Study: Sell GSFC 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 GSFC 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 GSFC 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
1-25874.9738132534.214465.8515803.81-3357.24-10643.021.330.69-0.026-680.92
232036.2537201754.055734.8514442.92-4862.4-21776.51.181.390.025865.84
37677.7637172045.956881.9315895.15-5465.75-19866.281.261.070.0053207.51
48870.4537162143.2410206.919185.72-7354.28-38508.471.391.060.0042239.74
511593.5837181948.659409.6324814.81-8304.19-37016.951.131.070.0054313.34
6-16612.5637172045.9511594.1425185.19-10685.65-38237.291.090.92-0.0065-448.99
72802.9937152240.5413413.6128776.63-9018.24-32813.561.491.010.001275.76
8-20447.5837152240.5413720.333445.06-10284.19-32406.781.330.91-0.0079-552.64
9-55612.3937142337.8413712.1328680.87-10764.44-32949.151.270.78-0.021-1503.04
10-78985.8437152240.541326129877.9-12631.86-42941.181.050.72-0.027-2134.75
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
50trail-12.45-36124.655684814.2912595.3731997.13-2851.82-3844.794.420.74-0.02-645.08
atrtrail34.95-58206.1339102925.641551538461.5-7357.11-14952.752.110.73-0.026-1492.46
atrtrail-15.67-65926.139102925.6414743.0131730.12-7357.11-14952.7520.69-0.031-1690.41
atrtrail24.51-71160.6439102925.6414219.5528135.31-7357.11-14952.751.930.67-0.035-1824.63
atrnil25.15-98522.5539102925.6416647.3628135.31-9137.8-14952.751.820.63-0.044-2526.22
atrnil36.67-1385553973217.9522465.4738461.5-9244.17-14952.752.430.53-0.057-3552.7
50nil31.93-77041.325674912.59516.4311555.56-2931.76-3895.353.250.46-0.067-1375.74
50trail21.58-7359157104717.546180.287777.81-2880.72-3844.792.150.46-0.075-1291.07
50trail31.8-74856.265684814.297753.9111555.56-2851.82-3844.792.720.45-0.07-1336.72
50nil21.61-76470.8357104717.546180.287777.81-2941.99-3895.352.10.45-0.078-1341.59

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
GSFC Performance, Profit Factor:0.736

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Jan 2019 (10.41%), 13 Jun 2019 (-1.42%)
2018131 Oct 2018 (-1.2%)
20151021 Aug 2015 (4.63%), 30 Sep 2015 (-1.32%), 13 Oct 2015 (-1.16%), 14 Oct 2015 (-1.7%), 15 Oct 2015 (-1.02%), 10 Nov 2015 (-1.37%), 13 Nov 2015 (-1.2%), 14 Dec 2015 (-1.48%), 15 Dec 2015 (-1.16%), 18 Dec 2015 (-1.05%)
2013429 May 2013 (-1.0%), 16 Jul 2013 (-1.75%), 17 Jul 2013 (7.53%), 18 Sep 2013 (-1.22%)
2012327 Jan 2012 (0.75%), 05 Jul 2012 (16.0%), 05 Sep 2012 (-1.39%)
2009612 Jan 2009 (-1.54%), 13 Jan 2009 (-1.03%), 22 Jan 2009 (-1.16%), 25 Feb 2009 (-1.71%), 27 Feb 2009 (0.03%), 13 Mar 2009 (-1.43%)
2008322 Apr 2008 (-1.36%), 25 Jul 2008 (-1.53%), 30 Dec 2008 (-1.91%)
2007703 May 2007 (-1.84%), 24 May 2007 (-1.53%), 28 May 2007 (-1.22%), 29 May 2007 (-1.64%), 18 Jun 2007 (-1.4%), 20 Jun 2007 (-1.66%), 22 Jun 2007 (-1.04%)
2006226 Sep 2006 (-1.07%), 04 Oct 2006 (-1.76%)
2003303 Feb 2003 (-1.92%), 05 May 2003 (-1.09%), 09 May 2003 (-1.81%)
2002118 Nov 2002 (-1.82%)
2001113 Dec 2001 (-1.55%)
2000502 Feb 2000 (-1.79%), 01 Jun 2000 (-1.45%), 07 Jun 2000 (-1.51%), 06 Nov 2000 (-1.72%), 13 Nov 2000 (-1.29%)
1999116 Apr 1999 (-1.67%)
1998110 Dec 1998 (2.69%)
1997224 Feb 1997 (-0.95%), 15 Dec 1997 (-1.56%)
1996416 Oct 1996 (-1.76%), 06 Nov 1996 (-1.13%), 08 Nov 1996 (-1.19%), 21 Nov 1996 (8.35%)



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