Study: Sell INDIACEM when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell INDIACEM when there is Dead Cross (50 DMA < 200 DMA)" 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
1-16674.911771041.183178.077437.83-3892.14-13242.010.820.57-0.042-980.88
232099.281713476.475206.613171.58-8896.64-20091.320.591.90.0471888.19
331056.441712570.596754.3414211.44-9999.13-27549.470.681.620.0381826.85
414683.391711664.716761.3115377.6-9948.5-33028.920.681.250.016863.73
5932.21711664.717979.1218019.63-14473.02-38964.990.551.010.0008554.84
61521.981710758.829435.8717841.21-13262.39-32267.880.711.020.001489.53
7910.461710758.8210218.6715742.64-14468.03-29832.570.711.010.0008153.56
8-5781.491710758.8210237.7419484.37-15451.27-44444.440.660.95-0.0044-340.09
9-58876.031711664.719051.0615607.99-26406.28-64079.150.340.63-0.034-3463.3
10-45433.141712570.598131.3518335.34-28601.86-43074.580.280.68-0.03-2672.54
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
atrtrail36.6117112.341899508614.6628035.34-6713.29-15237.541.281.280.019950.69
atrtrail26.2810611.851899507892.3918690.23-6713.29-15237.541.181.180.013589.55
atrnil29.94-26308.21861233.3319018.8827962.25-11701.79-18566.581.630.81-0.02-1461.57
atrtrail-17.17-15193.361899505025.147925.15-6713.29-15237.540.750.75-0.024-844.08
atrnil313.33-44781.071841422.2228630.741943.38-11378.85-18566.582.520.72-0.029-2487.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017218 Jan 2017 (-1.74%), 24 Oct 2017 (-3.31%)
2016110 Mar 2016 (-4.55%)
2015102 Jan 2015 (-0.25%)
2013112 Mar 2013 (-0.1%)
2012122 Jun 2012 (-4.51%)
2010216 Jun 2010 (9.59%), 19 Nov 2010 (14.02%)
2009110 Nov 2009 (1.39%)
2008126 Feb 2008 (3.5%)
2007122 Mar 2007 (2.21%)
2004121 Jun 2004 (0.55%)
2002118 Mar 2002 (3.84%)
2001130 Apr 2001 (2.52%)
2000221 Mar 2000 (-7.62%), 22 Mar 2000 (-7.34%)
1997109 Dec 1997 (-0.81%)
1996101 May 1996 (1.14%)



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