Study: Sell FORTIS 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 FORTIS 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 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
1-35300.4432131940.621985.656337.71-3216.52-9859.150.620.42-0.099-1103.14
2-66856.432151746.882562.888782.25-6194.1-20015.640.410.37-0.098-2089.26
3-69891.2632122037.53142.197605.25-5379.87-20486.370.580.35-0.11-2184.1
4-46273.3432151746.884377.3411941.8-6584.32-20338.980.660.59-0.062-1446.04
5-89505.95321616503707.211339.69-9301.32-25497.420.40.4-0.11-2797.06
6-96779.5532141843.755068.811266.69-9319.04-21665.440.540.42-0.11-3024.36
7-79931.5632131940.626444.8112543.9-8616.53-21370.670.750.51-0.083-2497.86
8-29156.9931151648.397083.2817661.82-8462.89-16949.150.840.78-0.03-940.55
9-53117.9731141745.16732818740.85-9159.41-23286.660.80.66-0.053-1713.48
10-38267.4731171454.845717.1215812.59-9675.61-27346.940.590.72-0.038-1234.43
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
50trail31.96-48002.5148103820.836597.9211613.68-2999.52-3930.832.20.58-0.072-1000.05
50trail21.79-49741.4248113722.9255777861.53-3002.39-3930.831.860.55-0.084-1036.28
50nil32.08-60276.844884016.678597.4711613.68-3226.42-3930.832.660.53-0.085-1255.77
50nil21.85-60663.548103820.836087.987861.53-3198.51-3930.831.90.5-0.1-1263.82
atrtrail-15.24-94370.733873118.4212558.8444926.05-5880.08-18490.852.140.48-0.075-2483.44
50trail-12.81-66634.244884016.676229.7620295.66-2911.81-3930.832.140.43-0.099-1388.21
atrtrail34.84-1060913873118.4210884.527708.36-5880.08-18490.851.850.42-0.1-2791.87
atrtrail24.74-1277693873118.427787.6718472.24-5880.08-18490.851.320.3-0.15-3362.34
atrnil36.64-183313333309.0921677.8127708.36-8278.21-18877.92.620.26-0.18-5554.93
atrnil26.36-1892693342912.1213459.1518472.24-8382.96-18877.91.610.22-0.22-5735.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.58. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, Profit Factor:0.579

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 Mar 2018 (-1.93%), 08 Mar 2018 (-1.6%)
2017419 Sep 2017 (5.53%), 12 Oct 2017 (-1.91%), 16 Oct 2017 (3.69%), 27 Nov 2017 (-1.57%)
2016210 Mar 2016 (-1.45%), 12 Dec 2016 (-1.9%)
2015205 Jan 2015 (3.32%), 03 Dec 2015 (-1.86%)
2013817 Apr 2013 (-1.15%), 08 May 2013 (-1.05%), 03 Sep 2013 (-1.62%), 23 Sep 2013 (-1.01%), 25 Sep 2013 (-1.13%), 28 Oct 2013 (-1.41%), 30 Oct 2013 (-1.88%), 12 Nov 2013 (-1.93%)
20121313 Apr 2012 (-1.87%), 27 Apr 2012 (-1.29%), 28 May 2012 (-1.97%), 11 Jun 2012 (-1.2%), 21 Jun 2012 (-1.32%), 22 Jun 2012 (-0.9%), 17 Jul 2012 (-1.14%), 19 Jul 2012 (3.49%), 01 Aug 2012 (-1.2%), 07 Aug 2012 (-1.41%), 17 Aug 2012 (-1.73%), 22 Aug 2012 (5.81%), 12 Sep 2012 (-0.9%)
2011105 May 2011 (-1.7%)
2009521 Jan 2009 (-1.5%), 29 Jan 2009 (-1.75%), 16 Feb 2009 (0.23%), 26 Feb 2009 (3.18%), 24 Mar 2009 (-1.14%)
20081112 May 2008 (-1.27%), 23 May 2008 (2.63%), 08 Aug 2008 (-1.04%), 14 Aug 2008 (-1.9%), 22 Aug 2008 (-1.66%), 25 Aug 2008 (-1.25%), 17 Sep 2008 (4.86%), 19 Sep 2008 (0.25%), 06 Nov 2008 (-1.85%), 12 Nov 2008 (-1.92%), 14 Nov 2008 (-1.72%)



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