Study: Sell FORTIS when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell FORTIS when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell FORTIS 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
120037.3446262056.522849.076954.44-2701.92-7904.681.051.370.038435.59
220342.4546262056.523486.4210791.37-3515.22-15443.340.991.290.029442.23
320270.9346262056.524805.1616568.05-5233.17-24090.760.921.190.019440.67
446357.3946252154.356104.0321005.92-5059.21-19953.291.211.440.0421007.77
524297.79462323508614.4723687.42-7558.05-47623.281.141.140.014528.21
6-4625.0646222447.839026.2529304.03-8466.78-43980.451.070.98-0.0025-100.54
719564.0546252154.359165.1634065.93-9979.29-46823.630.921.090.01425.31
8-15200.63462323509355.0628954.59-10015.95-45313.190.930.93-0.0074-330.45
9-92154.57462323508338.3229548.23-12345.04-57130.160.680.68-0.041-2003.36
10-10452146222447.839513.3929792.43-13075.63-53576.190.730.67-0.044-2272.19
Although, strategy looks good but profit factor on day 3 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
atrtrail35.38-5402.6961204132.799921.1344519.85-4971.35-13827.1420.97-0.0028-88.57
atrnil28.2-11474.785015353015537.3132065.47-6986.7-17985.322.220.95-0.0063-229.5
atrtrail24.84-30655.5861204132.798658.4829679.9-4971.35-13827.141.740.85-0.019-502.55
atrtrail-15.84-55171.2361204132.797432.731759-4971.35-13827.141.50.73-0.036-904.45
atrnil311.06-87329.34783917.0223806.944519.85-7122.68-17985.323.340.69-0.046-1858.07
200nil21.74-72967.0482186421.956239.617919.42-2895-3951.982.160.61-0.071-889.84
200trail21.71-70648.2983196422.895572.837919.42-2758.31-3951.882.020.6-0.071-851.18
200nil32.44-89134.72801268159025.611350.27-2903.56-3959.713.110.55-0.079-1114.18
200trail32.16-97060.0681156618.525389.1511190.65-2695.41-3849.8520.45-0.1-1198.27
200trail-12.65-11113180146617.54698.5714853.25-2680.47-3849.851.750.37-0.13-1389.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 32.79%, which is not acceptable. Avoid this strategy. Average return per trade is -0.044%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, Profit Factor:0.973

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018204 Jan 2018 (13.58%), 27 Feb 2018 (-1.11%)
2017223 Mar 2017 (-3.36%), 24 Mar 2017 (-3.4%)
20161208 Feb 2016 (12.46%), 22 Feb 2016 (-5.29%), 23 Feb 2016 (-2.9%), 10 Mar 2016 (-3.53%), 11 May 2016 (-0.62%), 18 May 2016 (-0.88%), 10 Jun 2016 (1.21%), 20 Sep 2016 (2.91%), 06 Oct 2016 (-1.38%), 03 Nov 2016 (9.74%), 24 Nov 2016 (-3.9%), 26 Dec 2016 (-3.91%)
2015604 Feb 2015 (-2.88%), 07 Sep 2015 (-5.74%), 27 Oct 2015 (-0.54%), 04 Nov 2015 (-3.57%), 06 Nov 2015 (-3.57%), 02 Dec 2015 (-1.8%)
20141327 Jan 2014 (-1.13%), 03 Feb 2014 (-2.78%), 12 Feb 2014 (2.15%), 20 Mar 2014 (-2.15%), 24 Mar 2014 (-1.22%), 04 Apr 2014 (-2.05%), 07 Apr 2014 (-1.14%), 02 May 2014 (-2.43%), 05 May 2014 (-1.97%), 13 May 2014 (-2.29%), 15 May 2014 (-2.32%), 21 Nov 2014 (0.23%), 31 Dec 2014 (2.32%)
2013713 Feb 2013 (-0.9%), 02 Apr 2013 (3.33%), 02 May 2013 (0.51%), 14 May 2013 (9.21%), 15 Jul 2013 (3.22%), 28 Oct 2013 (-2.46%), 12 Nov 2013 (-3.11%)
2012518 Sep 2012 (-1.95%), 24 Sep 2012 (-2.62%), 31 Oct 2012 (-2.85%), 15 Nov 2012 (0.3%), 21 Nov 2012 (-1.71%)
2011617 Feb 2011 (3.2%), 07 Mar 2011 (-0.69%), 20 Jun 2011 (-2.14%), 17 Aug 2011 (1.04%), 25 Aug 2011 (-0.95%), 09 Sep 2011 (0.04%)
2010115 Nov 2010 (7.87%)
2009123 Mar 2009 (-3.48%)
2008615 Feb 2008 (-6.91%), 31 Mar 2008 (1.3%), 23 Apr 2008 (-3.62%), 07 May 2008 (2.34%), 13 Jun 2008 (22.26%), 23 Dec 2008 (-0.67%)



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