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

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In this study, we evaluate the performance of strategy "Sell LT 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 LT 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
1-2895.5131131841.944240.8712642.84-3223.71-8351.641.320.95-0.0053-93.4
2-12773.3531141745.164747.759435.83-4661.29-12665.81.020.84-0.019-412.04
3-59485.7631131841.944884.6113160.98-6832.54-18954.590.710.52-0.067-1918.9
4-37118.5431141745.165256.912041-6512.65-18600.090.810.66-0.042-1197.37
5-13396.0831141745.167680.0320846.58-7112.73-20410.321.080.89-0.012-432.13
6-11812.5331131841.9410196.5520926.07-8020.43-22673.11.270.92-0.009-381.05
7-23837.0931112035.4813175.727633.15-8438.49-32938.61.560.86-0.015-768.94
8-34082.3931131841.9411777.1430216.61-10399.18-40760.31.130.82-0.02-1099.43
9-26643.4431112035.4814929.6731925.68-9543.49-37516.971.560.86-0.015-859.47
10-24034.7531131841.9412679.8332839.83-10492.92-34190.681.210.87-0.013-775.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.95. 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 41.94%, which is not acceptable. Avoid this strategy. Average return per trade is -0.047%, we advise you not to use this strategy.

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
atrtrail-15.1440292.9537112629.7312537.2239435.81-3754.48-8670.613.341.410.0271089
200trail-13.3922950.9441103124.3910010.8528488.67-2488.95-3881.044.021.30.022559.78
200nil32.6717838.6440112927.58921.8911763.86-2769.04-3955.123.221.220.022445.97
atrtrail34.1415453.1537112629.7310279.0619130.61-3754.48-8670.612.741.160.015417.65
200trail32.3911270.8141113026.837997.1511763.86-2556.6-3881.043.131.150.014274.9
atrtrail23.621992.5537112629.739055.3713717.31-3754.48-8670.612.411.020.002153.85
atrnil25-2523.1733112233.3310455.6913717.31-5342.54-11175.571.960.98-0.0026-76.46
nilnil-11-2895.5131131841.944240.8712642.84-3223.71-8351.641.320.95-0.0053-93.4
200nil22.3-14874.9540112927.55947.937842.57-2769.04-3955.122.150.81-0.024-371.87
atrnil37.76-30379.623372621.2115499.5519130.61-5341.4-11175.572.90.78-0.027-920.59
200trail22.15-17995.341113026.835336.67842.57-2556.6-3881.042.090.77-0.031-438.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 29.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
LT Performance, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Feb 2019 (5.79%), 06 Mar 2019 (-2.07%), 15 May 2019 (-2.13%), 25 Jul 2019 (-0.68%), 06 Aug 2019 (1.86%)
2018529 Jun 2018 (-0.36%), 10 Jul 2018 (-1.28%), 16 Jul 2018 (-0.2%), 30 Jul 2018 (2.95%), 27 Sep 2018 (2.5%)
2017311 Jan 2017 (-1.62%), 20 Jan 2017 (-0.29%), 24 Jan 2017 (-1.8%)
2016218 Nov 2016 (0.42%), 25 Nov 2016 (-1.15%)
2015306 Jan 2015 (-1.93%), 13 Jan 2015 (-2.1%), 08 May 2015 (-0.24%)
2014216 Dec 2014 (-1.48%), 23 Dec 2014 (-1.17%)
2013618 Feb 2013 (4.77%), 23 Apr 2013 (-3.0%), 22 May 2013 (2.87%), 15 Jul 2013 (19.72%), 21 Oct 2013 (-3.61%), 13 Nov 2013 (-3.06%)
2012215 Feb 2012 (-2.91%), 14 Jun 2012 (-3.76%)
2011427 Jun 2011 (-2.56%), 12 Jul 2011 (-2.44%), 27 Jul 2011 (5.32%), 09 Sep 2011 (19.07%)
2010315 Mar 2010 (-2.35%), 15 Apr 2010 (-2.19%), 13 May 2010 (-0.1%)
2006119 Jul 2006 (-4.34%)
2005106 Apr 2005 (3.68%)



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