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

home > technical-strategy > kscl > 1

In this study, we evaluate the performance of strategy "Sell KSCL 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 KSCL 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
1-12366.2126161061.543010.897210.24-6054.04-15535.170.50.8-0.025-475.62
215839.3326141253.857060.5918226.3-6917.41-17756.891.021.190.021609.21
3-15874.6126151157.696819.1714407.7-10742.02-26440.880.630.87-0.017-610.56
432938.232617965.388009.2224781.98-11468.72-22549.440.71.320.0331266.85
516884.852618869.237195.2225526.89-14078.63-23778.520.511.150.016649.42
6-8.6926161061.548764.8730268.9-14024.66-23707.660.621-7.6e-06-0.33
7-13675.8326151157.6910254.9347256.54-15227.25-32442.070.670.92-0.0097-525.99
8-52330.6226111542.3112660.0248346.66-12772.72-31847.890.990.73-0.036-2012.72
9-73577.0626111542.3111889.8948510.17-13624.39-29559.990.870.64-0.051-2829.89
10-11054726121446.1511343.4953615.55-17619.21-32798.570.640.55-0.068-4251.81
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
200trail-1321551.473883021.0512245.149894.62-2546.98-3988.124.811.280.019567.14
200nil21.479056.8938132534.216055.847964.81-2786.76-3988.122.171.130.017238.34
200trail21.479056.8938132534.216055.847964.81-2786.76-3988.122.171.130.017238.34
200trail31.922963.73892923.688617.8411542.06-2572.3-3988.123.351.040.004677.99
200nil31.94-3104.093682822.229277.2411542.06-2761.5-3988.123.360.96-0.005-86.22
atrtrail-15.52-63281.323392427.2713729.3946047.92-7785.24-14469.21.760.66-0.046-1917.62
atrtrail34.67-77220.893392427.2712180.5529806.46-7785.24-14469.21.560.59-0.065-2340.03
atrtrail23.85-77983.773392427.2712095.7819870.98-7785.24-14469.21.550.58-0.07-2363.14
atrnil29.07-1030992982127.5915589.9819870.98-10848.51-31953.381.440.55-0.083-3555.13
atrnil312.73-1115952652119.2322967.129806.46-10782.42-31953.382.130.51-0.09-4292.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 21.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
KSCL Performance, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Jan 2019 (-1.26%), 08 Feb 2019 (24.95%)
2018716 Apr 2018 (0.63%), 23 Apr 2018 (4.41%), 28 May 2018 (-1.76%), 11 Jun 2018 (-1.29%), 13 Nov 2018 (3.95%), 03 Dec 2018 (-1.3%), 11 Dec 2018 (-1.51%)
2017512 Oct 2017 (-1.97%), 13 Oct 2017 (-1.02%), 22 Nov 2017 (-1.39%), 23 Nov 2017 (5.95%), 26 Dec 2017 (3.77%)
2016616 May 2016 (-1.24%), 20 May 2016 (-1.08%), 04 Oct 2016 (-1.99%), 11 Nov 2016 (2.85%), 25 Nov 2016 (-1.54%), 20 Dec 2016 (-0.17%)
2015422 Jan 2015 (2.48%), 04 May 2015 (-0.88%), 15 May 2015 (-0.91%), 05 Jun 2015 (-1.17%)
2014303 Sep 2014 (-1.16%), 19 Sep 2014 (-1.18%), 17 Oct 2014 (-1.38%)
2011516 Feb 2011 (-1.89%), 18 Mar 2011 (-1.21%), 21 Mar 2011 (-1.26%), 22 Mar 2011 (-1.57%), 29 Mar 2011 (-1.26%)
2010208 Jun 2010 (-0.24%), 11 Jun 2010 (-1.78%)
2009220 May 2009 (-1.3%), 21 May 2009 (-1.52%)
2008207 Oct 2008 (-1.0%), 08 Oct 2008 (-1.0%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play