Study: Sell IDEA when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell IDEA when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell IDEA 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
1-27287.612691734.623840.357103.49-3638.28-9938.731.060.56-0.068-1049.52
2-87126.962691734.623242.746861.64-6841.86-21826.810.470.25-0.13-3351.04
3-13401526121446.153270.738548.93-12376.01-54013.380.260.23-0.12-5154.44
4-12141226101638.463740.7510595.16-9926.22-52675.590.380.24-0.11-4669.69
5-86744.3226121446.155069.9717920.21-10541.71-42976.590.480.41-0.083-3336.32
6-88748.6426101638.466556.3817004.58-9644.53-30267.560.680.42-0.088-3413.41
7-1318812691734.626541.6216285.15-11220.93-38628.760.580.31-0.11-5072.36
8-1673632691734.626064.7814791.5-13055.67-44147.160.460.25-0.14-6437.05
9-11952926101638.467452.3221557.83-12128.25-34949.830.610.38-0.11-4597.26
10-1611352691734.629015.1829583.01-14251.29-63879.60.630.33-0.1-6197.51

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.56. This strategy is not profitable and we advice you not to use it.

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
200trail21.53-28654.6145123326.675171.046922.38-2748.7-3985.631.880.68-0.049-636.77
200nil21.6-37785.2145113424.445640.726922.38-2936.27-3985.631.920.62-0.063-839.67
200trail-12.29-35306.714273516.678033.8926020.38-2615.54-3985.633.070.61-0.045-840.64
nilnil-11-27287.612691734.623840.357103.49-3638.28-9938.731.060.56-0.068-1049.52
atrnil25.67-80728.14306242016405.6625507.9-7465.09-12112.722.20.55-0.077-2690.94
200trail31.9-48476.044273516.676152.569892.31-2615.54-3985.632.350.47-0.092-1154.19
200nil32.52-59993.344053512.58252.6810383.58-2893.05-3985.632.850.41-0.11-1499.83
atrtrail23.92-1081813653113.8913518.4817237.56-5670.12-12112.722.380.38-0.12-3005.04
atrtrail34.03-1081893653113.8913516.8825856.34-5670.12-12112.722.380.38-0.11-3005.26
atrnil39.36-106427253221222147.2627888.86-7857.69-12753.952.820.38-0.12-4257.1
atrtrail-14.22-1229533653113.8910564.1621910.56-5670.12-12112.721.860.3-0.15-3415.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.68. 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.
IDEA Performance, Profit Factor:0.684

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017629 Mar 2017 (3.46%), 11 Apr 2017 (2.61%), 09 May 2017 (-1.3%), 28 Jun 2017 (-1.99%), 04 Jul 2017 (-0.7%), 11 Jul 2017 (-1.06%)
2015607 Jan 2015 (-1.08%), 15 Jan 2015 (-1.09%), 10 Feb 2015 (-1.64%), 20 Feb 2015 (-1.87%), 05 Aug 2015 (-1.66%), 07 Aug 2015 (2.13%)
2014621 Jan 2014 (-1.53%), 23 Jan 2014 (2.01%), 23 Jul 2014 (-1.7%), 25 Jul 2014 (-1.24%), 16 Oct 2014 (-1.08%), 08 Dec 2014 (-1.77%)
2012505 Jan 2012 (-0.39%), 20 Jan 2012 (-1.17%), 14 Sep 2012 (-1.81%), 01 Oct 2012 (3.0%), 30 Oct 2012 (-1.4%)
20111210 Jan 2011 (-1.19%), 01 Feb 2011 (-1.06%), 09 Feb 2011 (-1.8%), 31 Mar 2011 (-1.64%), 20 Apr 2011 (-1.29%), 25 Apr 2011 (-1.49%), 02 May 2011 (-1.03%), 03 May 2011 (3.3%), 30 May 2011 (-1.23%), 22 Dec 2011 (3.32%), 26 Dec 2011 (2.49%), 30 Dec 2011 (-1.6%)
2010431 Mar 2010 (0.0%), 01 Jul 2010 (2.79%), 05 Jul 2010 (-1.17%), 08 Jul 2010 (-1.69%)
2009413 May 2009 (-1.7%), 12 Oct 2009 (3.07%), 16 Oct 2009 (-1.98%), 17 Oct 2009 (2.86%)
2007220 Dec 2007 (-1.0%), 24 Dec 2007 (-1.0%)



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