Study: Sell JISLJALEQS when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell JISLJALEQS when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
1-31874.51661037.57369.7612553.74-7609.3-18390.80.970.58-0.056-1992.16
2-69753.631661037.59193.3718228.72-12491.38-34900.730.740.44-0.074-4359.6
3-93822.591661037.59040.8820292.35-14806.78-41574.020.610.37-0.088-5863.91
4-92474.471688506794.1422699.91-18353.45-51287.30.370.37-0.073-5779.65
5-75203.371611568.756809.1226827.17-30020.74-58952.60.230.5-0.053-4700.21
6-51257.29169756.259569.7730954.43-19626.46-56524.280.490.63-0.037-3203.58
7-22737.141610662.511690.2932330.18-23273.34-58250.440.50.84-0.016-1421.07
8-31617.051610662.512031.7326139.29-25322.39-57167.930.480.79-0.022-1976.07
915210.911610662.516370.4347954.06-24748.89-56553.540.661.10.009950.68
105738.351611568.7516067.641062.46-34201.05-57811.590.471.030.0032358.65
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
50trail-12.2325581.882652119.2318176.2528569.22-3109.49-3937.825.851.390.025983.92
atrnil35.6340234.511961331.5829314.1542578.91-10434.65-12645.92.811.30.0272117.61
atrnil24.2111231.481971236.8419572.428385.94-10481.27-12645.91.871.090.0097591.13
atrtrail23.29-11280.222181338.113358.5428385.94-9088.35-12645.91.470.9-0.01-537.15
50trail31.31-9926.462662023.088945.2110487.94-3179.89-3937.822.810.84-0.018-381.79
atrtrail33.86-18654.792181338.112436.7127758.6-9088.35-12645.91.370.84-0.017-888.32
atrtrail-14.48-19306.532181338.112355.2529087.21-9088.35-12645.91.360.84-0.018-919.36
50nil31.31-10748.592662023.088945.2110487.94-3220.99-3937.822.780.83-0.019-413.41
50nil21.23-21050.372671926.925834.286991.96-3257.38-3937.821.790.66-0.048-809.63
50trail21.23-21050.372671926.925834.286991.96-3257.38-3937.821.790.66-0.048-809.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 19.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
JISLJALEQS Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Mar 2019 (-1.62%), 26 Apr 2019 (14.28%)
2017113 Nov 2017 (-1.68%)
2015204 Jun 2015 (-1.59%), 11 Aug 2015 (5.24%)
2014120 Nov 2014 (-1.91%)
2013228 Jan 2013 (-1.58%), 31 Jan 2013 (14.03%)
2012713 Feb 2012 (-1.43%), 07 Mar 2012 (-1.96%), 21 Mar 2012 (-1.49%), 09 Aug 2012 (-1.78%), 29 Oct 2012 (1.79%), 01 Nov 2012 (-1.32%), 02 Nov 2012 (-1.46%)
2011309 Sep 2011 (-1.35%), 15 Sep 2011 (-1.21%), 19 Sep 2011 (10.1%)
2009209 Mar 2009 (-0.85%), 31 Mar 2009 (-1.69%)
2004628 Apr 2004 (-1.95%), 29 Apr 2004 (-1.47%), 30 Apr 2004 (-0.85%), 04 May 2004 (-1.73%), 16 Jun 2004 (-1.76%), 24 Jun 2004 (-1.97%)



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