Study: Sell IDEA when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell IDEA when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
1-22511.171899503168.45520.7-5669.65-16850.550.560.56-0.062-1250.62
2-17964.41871138.895649.0411232.75-5227.97-16302.521.080.69-0.041-998.02
3-10990.231810855.566111.3914709.76-9013.02-26386.550.680.85-0.018-610.57
4-16842.361899508534.1322835.63-10405.5-31428.570.820.82-0.022-935.69
51108.611871138.8912528.1922152.89-7871.7-27394.961.591.010.001461.59
61184.691881044.4411381.0823337.52-8986.4-18655.461.271.010.001565.82
790856.191871138.8925340.0686115.44-7865.84-23697.483.222.050.065047.57
81236211810855.5620553.5889235.57-10239.36-24201.682.012.510.0816867.83
917116418995026902.5495475.82-7884.34-25546.223.413.410.19509.1
102004001811761.1125089.45100780-10797.72-23865.552.323.650.1211133.33
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
IDEA Performance, X=10, Profit Factor:3.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Mar 2019 (50.39%)
2018126 Nov 2018 (17.19%)
2017103 Jan 2017 (5.65%)
2016218 May 2016 (-6.56%), 28 Jul 2016 (9.14%)
2015211 Feb 2015 (-2.08%), 19 Oct 2015 (8.11%)
2014409 May 2014 (-2.95%), 30 May 2014 (1.85%), 20 Jun 2014 (2.81%), 07 Jul 2014 (-2.31%)
2012124 Jul 2012 (-1.4%)
2011126 May 2011 (-10.57%)
2010306 Feb 2010 (2.27%), 15 Mar 2010 (-11.93%), 28 Apr 2010 (13.14%)
2008220 Jun 2008 (15.8%), 29 Dec 2008 (11.63%)

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
atrnil38.3952590.211861233.3324643.9642552.82-7939.46-16050.293.11.550.0512921.68
50nil21.8318842.7924101441.676239.237826.75-3110.68-3937.162.011.430.048785.12
50trail21.751860.762481633.335999.767357.53-2883.58-3937.162.081.040.005177.53
atrnil25.613302.281861233.3316429.3128368.55-7939.46-16050.292.071.030.0043183.46
50nil32.48-249.22361726.098852.2111740.12-3138.97-3937.162.821-0.00058-10.83
50trail32.09-5880.92361726.097175.289474.93-2878.39-3937.162.490.88-0.016-255.69
50trail-13.27-16274.142241818.188511.524515.83-2795.56-3937.163.040.68-0.035-739.73
atrtrail-15.25-31116.74204162013212.8223527.66-5248-16050.292.520.63-0.048-1555.84
atrtrail34.9-34752.18204162012303.9623527.66-5248-16050.292.340.59-0.056-1737.61
atrtrail24.2-36285.88204162011920.5328368.55-5248-16050.292.270.57-0.057-1814.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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.
IDEA Performance, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Mar 2019 (-4.46%)
2018126 Nov 2018 (21.28%)
2017103 Jan 2017 (9.56%)
2016218 May 2016 (-3.7%), 28 Jul 2016 (8.84%)
2015211 Feb 2015 (-3.07%), 19 Oct 2015 (9.56%)
2014309 May 2014 (-3.55%), 30 May 2014 (-3.71%), 20 Jun 2014 (-3.72%)
2012124 Jul 2012 (-3.7%)
2011126 May 2011 (-3.38%)
2010406 Feb 2010 (-4.01%), 15 Mar 2010 (-3.19%), 28 Apr 2010 (-3.11%), 04 May 2010 (10.03%)
2008220 Jun 2008 (14.66%), 29 Dec 2008 (-8.03%)



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