Study: Sell IRB 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 IRB 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 IRB 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
1-25030.49422121503394.5611697.32-4586.49-14278.380.740.74-0.036-595.96
2-76103.0642152735.716716.3716880.73-6549.95-15707.921.030.57-0.07-1811.98
3-10730642182442.866836.6220061.16-9598.55-30200.310.710.53-0.068-2554.91
4-10236242192345.248429.1425103.61-11413.7-34905.080.740.61-0.055-2437.18
5-10264842182442.8610977.738188.28-12510.26-44580.530.880.66-0.045-2444
6-11358942192345.2411632.6531131.5-14548.25-63722.830.80.66-0.045-2704.51
7-33172.554221215011490.6126727.83-13070.25-45788.040.880.88-0.015-789.82
8-23003.1942231954.7610354.2428746.18-13744.78-41396.20.750.91-0.01-547.69
9-23378.9142241857.1410165.3525382.26-14852.63-43885.870.680.91-0.01-556.64
10-52884.6842192345.2411625.2826228.54-11902.83-42122.020.980.81-0.024-1259.16
Although, strategy looks good but profit factor on day 3 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
atrnil36.623492.1945123326.6724464.1133436.1-8184.16-19057.292.991.090.011522.05
atrtrail34.615284.851163531.3715152.3633436.1-6775.8-15463.962.241.020.0026103.62
atrnil24.77-9485.1848163233.3315609.1122935.16-8100.97-19057.291.930.96-0.0051-197.61
atrtrail24-40343.7451163531.3712300.5722935.16-6775.8-15463.961.820.83-0.024-791.05
atrtrail-14.9-57779.585015353011958.2238005.33-6775.8-15463.961.760.76-0.033-1155.59
50nil31.95-55817.1464105415.6210378.6411964.48-2955.62-3987.573.510.65-0.053-872.14
50nil21.66-54318.8465145121.546832.27976.32-2940.58-3987.572.320.64-0.061-835.67
50trail21.47-6982868145420.595874.147976.32-2816.04-3987.572.090.54-0.084-1026.88
50trail-12.09-78086.416795813.439044.9221022.5-2749.84-3987.573.290.51-0.071-1165.47
50trail31.66-85748.4967105714.937339.7611964.48-2792.04-3987.572.630.46-0.097-1279.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 26.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
IRB Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Mar 2019 (-4.53%), 10 Apr 2019 (14.66%), 28 May 2019 (16.72%)
2017803 Aug 2017 (-2.59%), 08 Aug 2017 (8.1%), 31 Aug 2017 (-2.81%), 04 Sep 2017 (-2.89%), 12 Sep 2017 (-2.82%), 23 Oct 2017 (-2.64%), 01 Dec 2017 (10.11%), 18 Dec 2017 (-3.8%)
2016704 Mar 2016 (-3.97%), 06 Apr 2016 (9.49%), 30 Jun 2016 (-2.43%), 08 Jul 2016 (-2.38%), 18 Jul 2016 (-2.39%), 26 Jul 2016 (-2.25%), 08 Aug 2016 (-2.29%)
2015516 Apr 2015 (11.69%), 19 May 2015 (-4.0%), 26 Jun 2015 (-3.61%), 13 Aug 2015 (-4.19%), 28 Aug 2015 (-5.73%)
2014209 Jan 2014 (12.92%), 04 Mar 2014 (-3.81%)
2013811 Jan 2013 (-3.5%), 22 Jan 2013 (10.14%), 11 Mar 2013 (12.63%), 08 Apr 2013 (-4.4%), 26 Apr 2013 (-3.95%), 13 May 2013 (-3.17%), 03 Jun 2013 (11.67%), 28 Oct 2013 (-5.29%)
2012329 Jun 2012 (-4.69%), 16 Aug 2012 (-4.54%), 30 Nov 2012 (-4.39%)
2011724 Mar 2011 (-4.35%), 27 Jun 2011 (-4.25%), 27 Jul 2011 (-5.03%), 10 Aug 2011 (16.51%), 09 Sep 2011 (-5.73%), 23 Sep 2011 (-5.36%), 11 Nov 2011 (12.16%)
2009208 Apr 2009 (-7.73%), 22 Apr 2009 (-9.53%)



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