Study: Sell INDIACEM 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 INDIACEM 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 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
156728.8868373154.414962.9319798.46-4093.53-14600.231.211.450.028834.25
282073.9768402858.827490.5130794.17-7769.52-34210.530.961.380.0241206.97
310581868373154.419656.7534289.53-8112.3-27052.241.191.420.0271556.15
422583.4868402858.829892.7733313.57-13325.97-40379.640.741.060.0047332.11
5-47535.0868353351.4710047.3128334.32-12096.7-62467.640.830.88-0.0094-699.05
6-87722.468373154.419906.5133669.24-14653.65-69197.580.680.81-0.016-1290.04
7-38656.2368383055.8811126.7137225.84-15382.37-51596.20.720.92-0.0068-568.47
8-10689168353351.4713714.5441849.44-17784.85-76617.770.770.82-0.015-1571.93
9-12731968363252.9414121.0444931.51-19864.89-64883.520.710.8-0.018-1872.34
10-68188.8468373154.4115014.4453041.1-20120.1-60569.460.750.89-0.0094-1002.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 54.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study.

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
nilnil-1156728.8868373154.414962.9319798.46-4093.53-14600.231.211.450.028834.25
50trail31.8564029.371003070308493.2111953.28-2725.24-3828.433.121.340.025640.29
50trail-12.6958764.221002872289088.0227695.32-2718.06-3828.433.341.30.018587.64
50nil31.9756350.8199287128.289402.3911953.28-2914.31-3828.433.231.270.021569.2
atrnil37.5597611.2369214830.4325719.5943458.91-9218.76-16015.932.791.220.0181414.66
50trail21.5127602.12102346833.336386.587968.85-2787.38-3828.432.291.150.013270.61
50nil21.5121114.52102346833.336386.587968.85-2882.78-3828.432.221.110.0096207.01
atrnil25.6-6881.9273254834.2517268.828972.61-9137.54-16015.931.890.98-0.0015-94.27
atrtrail34.43-28785.4283285533.7312440.7734721.11-6856.85-15842.881.810.92-0.0063-346.81
atrtrail-14.9-37253.9283285533.7312138.3241781.05-6856.85-15842.881.770.9-0.0082-448.84
atrtrail23.99-40949.2983285533.7312006.3423147.41-6856.85-15842.881.750.89-0.0099-493.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 54.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
INDIACEM Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Jan 2019 (0.66%), 22 Feb 2019 (0.75%)
2018624 Jan 2018 (1.88%), 05 Apr 2018 (1.77%), 20 Apr 2018 (0.03%), 14 Aug 2018 (-0.9%), 18 Sep 2018 (0.57%), 04 Dec 2018 (3.15%)
2017206 Nov 2017 (4.3%), 27 Nov 2017 (1.06%)
2015510 Feb 2015 (-4.33%), 16 Jul 2015 (0.34%), 30 Jul 2015 (-7.3%), 30 Sep 2015 (-5.57%), 10 Nov 2015 (-1.95%)
2014309 Jan 2014 (2.89%), 24 Feb 2014 (-3.13%), 26 Mar 2014 (-2.71%)
2013511 Mar 2013 (1.05%), 10 Apr 2013 (1.07%), 29 Apr 2013 (-0.42%), 21 May 2013 (9.9%), 18 Oct 2013 (1.85%)
2012310 Jan 2012 (0.84%), 20 Jul 2012 (0.69%), 31 Aug 2012 (-1.02%)
2011505 Jan 2011 (3.18%), 24 Mar 2011 (-1.18%), 06 Sep 2011 (-3.65%), 26 Sep 2011 (-2.45%), 01 Dec 2011 (-3.07%)
2010610 Mar 2010 (-0.54%), 13 Jul 2010 (0.45%), 10 Aug 2010 (1.94%), 26 Aug 2010 (-0.0%), 20 Oct 2010 (-2.42%), 12 Nov 2010 (-0.56%)
2009318 Feb 2009 (-0.0%), 16 Mar 2009 (5.51%), 03 Dec 2009 (0.68%)
2008322 Apr 2008 (4.68%), 25 Jul 2008 (1.06%), 02 Sep 2008 (-3.05%)
2007118 Jun 2007 (-2.19%)
2003107 Jan 2003 (-0.83%)
2002507 May 2002 (-3.55%), 11 Jun 2002 (-4.25%), 26 Jun 2002 (-1.52%), 15 Jul 2002 (1.01%), 20 Dec 2002 (-0.0%)
2001304 Jun 2001 (2.61%), 31 Jul 2001 (-1.54%), 27 Aug 2001 (-1.31%)
2000428 Mar 2000 (2.8%), 06 Jul 2000 (8.45%), 20 Jul 2000 (4.48%), 04 Aug 2000 (0.67%)
1999318 Jan 1999 (2.1%), 04 Mar 1999 (-0.98%), 19 Mar 1999 (0.83%)
1998307 Jan 1998 (4.47%), 27 Feb 1998 (6.0%), 01 Apr 1998 (-0.69%)
1997320 Jan 1997 (5.26%), 25 Mar 1997 (1.53%), 05 Jun 1997 (-1.37%)
1996205 Jun 1996 (-0.98%), 29 Jul 1996 (1.28%)



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