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

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In this study, we evaluate the performance of strategy "Sell FORTIS when near 200 SMA and below 200 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 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
17430.1323121152.172934.295677.66-2525.58-7904.681.161.270.028323.05
29732.162315865.222867.16075.79-4159.3-9209.210.691.290.032423.14
310722.9423131056.525279.5516568.05-5791.12-24090.760.911.190.018466.21
4748.9323121152.175095.2521005.92-5490.37-19953.290.931.010.001332.56
5-29722.4823101343.485696.2915088.76-6668.1-23289.960.850.66-0.048-1292.28
6-36996.6923101343.486742.3822011.83-8032.35-17959.90.840.65-0.051-1608.55
7-29264.1123121152.176783.9917573.96-10061.09-20459.170.670.74-0.039-1272.35
8-54518.3923111247.836723.8619555-10706.74-37704.370.630.58-0.061-2370.36
9-1239042381534.786623.7217361.33-11792.9-38104.770.560.3-0.13-5387.12
10-1521352381534.787026.2813663.43-13889.65-40864.710.510.27-0.14-6614.54
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
atrnil26.59-55466.72972224.1413362.5816611.77-6772.94-17985.321.970.63-0.065-1912.64
atrtrail34.52-48353.393392427.278163.7624917.66-5076.13-13827.141.610.6-0.057-1465.25
200trail21.95-33174.723993023.085312.637566.85-2699.61-3621.381.970.59-0.073-850.63
200nil32.76-40418.113863215.798753.0411350.27-2904.26-3951.983.010.57-0.075-1063.63
200nil22-39453.973883021.055915.717566.85-2892.65-3951.982.050.55-0.087-1038.26
atrnil38.89-80506.472842414.2920452.8724917.66-6763.25-17985.323.020.5-0.089-2875.23
atrtrail24.3-61124.093392427.276744.7916611.77-5076.13-13827.141.330.5-0.085-1852.25
200trail32.44-45302.743983120.514575.5410250.59-2642.16-3621.381.730.45-0.1-1161.61
atrtrail-14.97-73739.963392427.275343.0313582.9-5076.13-13827.141.050.39-0.12-2234.54
200trail-13.03-56549.243873118.423481.6514853.25-2610.35-3621.381.330.3-0.14-1488.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. 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:0.628

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017223 Mar 2017 (-3.36%), 24 Mar 2017 (-3.4%)
2016608 Feb 2016 (8.31%), 11 May 2016 (-2.98%), 20 Sep 2016 (6.55%), 06 Oct 2016 (-3.09%), 03 Nov 2016 (6.49%), 26 Dec 2016 (-3.91%)
2015407 Sep 2015 (-5.74%), 27 Oct 2015 (-3.74%), 04 Nov 2015 (-3.57%), 06 Nov 2015 (-3.57%)
2014827 Jan 2014 (-2.61%), 03 Feb 2014 (-2.78%), 12 Feb 2014 (-3.04%), 02 May 2014 (-2.43%), 05 May 2014 (-2.48%), 13 May 2014 (-2.29%), 15 May 2014 (-2.32%), 21 Nov 2014 (5.73%)
2013313 Feb 2013 (7.22%), 28 Oct 2013 (-3.04%), 12 Nov 2013 (-3.11%)
2012231 Oct 2012 (-2.85%), 15 Nov 2012 (-2.52%)
2011220 Jun 2011 (-2.69%), 17 Aug 2011 (7.22%)
2010115 Nov 2010 (5.25%)
2008115 Feb 2008 (-8.99%)



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