Study: Sell ENGINERSIN when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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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 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 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
1-27963.9631161551.612184.15815.25-4193.97-26804.950.520.56-0.035-902.06
2-22461.1731151648.394174.119617.54-5317.05-22894.740.790.74-0.023-724.55
3-8777.3631161551.615373.6114134.48-6317.01-38684.210.850.91-0.0067-283.14
4-54628.1931141745.166698.0516676.56-8729.46-47368.420.770.63-0.033-1762.2
5-74562.8831131841.949152.3129554.9-10752.38-44144.740.850.61-0.037-2405.25
6-74536.8431151648.397594.9226528.19-11778.79-41776.320.640.6-0.038-2404.41
7-45386.3531171454.848975.2426528.19-14140.38-41513.160.630.77-0.022-1464.08
8-53147.3431161551.6110965.8234562.7-15240.03-52697.370.720.77-0.022-1714.43
9-31928.9831171454.8411444.6634351.95-16177.73-48552.630.710.86-0.013-1029.97
10-32701.7731191261.2910030.6433579.21-18607-54210.530.540.85-0.014-1054.9
Although, strategy looks good but profit factor on day 1 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
atrtrail24.9258883.1840172342.510723.3523624.33-5365.81-11978.3321.480.0351472.08
50trail-13.7141773.1448133527.0810095.946465.97-2556.39-3944.53.951.470.024870.27
50trail32.7334684.8148163233.337614.1711979.38-2723.19-3944.52.81.40.031722.6
50nil33.3437804.5647153231.918983.3311979.38-3029.54-3944.52.971.390.031804.35
atrnil26.7848287.337142337.8415134.8923624.33-7113.09-11978.332.131.30.0261305.06
atrtrail35.6219762.0539162341.038948.4935436.5-5365.81-11978.331.671.160.012506.72
atrtrail-1618341.7139162341.038859.7148629.31-5365.81-11978.331.651.150.01470.3
50trail22.279397.3348163233.336033.77986.25-2723.19-3944.52.221.110.01195.78
atrnil39.229015.22369272522594.0435436.5-7197.45-11978.333.141.050.0042250.42
50nil22.663432.6947163134.046053.957986.25-3013.89-3944.52.011.040.003773.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 42.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Mar 2019 (-3.34%), 17 Jun 2019 (-1.77%)
2018307 Sep 2018 (-1.47%), 22 Nov 2018 (2.22%), 13 Dec 2018 (-3.35%)
2017124 Oct 2017 (-2.49%)
2016111 Apr 2016 (-3.43%)
2015419 Jan 2015 (-3.07%), 04 Feb 2015 (6.64%), 03 Jun 2015 (-1.48%), 13 Nov 2015 (-2.94%)
2013110 Jan 2013 (5.22%)
2012321 Aug 2012 (7.41%), 06 Nov 2012 (-0.72%), 12 Nov 2012 (0.02%)
2011319 Apr 2011 (1.72%), 18 Jul 2011 (-2.81%), 10 Aug 2011 (6.14%)
2010227 Oct 2010 (-2.27%), 03 Nov 2010 (-2.07%)
2007528 May 2007 (-3.74%), 01 Jun 2007 (-3.33%), 09 Jul 2007 (-3.17%), 13 Jul 2007 (-3.25%), 26 Jul 2007 (0.24%)
2006301 Nov 2006 (7.14%), 06 Nov 2006 (7.43%), 07 Dec 2006 (6.46%)
2004103 Aug 2004 (-0.68%)
2003217 Feb 2003 (7.53%), 23 May 2003 (-4.18%)
2001604 Jan 2001 (0.92%), 28 Feb 2001 (-5.99%), 07 Mar 2001 (11.81%), 28 Jun 2001 (-2.75%), 05 Jul 2001 (1.91%), 19 Dec 2001 (9.01%)
2000313 Sep 2000 (9.32%), 22 Dec 2000 (-1.54%), 29 Dec 2000 (-1.88%)



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