Study: Sell GMRINFRA 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 GMRINFRA 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 GMRINFRA 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
114143.9634181652.944050.310966.06-3672.59-9819.121.11.240.024416
222747.3334191555.886669.7712790.7-6931.88-21548.820.961.220.023669.04
325968.634181652.947821.6118584.07-7176.27-42424.241.091.230.02763.78
430779.4534181652.948089.7819911.5-7177.29-40404.041.131.270.023905.28
535110.8734201458.829136.7722674.42-10544.61-53872.050.871.240.0211032.67
619566.6934201458.829115.0226744.19-11623.83-55218.860.781.120.011575.49
713565.5334191555.8810051.8825000-11828.01-60606.060.851.080.0072398.99
8-17693.6534161847.0612245.5924418.6-11867.95-66666.671.030.92-0.0087-520.4
9-57870.2734161847.0613253.130028.33-14995.54-81481.480.880.79-0.024-1702.07
10-10092234161847.0614163.5231728.05-18196.57-90235.690.780.69-0.037-2968.3
Although, strategy looks good but profit factor on day 2 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
atrtrail24.31024344016244015327.4531059.41-5950.23-13074.332.581.720.062560.84
atrtrail35.2595510.074016244014894.7331353.89-5950.23-13074.332.51.670.0532387.75
atrtrail-15.7582047.134016244014053.335767.61-5950.23-13074.332.361.570.0472051.18
50trail-13.143129.6148133527.0810793.4735520.52-2776.73-3800.063.891.440.031898.53
atrnil25.8971828.4136142238.8918413.8931059.41-8453-13074.332.181.390.0411995.23
atrnil310.7541588.723292328.1227133.3946589.11-8809.21-13074.333.081.210.0211299.65
50nil32.119104.3947123525.539452.9111550-2980.87-3800.063.171.090.0098193.71
50trail31.796771.4248143429.177395.6611550-2846.11-3800.062.61.070.0076141.07
50nil21.83-10339.0647143329.796276.347700-2975.99-3800.062.110.89-0.014-219.98
50trail21.62-22563.6348143429.175300.37700-2846.11-3800.061.860.77-0.033-470.08

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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.
GMRINFRA Performance, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019702 Jan 2019 (-1.49%), 21 Jan 2019 (5.94%), 19 Feb 2019 (-4.6%), 02 Aug 2019 (-0.44%), 13 Aug 2019 (-2.89%), 23 Aug 2019 (-3.62%), 05 Sep 2019 (-3.29%)
2018310 Jul 2018 (-4.02%), 27 Nov 2018 (8.48%), 27 Dec 2018 (-3.66%)
2017107 Dec 2017 (-4.99%)
2016222 Mar 2016 (1.43%), 11 Apr 2016 (-3.29%)
2015706 Feb 2015 (-0.37%), 05 Mar 2015 (11.87%), 17 Apr 2015 (9.78%), 27 Jul 2015 (-0.71%), 31 Jul 2015 (10.45%), 21 Sep 2015 (-3.16%), 03 Nov 2015 (9.27%)
2014103 Nov 2014 (9.49%)
2013423 Jan 2013 (1.03%), 30 Jan 2013 (-3.2%), 07 Feb 2013 (9.33%), 05 Sep 2013 (-6.54%)
2012203 Aug 2012 (10.26%), 31 Dec 2012 (-3.83%)
2011315 Feb 2011 (15.53%), 30 Mar 2011 (-4.1%), 21 Apr 2011 (-1.55%)
2010812 Jan 2010 (-2.07%), 15 Jan 2010 (6.13%), 11 May 2010 (8.68%), 29 Jun 2010 (-2.99%), 04 Aug 2010 (-1.05%), 25 Aug 2010 (-3.12%), 09 Sep 2010 (-0.55%), 08 Oct 2010 (1.3%)
2009103 Mar 2009 (3.63%)
2008121 Apr 2008 (-5.88%)



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