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

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In this study, we evaluate the performance of strategy "Sell JISLJALEQS when near 200 SMA and below 200 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
1-3901.781688504332.3911198.85-4820.12-14646.730.90.9-0.0096-243.86
221892.471610662.5688417946.88-7824.59-15719.060.881.470.0381368.28
330042.14169756.2510524.1418096.51-9239.3-18896.321.141.460.0411877.63
44732.7816885011806.7721179.62-11215.17-20401.341.051.050.0057295.8
5-23985.21167943.7513077.6122892.47-12836.5-25752.511.020.79-0.025-1499.08
6-39327.8167943.7511421.4326005.36-13253.09-30978.810.860.67-0.04-2457.99
7-35562.5167943.7514376.2532171.58-15132.91-29263.370.950.74-0.032-2222.66
8-27915.87167943.7514358.2933646.11-14269.32-26942.481.010.78-0.025-1744.74
9-8002.18167943.7518753.8647954.06-15475.47-28960.651.210.94-0.0058-500.14
10-48534.89167943.7516263.1341062.46-18041.87-36528.760.90.7-0.035-3033.43
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
200nil21.19288.592181338.16072.397800-3022.35-3980.752.011.240.024442.31
200trail-12.297237.932161528.578950.2528056.3-3097.57-3980.752.891.160.011344.66
200trail21.15647.132181338.15617.217669.77-3022.35-3980.751.861.140.015268.91
200nil31.244886.092161528.578558.2811700-3097.57-3980.752.761.110.011232.67
200trail31.24-2655.372161528.577301.378939.09-3097.57-3980.752.360.94-0.0064-126.45
atrtrail23.89-5650.121871138.8910667.0618505.73-7301.77-18016.311.460.93-0.007-313.9
atrtrail34.39-8465.461871138.8910264.8727758.6-7301.77-18016.311.410.89-0.0099-470.3
atrtrail-14.94-17783.291871138.898933.7525221.29-7301.77-18016.311.220.78-0.023-987.96
atrnil37.93-39262.271431121.4325763.7627758.6-10595.78-20451.972.430.66-0.044-2804.45
atrnil27.07-37982.691441028.5717389.1118505.73-10753.91-20451.971.620.65-0.05-2713.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 38.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018406 Mar 2018 (2.79%), 16 Mar 2018 (2.34%), 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 (2.98%), 13 Nov 2017 (-1.91%)
2015111 Aug 2015 (2.27%)
2014210 Mar 2014 (-1.51%), 26 Mar 2014 (-1.79%)
2013131 Jan 2013 (2.84%)
2008103 Jun 2008 (-1.13%)
2006508 Jun 2006 (3.83%), 21 Jun 2006 (-1.9%), 27 Jun 2006 (3.34%), 13 Jul 2006 (-1.1%), 17 Jul 2006 (-1.98%)
2004113 Aug 2004 (-1.26%)
2003111 Mar 2003 (3.9%)



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