Study: Sell KSCL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell KSCL when below 200 SMA and near 50 SMA and below 50 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
1-3.8321111052.384082.249196.03-4490.85-10054.560.911-1e-05-0.18
213013.521101147.626329.8518500.88-4571.37-12834.51.381.260.026619.69
324255.212113861.95207.1512875.54-5429.72-11322.620.961.560.0541155.01
445916.42115671.436084.0123962.8-7557.29-12683.70.812.010.0812186.5
5-12810.042112957.145249.2111946.62-8422.28-25643.020.620.83-0.021-610
6-39563.6621101147.626506.2913393.91-9511.5-29358.270.680.62-0.056-1883.98
711329.921111052.389452.1733014.1-9264.4-28319.041.021.120.013539.52
8-14331.4221101147.627817.5219972.02-8409.7-27227.850.930.85-0.019-682.45
9-19410.932112957.146393.7322403.96-10681.74-27070.980.60.8-0.025-924.33
10-33362.562113861.97032.8222576.13-15598.65-26025.460.450.73-0.036-1588.69
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
KSCL Performance, X=4, Profit Factor:2.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Apr 2019 (-1.02%), 23 Apr 2019 (1.84%), 10 May 2019 (1.39%)
2018501 Jan 2018 (1.56%), 14 Mar 2018 (1.97%), 04 May 2018 (1.88%), 24 May 2018 (-6.34%), 30 Nov 2018 (3.41%)
2017307 Nov 2017 (5.61%), 30 Nov 2017 (4.92%), 15 Dec 2017 (-1.21%)
2016402 Feb 2016 (1.89%), 09 May 2016 (-5.96%), 09 Nov 2016 (2.08%), 25 Nov 2016 (-3.01%)
2015219 Oct 2015 (-5.12%), 04 Nov 2015 (0.47%)
2014202 Apr 2014 (2.15%), 24 Sep 2014 (2.29%)
2011118 Mar 2011 (2.17%)
2009105 Jan 2009 (11.98%)

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
50trail31.5622381.8539122730.77798311480.38-2719.04-3917.912.941.30.033573.89
50nil31.7711740.1539112828.218585.6911480.38-2953.66-3961.332.911.140.017301.03
50trail21.333902.4739132633.335893.937922.66-2796.87-3917.912.111.050.0071100.06
50nil21.33748.3539132633.335893.937922.66-2918.18-3946.232.021.010.001319.19
atrtrail24.29-14425.992882028.5712016.9526486.73-5528.08-12545.842.170.87-0.016-515.21
atrnil25.92-65476.18256192416867.8726486.73-8772.81-12974.521.920.61-0.069-2619.05
atrtrail34.61-44273.972882028.578285.9530787.94-5528.08-12545.841.50.6-0.057-1581.21
50trail-12.39-36019.743883021.055422.0116629.69-2646.53-3917.912.050.55-0.069-947.89
atrtrail-14.64-54395.942882028.577020.720665.97-5528.08-12545.841.270.51-0.083-1942.71
atrnil38.57-136276232218.725230.7530343.56-8892.25-13243.372.840.27-0.18-5925.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019705 Apr 2019 (-1.93%), 08 Apr 2019 (-1.26%), 23 Apr 2019 (-1.83%), 07 May 2019 (-1.13%), 08 May 2019 (-1.49%), 14 May 2019 (-0.68%), 17 May 2019 (-1.19%)
2018801 Jan 2018 (3.04%), 14 Mar 2018 (0.68%), 04 May 2018 (-1.08%), 09 May 2018 (-0.35%), 24 May 2018 (-1.11%), 30 Nov 2018 (-1.32%), 05 Dec 2018 (-1.55%), 07 Dec 2018 (-1.13%)
2017707 Nov 2017 (4.13%), 30 Nov 2017 (-1.37%), 11 Dec 2017 (-1.3%), 12 Dec 2017 (3.41%), 15 Dec 2017 (-1.72%), 21 Dec 2017 (-1.02%), 28 Dec 2017 (-1.44%)
2016602 Feb 2016 (5.11%), 08 Feb 2016 (-1.96%), 09 Feb 2016 (3.08%), 09 May 2016 (-1.28%), 09 Nov 2016 (-1.17%), 25 Nov 2016 (-1.38%)
2015319 Oct 2015 (-1.29%), 04 Nov 2015 (4.37%), 10 Nov 2015 (5.74%)
2014302 Apr 2014 (-1.22%), 24 Sep 2014 (5.16%), 29 Sep 2014 (3.37%)
2011318 Mar 2011 (-1.96%), 21 Mar 2011 (-1.75%), 22 Mar 2011 (-1.8%)
2009205 Jan 2009 (4.18%), 06 Jan 2009 (5.62%)



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