Study: Sell INDIACEM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

home > technical-strategy > indiacem > 10

In this study, we evaluate the performance of strategy "Sell INDIACEM when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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 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
124097.1721111052.386391.1724678.11-4620.57-15424.971.381.520.0311147.48
234089.5221111052.389385.9245064.38-6915.57-25708.291.361.490.0251623.31
333915.732112957.149973.4423465.21-9529.51-39506.821.051.40.0241615.03
410376.8821111052.3811621.5529607.61-11746.02-36567.160.991.090.0064494.14
553244.812116576.199576.7831629.01-19996.74-38992.540.481.530.0332535.47
658025.23201467011757.0224732.46-17762.17-50559.70.661.540.0352901.26
779205.69201376515597.1130915.58-17650.97-44776.120.881.640.0413960.28
868289.34201467014521.4432342.45-22501.81-47388.060.651.510.0333414.47
975838.59201467016185.9131188.99-25127.36-50373.130.641.50.0343791.93
10108591201467019121.0841702.13-26517.35-53917.910.721.680.0455429.55
Although, strategy looks good but profit factor on day 4 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
atrnil28.292728492114766.6724562.5143366.63-10146.65-13689.952.424.840.1512992.79
atrtrail25.521823902514115618036.3943366.63-6374.51-13697.862.833.60.0967295.6
atrtrail36.121718582514115617284.0865049.94-6374.51-13697.862.713.450.0816874.3
atrnil312.952356262010105034268.0457620.56-10705.4-14046.293.23.20.111781.32
atrtrail-17.081422832514115615171.6344724.43-6374.51-13697.862.383.030.085691.33
200trail-12.3137178.273582722.8613712.6224300.83-2686.03-3743.265.111.510.0281062.24
200nil31.627977.0235102528.5710001.3211950.06-2881.45-3845.113.471.390.028799.34
200trail31.5320803.0536102627.789222.3511950.06-2746.94-3743.263.361.290.021577.86
200nil21.2411272.2537122532.436742.227966.71-2785.38-3743.262.421.160.014304.66
200trail21.2411272.2537122532.436742.227966.71-2785.38-3743.262.421.160.014304.66

In the table above, row 1 shows the best exit criterion. Profit factor is 4.84. Strategy is very good and impressively bearish. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 6.5%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:4.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 May 2019 (-4.64%)
2017211 Oct 2017 (-3.88%), 06 Nov 2017 (6.85%)
2016205 Feb 2016 (12.86%), 05 Dec 2016 (-6.16%)
2014226 Mar 2014 (-4.02%), 01 Dec 2014 (11.47%)
2013110 Jan 2013 (6.74%)
2012115 May 2012 (11.24%)
2010212 Nov 2010 (-4.22%), 18 Nov 2010 (9.21%)
2009115 Oct 2009 (6.95%)
2007119 Feb 2007 (10.4%)
2006112 Dec 2006 (-5.74%)
2004223 Mar 2004 (-6.84%), 26 May 2004 (18.13%)
2002131 Jan 2002 (12.42%)
2001209 Mar 2001 (19.21%), 15 Mar 2001 (21.68%)
2000129 Feb 2000 (14.05%)
1996129 Apr 1996 (10.74%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play