Study: Sell LT 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 LT 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 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
13431.2494544.445006.668387.86-3319.08-6966.781.511.210.02381.25
225258.8796366.675182.779435.83-1945.92-2609.072.665.330.162806.54
348000.8598188.896428.713160.98-3428.75-3428.751.87150.275333.43
456664.9698188.897148.811121.95-525.45-525.4513.61108.840.416296.11
565704.0998188.898507.2112596.38-2353.59-2353.593.6128.920.367300.45
675296.1498188.899747.2714436.22-2681.99-2681.993.6329.070.388366.24
783407.6698188.8910662.6819627.03-1893.81-1893.815.6345.040.389267.52
880708.0198188.8910147.3420601.96-470.72-470.7221.56172.460.368967.56
969373.998188.899945.6815879.95-10191.57-10191.570.987.810.267708.21
1065401.9398188.899499.8212341.05-10596.61-10596.610.97.170.277266.88
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
LT Performance, X=8, Profit Factor:172

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020305 Feb 2020 (2.28%), 28 Jul 2020 (-0.24%), 31 Aug 2020 (2.54%)
2018127 Sep 2018 (4.52%)
2013127 May 2013 (2.45%)
2011202 May 2011 (6.45%), 29 Jul 2011 (3.95%)
2008129 May 2008 (10.3%)
2005106 Apr 2005 (8.1%)

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-18.2760890.26117463.6412083.438745.94-5923.39-8730.582.043.570.115535.48
atrnil26.9155110.96117463.6411342.814876.57-6072.16-8730.581.873.270.145010.09
50trail-14.6738868.91266509399.9715703.13-2921.82-3956.983.223.220.123239.07
atrtrail36.3650830.1117463.6410646.2415127.32-5923.39-8730.581.83.150.134620.92
50nil3336011.781266508923.7911450.74-2921.82-3956.983.053.050.123000.98
50trail32.5829144.571266507779.259423.08-2921.82-3956.982.662.660.112428.71
atrtrail25.6438677.79117463.648910.1913717.31-5923.39-8730.581.52.630.123516.16
50nil21.4218164.21266505949.197633.83-2921.82-3956.982.042.040.0841513.68
50trail21.4218164.21266505949.197633.83-2921.82-3956.982.042.040.0841513.68
atrnil311.8237623115645.4515241.7120705.02-6430.93-8730.582.371.980.0783420.27

In the table above, row 1 shows the best exit criterion. Profit factor is 3.57. Strategy is very good and impressively bearish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 2.77%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LT Performance, Profit Factor:3.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020505 Feb 2020 (19.37%), 28 Jul 2020 (-2.59%), 03 Aug 2020 (-2.23%), 31 Aug 2020 (-2.67%), 04 Sep 2020 (7.41%)
2018127 Sep 2018 (2.5%)
2013127 May 2013 (2.46%)
2011202 May 2011 (3.36%), 29 Jul 2011 (3.5%)
2008129 May 2008 (-4.37%)
2005106 Apr 2005 (3.68%)



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