Study: Sell KSCL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell KSCL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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
1-11569.591064602905.095450.58-7250.04-15535.170.40.6-0.055-1156.96
233610.281073707750.4518226.3-6880.95-11791.911.132.630.113361.03
32320.861073705719.4414407.7-12571.75-23790.690.451.060.0066232.09
424896.361073707988.8824781.98-10341.94-22549.440.771.80.0652489.64
518925.441082806373.5925526.89-16031.65-23778.520.41.590.0471892.54
625672.881073709480.5630268.9-13563.68-22938.850.71.630.0572567.29
732174.1710646012313.9647256.54-10427.4-23084.881.181.770.0553217.42
8827.3910464017009.7248346.66-11201.91-22804.991.521.010.001382.74
9-31636.3710464016399.0648510.17-16205.44-26411.661.010.67-0.046-3163.64
10-48437.7210464018403.8253615.55-20342.17-27881.860.90.6-0.061-4843.77
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=2, Profit Factor:2.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (7.67%)
2016225 Nov 2016 (-4.27%), 20 Dec 2016 (1.7%)
2015322 Jan 2015 (3.65%), 04 May 2015 (3.27%), 18 May 2015 (-0.16%)
2014117 Oct 2014 (-5.9%)
2011118 Mar 2011 (0.16%)
2010108 Jun 2010 (1.57%)
2008107 Oct 2008 (9.11%)

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-13.2128985.951421214.2927423.0549894.62-2155.01-3553.8112.732.120.0462070.43
200nil21.9317061.73146842.866419.67964.81-2681.98-3553.812.391.80.0791218.7
200trail21.9317061.73146842.866419.67964.81-2681.98-3553.812.391.80.0791218.7
200trail32.147116.41431121.4310388.0211542.06-2186.15-3553.814.751.30.029508.31
200nil32.384391.231331023.0810388.0211542.06-2677.28-3982.413.881.160.018337.79
atrtrail-15-19203.72112918.1824593.2946047.92-7598.92-14469.23.240.72-0.033-1745.79
atrnil317.1-62093.5510282021751.9524628.9-13199.68-31953.381.650.41-0.12-6209.36
atrtrail33.91-40622.74112918.1813883.7724628.9-7598.92-14469.21.830.41-0.11-3692.98
atrtrail23.73-48832.37112918.189778.9616419.27-7598.92-14469.21.290.29-0.16-4439.31
atrnil216.9-76594.8510282014501.316419.27-13199.68-31953.381.10.27-0.18-7659.49

In the table above, row 1 shows the best exit criterion. Profit factor is 2.12. 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 14.29%, which is not acceptable. Avoid this strategy. Average return per trade is 1.04%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (24.95%)
2016225 Nov 2016 (-1.54%), 20 Dec 2016 (-0.17%)
2015322 Jan 2015 (2.48%), 04 May 2015 (-0.88%), 15 May 2015 (-0.91%)
2014117 Oct 2014 (-1.38%)
2011318 Mar 2011 (-1.21%), 21 Mar 2011 (-1.26%), 22 Mar 2011 (-1.57%)
2010208 Jun 2010 (-0.24%), 11 Jun 2010 (-1.78%)
2008207 Oct 2008 (-1.0%), 08 Oct 2008 (-1.0%)



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