Study: Sell KAJARIACER 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 KAJARIACER 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 KAJARIACER 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
1-45037.191741323.531455.532053.39-3912.25-10019.270.370.11-0.15-2649.25
2-74453.361731417.654212.799090.91-6220.84-20809.250.680.15-0.14-4379.61
3-82287.711741323.532761.765063.29-7179.59-20038.540.380.12-0.17-4840.45
4-94464.491751229.417598.2413319.24-11037.97-29287.090.690.29-0.11-5556.73
5-73420.731771041.186879.4316363.64-12157.68-42933.810.570.4-0.064-4318.87
6-1155641751229.415115.4914104.88-11761.77-62254.030.430.18-0.09-6797.87
7-1153081751229.418885.1316998.19-13311.12-76207.510.670.28-0.071-6782.81
8-1079201761135.2912067.4419529.84-16393.18-98389.980.740.4-0.052-6348.26
9-1053011761135.2910677.2719168.17-15396.83-74776.390.690.38-0.064-6194.21
10-1088851771041.187965.6518806.51-16464.47-62254.030.480.34-0.074-6405.01
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
atrnil33.91-1293022231913.6422700.0533757.16-10389.58-17207.382.180.34-0.097-5877.36
50trail31.58-41933.91242228.339744.4311803.64-2791.94-3939.733.490.32-0.1-1747.25
50nil31.58-46211.24242228.339744.4311803.64-2986.37-3994.783.260.3-0.11-1925.47
atrnil23.73-1520022231913.6415133.3722504.78-10389.58-17207.381.460.23-0.15-6909.18
50trail21.58-48430.2242228.336496.287869.09-2791.94-3939.732.330.21-0.15-2017.92
50nil21.58-52707.52242228.336496.287869.09-2986.37-3994.782.180.2-0.17-2196.15
atrtrail23.23-168533222209.0911447.6717589.57-9571.44-17207.381.20.12-0.21-7660.61
atrtrail33.32-174714222209.098357.548756.44-9571.44-17207.380.870.087-0.24-7941.53
atrtrail-13.36-177115222209.097156.978756.44-9571.44-17207.380.750.075-0.26-8050.67
50trail-11.67-58316.84241234.173269.573269.57-2677.67-3939.731.220.053-0.33-2429.87

In the table above, row 1 shows the best exit criterion. Profit factor is 0.34. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KAJARIACER Performance, Profit Factor:0.345

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017215 Mar 2017 (-2.97%), 23 Mar 2017 (-2.91%)
2009220 Apr 2009 (-6.82%), 27 Apr 2009 (-6.42%)
2008126 Mar 2008 (-7.34%)
2007305 Jul 2007 (-7.58%), 28 Sep 2007 (-4.21%), 03 Oct 2007 (13.19%)
2006318 Jan 2006 (-6.41%), 30 Mar 2006 (-5.36%), 02 Jun 2006 (-5.92%)
2002428 May 2002 (-6.53%), 31 May 2002 (-6.39%), 18 Nov 2002 (-5.06%), 18 Dec 2002 (-3.92%)
2000126 Dec 2000 (-8.6%)
1999106 Aug 1999 (-6.45%)
1998127 May 1998 (16.88%)
1996421 Mar 1996 (-2.32%), 06 Nov 1996 (-1.75%), 13 Nov 1996 (-1.74%), 28 Nov 1996 (3.98%)



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