Study: Sell GRASIM when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GRASIM when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GRASIM 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
1-10862.7148657.143351.777362.24-6279.48-11793.020.530.71-0.028-775.91
2-10291.161477503663.725965.18-5133.88-12574.30.710.71-0.029-735.08
3-3634.491477504158.316627.37-4677.52-10398.710.890.89-0.01-259.61
4-9878.42146842.864270.9610432.66-4438.02-9056.150.960.72-0.027-705.6
5-24563.64145935.716862.9311937.42-6542.03-17293.231.050.58-0.042-1754.55
6-12915.011441028.5710305.8417087.85-5413.84-18957.541.90.76-0.021-922.5
715224.34146842.868368.1619975.93-4373.08-8814.651.911.440.0281087.45
84492.41441028.5714321.527148.01-5279.36-13979.042.711.090.0062320.89
9-7823.86146842.868779.8418451.51-7562.87-13843.811.160.87-0.012-558.85
1021867.79145935.7117066.4228992.02-7051.59-17146.312.421.340.0231561.98
Although, strategy looks good but profit factor on day 5 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
atrtrail33.83704.8725817329839.930139.25-4412.61-9668.982.231.050.0033148.19
atrnil38.42-710.922451920.8321498.2530139.25-5694.85-9668.983.780.99-0.00052-29.62
atrnil25.33-12490.812471729.1712527.7920092.83-5893.25-9668.982.130.88-0.012-520.45
atrtrail-14.12-9704.8625817328163.6828355.21-4412.61-9668.981.850.87-0.0096-388.19
atrtrail23.6-18573.1325817327055.1520092.83-4412.61-9668.981.60.75-0.022-742.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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%, which is not acceptable. Avoid this strategy. Average return per trade is 0.074%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0033, 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.
GRASIM Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Apr 2019 (-0.01%)
2013120 Sep 2013 (3.31%)
2010817 Aug 2010 (-2.21%), 18 Aug 2010 (-2.24%), 19 Aug 2010 (0.66%), 07 Sep 2010 (-0.56%), 14 Sep 2010 (-2.35%), 17 Sep 2010 (0.64%), 04 Oct 2010 (-1.98%), 06 Oct 2010 (6.55%)
2009106 Jan 2009 (15.07%)
2005220 Jul 2005 (-1.42%), 03 Aug 2005 (-2.82%)
2000227 Nov 2000 (-4.83%), 28 Nov 2000 (-0.38%)
1999207 Jan 1999 (-4.03%), 08 Jan 1999 (11.8%)
1998201 Apr 1998 (-2.39%), 06 Apr 1998 (-3.04%)
1997415 Jan 1997 (0.63%), 26 Jun 1997 (0.71%), 23 Dec 1997 (-1.85%), 24 Dec 1997 (-0.62%)
1996213 Feb 1996 (-3.46%), 16 Feb 1996 (-3.31%)



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