Study: Sell ENGINERSIN when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ENGINERSIN when below 200 SMA and RSI is overbought" 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
1-2845.681073703369.965117.91-8811.79-16011.320.380.89-0.0097-284.57
2-6546.681064606137.6913948.82-10843.21-27383.310.570.85-0.013-654.67
3-34738.721064605478.411795.96-16902.28-41018.390.320.49-0.054-3473.87
4-31143.211064604366.878767.27-14336.1-28231.970.30.46-0.06-3114.32
5-12511.171064606647.8715834.22-13099.6-26421.50.510.76-0.023-1251.12
617861.491073707327.1715343.92-11142.89-21849.350.661.530.0391786.15
729304.51073707446.2313051.15-7606.37-18858.290.982.280.0742930.45
8556221082809586.6615520.28-10535.62-16086.080.913.640.145562.2
948102.41082807749.9618544.91-6948.63-10395.771.124.460.144810.24
1035023.871073707284.1210909.09-5321.66-13605.691.373.190.113502.39
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
ENGINERSIN Performance, X=9, Profit Factor:4.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013322 Apr 2013 (3.72%), 06 Sep 2013 (-1.75%), 25 Sep 2013 (0.52%)
2012107 Jan 2012 (3.25%)
2008115 Dec 2008 (9.27%)
2004115 Sep 2004 (-5.2%)
2003107 May 2003 (5.62%)
2001228 May 2001 (2.73%), 14 Nov 2001 (3.2%)
2000116 Jun 2000 (2.69%)

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
atrnil28.5325871.141761135.2920715.4826115.32-8947.43-11002.132.321.260.0231521.83
atrtrail-15.11-2812.341971236.8411825.4445954.62-7132.54-11002.131.660.97-0.0026-148.02
atrtrail24.26-11865.851971236.8410532.0821436.22-7132.54-11002.131.480.86-0.014-624.52
atrtrail34.53-16612.631971236.849853.9732154.34-7132.54-11002.131.380.81-0.019-874.35
atrnil313.94-47038.871731417.6528382.3232154.34-9441.85-13057.663.010.64-0.042-2766.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013322 Apr 2013 (8.03%), 06 Sep 2013 (-5.09%), 12 Sep 2013 (-5.3%)
2012107 Jan 2012 (-4.24%)
2008115 Dec 2008 (13.06%)
2004315 Sep 2004 (-3.22%), 17 Sep 2004 (-3.34%), 21 Sep 2004 (7.72%)
2003107 May 2003 (-3.38%)
2001428 May 2001 (-4.52%), 29 May 2001 (-4.39%), 30 May 2001 (9.63%), 14 Nov 2001 (12.98%)
2000416 Jun 2000 (-5.21%), 19 Jun 2000 (-5.01%), 20 Jun 2000 (-5.5%), 21 Jun 2000 (10.72%)



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