037-2004.4
6-90875.554262848.15735726528.19-10077.06-33785.40.730.68-0.033-1682.88
7-52199.8154252946.39395.2226528.19-9899.32-34184.280.950.82-0.017-966.66
8-84047.8253262749.069636.3334562.7-12392.31-36313.910.780.75-0.025-1585.81
9-11162153242945.2811020.7534351.95-12969.62-415220.850.7-0.031-2106.06
10-95942.9353262749.0610092.5933579.21-13272.23-35967.480.760.73-0.028-1810.24
Although, strategy looks good but profit factor on day 4 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
50trail32.3829229.1186256129.077731.5711979.38-2689.51-3944.52.871.180.015339.87
50nil32.7222838.3985236227.068875.6311979.38-2924.21-3944.53.041.130.011268.69
50trail-13.36-1998.2884196522.628557.3646465.97-2532.12-3944.53.380.99-0.00081-23.79
50trail22.01-13067.5187266129.895891.537986.25-2725.36-3944.52.160.92-0.0083-150.2
50nil22.22-22417.4686266030.235903.987986.25-2932.02-3944.52.010.87-0.014-260.67
atrnil26.29-65154.7763194430.1614592.7323624.33-7782.2-15250.041.880.81-0.022-1034.2
atrtrail24.39-65656.4572244833.339848.5223624.33-6292.1-15250.041.570.78-0.023-911.9
atrnil38.54-10228759124720.3422067.9635436.5-7810.69-15250.042.830.72-0.031-1733.67
atrtrail34.97-11502371234832.398130.3535436.5-6292.1-15250.041.290.62-0.042-1620.04
atrtrail-15.27-11632671234832.398073.7248629.31-6292.1-15250.041.280.61-0.04-1638.39

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 29.07%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, 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.
ENGINERSIN Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Mar 2019 (-1.18%), 14 Mar 2019 (-1.34%), 22 Mar 2019 (-1.65%), 22 May 2019 (-1.59%), 17 Jun 2019 (-1.62%), 04 Sep 2019 (-1.84%)
2018905 Apr 2018 (3.53%), 24 Jul 2018 (-1.89%), 07 Sep 2018 (-1.49%), 02 Nov 2018 (3.07%), 07 Nov 2018 (-1.18%), 22 Nov 2018 (-1.9%), 28 Nov 2018 (-1.2%), 03 Dec 2018 (-1.14%), 13 Dec 2018 (-1.17%)
2017212 Oct 2017 (1.04%), 24 Oct 2017 (-1.8%)
2016331 Mar 2016 (-1.03%), 05 Apr 2016 (-1.1%), 06 Apr 2016 (-0.67%)
20151219 Jan 2015 (-1.36%), 22 Jan 2015 (3.27%), 04 Feb 2015 (5.98%), 02 Mar 2015 (-1.83%), 09 Apr 2015 (-1.34%), 17 Apr 2015 (5.01%), 19 May 2015 (-0.57%), 26 May 2015 (-1.51%), 03 Jun 2015 (-1.2%), 09 Jun 2015 (-1.91%), 07 Oct 2015 (-1.0%), 13 Nov 2015 (-1.29%)
2014105 Dec 2014 (5.36%)
2013310 Jan 2013 (-1.3%), 21 Jan 2013 (-1.07%), 23 Jan 2013 (4.54%)
2012521 Aug 2012 (4.67%), 10 Sep 2012 (-1.27%), 06 Nov 2012 (-0.22%), 12 Nov 2012 (0.36%), 31 Dec 2012 (-1.47%)
20111008 Mar 2011 (4.59%), 11 Mar 2011 (-1.86%), 15 Mar 2011 (-1.27%), 19 Apr 2011 (-1.27%), 27 Apr 2011 (1.54%), 13 Jun 2011 (5.47%), 01 Jul 2011 (-1.01%), 05 Jul 2011 (-1.17%), 18 Jul 2011 (-1.05%), 10 Aug 2011 (5.99%)
2010227 Oct 2010 (-1.28%), 03 Nov 2010 (-1.54%)
2009218 Mar 2009 (5.58%), 27 Mar 2009 (-1.07%)
2008108 Dec 2008 (-1.22%)
20071003 Jan 2007 (-1.43%), 16 Apr 2007 (-1.37%), 19 Apr 2007 (-1.13%), 28 May 2007 (-1.12%), 01 Jun 2007 (-1.82%), 07 Jun 2007 (-0.83%), 14 Jun 2007 (-1.05%), 09 Jul 2007 (-1.82%), 13 Jul 2007 (-1.47%), 26 Jul 2007 (0.79%)
2006301 Nov 2006 (3.35%), 06 Nov 2006 (4.72%), 05 Dec 2006 (3.8%)
2004203 Aug 2004 (-1.14%), 06 Aug 2004 (-1.22%)
2003217 Feb 2003 (4.34%), 23 May 2003 (-1.76%)
2002111 Dec 2002 (-1.52%)
2001704 Jan 2001 (5.14%), 28 Feb 2001 (-1.97%), 07 Mar 2001 (4.12%), 22 May 2001 (-1.71%), 28 Jun 2001 (-0.61%), 05 Jul 2001 (3.59%), 19 Dec 2001 (-1.12%)
2000516 Aug 2000 (-1.82%), 24 Aug 2000 (-1.48%), 13 Sep 2000 (3.62%), 22 Dec 2000 (-1.77%), 29 Dec 2000 (3.19%)



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