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

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In this study, we evaluate the performance of strategy "Sell INDIACEM 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 INDIACEM 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
12872.7955292652.735075.7124678.11-5550.87-27325.580.911.020.001452.23
266532.4355312456.367353.1945064.38-6725.69-26434.781.091.410.0231209.68
363394.9555322358.187545.2432332.56-7741.43-39506.820.971.360.0221152.64
457946.0155282750.9110092.734642.03-8320.36-36044.071.211.260.0181053.56
558074.59553322609479.0237644.34-11578.78-49418.60.821.230.0151055.9
670053.9354332161.1110281.1232794.46-12820.14-42441.860.81.260.0181297.3
710681254292553.713871.3737990.76-11818.3-38372.091.171.360.0241978.01
810700354302455.5614083.4641454.97-13145.84-61046.511.071.340.0221981.55
975657.7854292553.715704.4745958.43-15190.87-65697.671.031.20.0141401.07
1011234654312357.4117173.1742032.33-18261.85-72093.020.941.270.0192080.48
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
atrnil310.2631035253193435.8532828.9357620.56-9217.56-14865.953.561.990.0565855.71
atrnil26.8327967058263244.8321998.0343366.63-9133.7-14865.952.411.960.064821.9
atrtrail35.1718379469294042.0315242.8965049.94-6456.25-13697.862.361.710.0382663.68
atrtrail24.7117667969294042.0314997.5743366.63-6456.25-13697.862.321.680.042560.57
atrtrail-16.1214878569284140.5814795.1444724.43-6475.1-13697.862.281.560.0332156.3
200trail-12.4-8839.3586176919.7710576.3832172.06-2733.88-3944.223.870.95-0.0031-102.78
200trail31.74-20451.1887206722.998350.4611950.06-2797.91-3944.222.980.89-0.0097-235.07
200nil31.92-22638.5385186721.189635.211950.06-2926.45-3944.223.290.88-0.011-266.34
200nil21.49-27967.9388246427.276497.727966.71-2873.65-3944.222.260.85-0.015-317.82
200trail21.48-34822.8388236526.146465.377966.71-2823.48-3944.222.290.81-0.02-395.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.99. 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 35.85%, which is not acceptable. Avoid this strategy. Average return per trade is 2.93%, which is very good. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:1.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Mar 2019 (-4.13%), 09 May 2019 (-4.64%)
2017311 Oct 2017 (-3.88%), 06 Nov 2017 (10.27%), 26 Dec 2017 (-3.76%)
2016205 Feb 2016 (19.29%), 05 Dec 2016 (-6.16%)
2015606 Feb 2015 (-6.84%), 13 Feb 2015 (-7.43%), 04 Mar 2015 (17.78%), 02 Jul 2015 (12.53%), 27 Nov 2015 (-4.13%), 22 Dec 2015 (-4.04%)
2014501 Jan 2014 (11.25%), 28 Feb 2014 (-4.29%), 14 Mar 2014 (-4.39%), 26 Mar 2014 (-4.02%), 01 Dec 2014 (17.21%)
2013410 Jan 2013 (10.1%), 25 Feb 2013 (-3.57%), 13 May 2013 (-3.5%), 20 May 2013 (10.71%)
2012715 May 2012 (-5.62%), 26 Jun 2012 (-5.33%), 09 Jul 2012 (-4.71%), 29 Aug 2012 (-4.0%), 03 Sep 2012 (-4.14%), 03 Dec 2012 (-3.46%), 14 Dec 2012 (-3.62%)
2011128 Oct 2011 (13.1%)
2010804 Jan 2010 (-3.16%), 18 Mar 2010 (-3.25%), 07 Sep 2010 (-3.06%), 22 Sep 2010 (-3.69%), 04 Oct 2010 (10.84%), 25 Oct 2010 (-4.38%), 12 Nov 2010 (-4.22%), 18 Nov 2010 (13.81%)
2009209 Apr 2009 (-5.56%), 15 Oct 2009 (10.43%)
2007119 Feb 2007 (15.6%)
2006112 Dec 2006 (-5.74%)
2004223 Mar 2004 (-6.84%), 26 May 2004 (27.19%)
2003123 May 2003 (-4.44%)
2002131 Jan 2002 (18.63%)
2001309 Mar 2001 (28.81%), 18 Apr 2001 (24.12%), 20 Nov 2001 (-4.28%)
2000129 Feb 2000 (-7.02%)
1999131 Mar 1999 (16.34%)
1998118 May 1998 (23.86%)
1996129 Apr 1996 (-5.37%)



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