Study: Sell FORTIS when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell FORTIS when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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
19871.5421111052.383146.35677.66-2473.77-7904.681.271.40.04470.07
211510.232114766.672953.446075.79-4262.56-9209.210.691.390.041548.11
310661.462113861.94964.2116568.05-6734.16-24090.760.741.20.019507.69
4470.5321111052.385371.3821005.92-5861.47-19953.290.921.010.0008722.41
5-42644.122181338.16712.0515088.76-7410.81-23289.960.910.56-0.068-2030.67
6-58608.492181338.17835.9422011.83-9330.46-22079.210.840.52-0.079-2790.88
7-52334.521101147.627737.7117573.96-11791.97-22574.260.660.6-0.067-2492.12
8-75751.3521101147.627229.6719555-13458.91-37704.370.540.49-0.084-3607.21
9-1292062181338.16623.7217361.33-14015.09-38104.770.470.29-0.14-6152.69
10-1430412181338.17026.2813663.43-15327-40864.710.460.28-0.14-6811.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.4. 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 52.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
nilnil-119871.5421111052.383146.35677.66-2473.77-7904.681.271.40.04470.07
200trail22-13445.853292328.125312.637566.85-2663.46-3621.381.990.78-0.034-420.18
atrnil27.29-30971.782471729.1713362.5816611.77-7324.11-17985.321.820.75-0.04-1290.49
atrtrail34.93-25258.082781929.639108.324917.66-5164.44-13827.141.760.74-0.033-935.48
200nil33-20362.853162519.358753.0411350.27-2915.24-3951.9830.72-0.043-656.87
200nil22.06-19398.713182325.815915.717566.85-2901.06-3951.982.040.71-0.049-625.76
atrtrail24.67-38028.782781929.637511.9616611.77-5164.44-13827.141.450.61-0.059-1408.47
atrnil310.13-56011.562341917.3920452.8724917.66-7253.84-17985.322.820.59-0.068-2435.29
200trail32.59-25573.8732824254575.5410250.59-2590.76-3621.381.770.59-0.066-799.18
atrtrail-15.48-50644.652781929.635934.9713582.9-5164.44-13827.141.150.48-0.09-1875.73
200trail-13.32-36820.373172422.583481.6514853.25-2549.66-3621.381.370.4-0.1-1187.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 52.38%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FORTIS Performance, X=1, Profit Factor:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017123 Mar 2017 (-0.17%)
2016608 Feb 2016 (2.69%), 11 May 2016 (1.67%), 20 Sep 2016 (0.06%), 06 Oct 2016 (-0.49%), 03 Nov 2016 (1.72%), 26 Dec 2016 (-3.95%)
2015207 Sep 2015 (-2.34%), 27 Oct 2015 (1.47%)
2014327 Jan 2014 (-0.26%), 12 Feb 2014 (-0.46%), 21 Nov 2014 (2.84%)
2013313 Feb 2013 (2.73%), 28 Oct 2013 (0.31%), 12 Nov 2013 (-2.14%)
2012121 Nov 2012 (0.1%)
2011320 Jun 2011 (-0.26%), 17 Aug 2011 (2.12%), 02 Sep 2011 (-0.07%)
2010115 Nov 2010 (1.6%)
2008115 Feb 2008 (-2.23%)



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