Study: Sell LT 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 LT 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 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
111050.65148657.143365.995771.43-2646.21-8351.641.271.70.056789.33
220343.83149564.294404.669435.83-3859.61-5445.771.142.050.081453.13
3-12964.341477505175.0713160.98-7027.12-18954.590.740.74-0.029-926.02
4-3849.06148657.144762.1911121.95-6991.1-18600.090.680.91-0.0097-274.93
58480.66148657.146420.712596.38-7147.5-20410.320.91.20.018605.76
613128.36148657.147595.5114436.22-7939.29-22673.10.961.280.023937.74
7-1497.461477508287.0513565.92-8500.97-32938.60.970.97-0.0024-106.96
8-636.51477509429.3416299.26-9520.27-40760.30.990.99-0.00083-45.46
9-17334.05146842.8610140.1914645.93-9771.9-37516.971.040.78-0.023-1238.15
10-32207.47146842.868500.6914187-10401.45-34190.680.820.61-0.046-2300.53

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.05. 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 64.29%, which is good. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
LT Performance, X=2, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (1.51%), 15 May 2019 (-2.72%), 25 Jul 2019 (0.07%)
2018329 Jun 2018 (1.85%), 03 Aug 2018 (-0.41%), 27 Sep 2018 (4.72%)
2016118 Nov 2016 (2.98%)
2015108 May 2015 (2.61%)
2014216 Dec 2014 (-1.55%), 31 Dec 2014 (-2.68%)
2013118 Feb 2013 (0.8%)
2010113 May 2010 (-2.29%)
2006119 Jul 2006 (1.23%)
2005106 Apr 2005 (4.04%)

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
nilnil-1220343.83149564.294404.669435.83-3859.61-5445.771.142.050.081453.13
atrtrail34.9426394.761871138.898015.3613441.66-2701.16-8670.612.971.890.0611466.38
atrtrail24.3922805.451871138.897502.613717.31-2701.16-8670.612.781.770.0561266.97
atrnil27.222596.83157846.679703.1113717.31-5665.62-11175.571.711.50.0491506.46
atrtrail-15.3313428.881871138.896163.0911588.32-2701.16-8670.612.281.450.038746.05
200trail32.957147.772171433.336376.3410373.35-2677.61-3857.52.381.190.019340.37
200nil33.556865.7420614308366.410373.35-3095.19-3857.52.71.160.016343.29
200nil23.05700.6220713355787.247045.12-3062.31-3857.51.891.020.002135.03
200trail-13.57-3667.12161528.575713.212159.52-2529.75-3857.52.260.9-0.011-174.62
200trail22.71-3700.52171433.334826.597045.12-2677.61-3857.51.80.9-0.012-176.21
atrnil311.33-27167.21153122013029.6513441.66-5521.35-11175.572.360.59-0.061-1811.15

In the table above, row 1 shows the best exit criterion. Profit factor is 2.05. 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 64.29%, which is good. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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