Study: Sell JISLJALEQS when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell JISLJALEQS when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell JISLJALEQS 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
14354.329151451.724149.3313392.29-4134.69-14646.7311.080.0065150.15
225457.6929181162.075750.3920088.44-7095.39-15719.060.811.330.026877.85
324794.1129151451.728843.6118096.51-7704.29-18896.321.151.230.021854.97
451482.9829141548.2812898.7130639.81-8606.6-20401.341.51.40.0341775.28
550103.2429151451.7214284.2361013.95-11725.73-25752.511.221.310.0241727.7
620966.0229141548.2812880.5647199.47-10624.13-30978.811.211.130.011722.97
7-5679.8329121741.3815404.2642638.92-11207.7-29263.371.370.97-0.0028-195.86
810254.6129151451.7212484.433646.11-12643.67-26942.480.991.060.0054353.61
968405.7329141548.2817428.8447954.06-11706.54-28960.651.491.390.0312358.82
1015968.8729141548.2817401.7541062.46-15177.04-36528.761.151.070.0065550.65
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
200nil31.36-11787.1845103522.228852.811757.42-2866.15-3980.753.090.88-0.013-261.94
200nil21.18-12229.4245133228.896030.527838.28-2832.07-3980.752.130.87-0.016-271.76
atrtrail-14.28-21189.7336132336.1110276.2349572.93-6729.6-18016.311.530.86-0.012-588.6
200trail21.18-13230.1645133228.895750.417838.28-2749.54-3980.752.090.85-0.018-294
atrtrail23.67-25216.1436132336.119966.5131296.72-6729.6-18016.311.480.84-0.016-700.45
200trail-12.02-18808.0245103522.227886.6528056.3-2790.7-3980.752.830.81-0.017-417.96
atrtrail33.94-37292.8936132336.119037.5327758.6-6729.6-18016.311.340.76-0.025-1035.91
200trail31.31-25712.4145103522.227196.2111757.42-2790.7-3980.752.580.74-0.032-571.39
atrnil37.15-54058.372752218.5229772.2246945.08-9223.61-20451.973.230.73-0.031-2002.16
atrnil26.44-76635.392762122.2219544.9431296.72-9233.57-20451.972.120.6-0.055-2838.35

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JISLJALEQS Performance, Profit Factor:0.882

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018406 Mar 2018 (4.18%), 16 Mar 2018 (3.51%), 26 Mar 2018 (-1.99%), 02 Apr 2018 (-1.11%)
2017519 May 2017 (-1.22%), 04 Sep 2017 (-1.31%), 06 Oct 2017 (-1.42%), 10 Oct 2017 (4.47%), 13 Nov 2017 (-1.91%)
2016313 Apr 2016 (-1.27%), 27 Apr 2016 (3.46%), 03 May 2016 (-1.08%)
2015802 Jul 2015 (-1.18%), 03 Jul 2015 (-1.33%), 07 Jul 2015 (-1.02%), 11 Aug 2015 (3.41%), 06 Oct 2015 (-1.59%), 07 Oct 2015 (-1.74%), 26 Oct 2015 (-1.89%), 28 Oct 2015 (3.99%)
2014310 Mar 2014 (-1.51%), 26 Mar 2014 (-1.79%), 29 Oct 2014 (-1.6%)
2013502 Jan 2013 (-1.98%), 31 Jan 2013 (4.26%), 08 May 2013 (5.26%), 27 May 2013 (-1.26%), 29 May 2013 (-1.19%)
2012220 Dec 2012 (-1.68%), 24 Dec 2012 (-1.41%)
2011405 Jan 2011 (-1.23%), 14 Jan 2011 (-1.02%), 24 Jan 2011 (-1.13%), 27 Jan 2011 (-1.33%)
2008103 Jun 2008 (-1.13%)
2006508 Jun 2006 (-1.92%), 21 Jun 2006 (-1.9%), 27 Jun 2006 (-1.67%), 13 Jul 2006 (-1.1%), 17 Jul 2006 (-1.98%)
2004201 Mar 2004 (5.88%), 13 Aug 2004 (-1.26%)
2003111 Mar 2003 (5.85%)
2002227 Nov 2002 (-1.0%), 28 Nov 2002 (-1.0%)



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