Study: Sell INDIACEM when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell INDIACEM when below 200 SMA and RSI is overbought" 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
1-1371.011811761.115173.6311830.46-8325.84-18377.60.620.98-0.0019-76.17
230556.951814477.786690.4717726.05-15777.39-29122.590.421.480.0311697.61
334093.151812666.677874.8416842.11-10067.49-39701.310.781.560.0321894.06
436232.591811761.1111391.0921052.63-12724.2-33727.440.91.410.0282012.92
541140.751811761.1111434.4327105.26-12091.14-32233.980.951.490.0312285.6
665411.111812666.6711415.5531484.26-11929.25-16798.280.961.910.0513633.95
755696.0518995014544.731184.41-8356.26-23646.551.741.740.0433094.22
842219.481810855.5612446.7432383.81-10280.99-29535.861.211.510.0312345.53
932562.271881044.4416201.8735000-9705.27-28973.281.671.340.0231809.01
10-9414.331810855.5613599.6433583.21-18176.34-44430.620.750.94-0.0052-523.02
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
atrtrail23.5686336.9327131448.1513526.2126030.13-6393.13-14004.942.121.960.0573197.66
atrtrail34.6373937.8127121544.4413883.1832677.36-6177.35-14004.942.251.80.0462738.44
atrtrail-15.5254776.4827121544.4412286.425610.02-6177.35-14004.941.991.590.0382028.76
atrnil25.0810864.58259163616973.126030.13-8868.34-14004.941.911.080.007434.58
atrnil36.55629.34246182526895.4339045.19-8652.4-14004.943.111.040.003234.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 48.15%, which is not acceptable. Avoid this strategy. Average return per trade is 1.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Mar 2019 (-2.75%)
2013106 Nov 2013 (8.57%)
2011107 Apr 2011 (0.3%)
2010107 Sep 2010 (6.12%)
2009106 Jan 2009 (13.02%)
2008116 Dec 2008 (-7.0%)
2004106 Aug 2004 (2.76%)
2003312 May 2003 (7.9%), 16 May 2003 (-4.37%), 20 May 2003 (-2.86%)
2002213 May 2002 (6.37%), 21 Nov 2002 (-1.34%)
2001407 Aug 2001 (9.53%), 22 Oct 2001 (-4.81%), 23 Oct 2001 (-0.87%), 31 Oct 2001 (-0.22%)
2000227 Nov 2000 (-4.72%), 28 Nov 2000 (2.87%)
1999131 Mar 1999 (10.89%)
1998407 Apr 1998 (-4.97%), 09 Apr 1998 (-4.93%), 10 Apr 1998 (1.28%), 15 Apr 1998 (10.87%)
1997302 Jan 1997 (-0.28%), 17 Jun 1997 (-2.77%), 18 Jun 1997 (-2.87%)
1996117 Jun 1996 (7.44%)



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