Study: Sell MOTHERSUMI 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 MOTHERSUMI 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 MOTHERSUMI 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
1-26718.52291340.912771.385846.95-3973.92-15952.380.70.48-0.052-1214.48
2-96700.412281436.363751.915593.22-9051.12-21152.190.410.24-0.13-4395.47
3-1048632251722.736571.7310103.09-8101.29-23958.330.810.24-0.12-4766.51
4-922772281436.367474.6417525.77-10862.44-25291.180.690.39-0.083-4194.41
5-3426022101245.459733.3723529.41-10966.14-22070.580.890.74-0.027-1557.27
6-31826.092291340.9110291.3821568.63-9572.96-28309.611.080.74-0.025-1446.64
7-59776.452281436.369732.2318627.45-9831.02-26827.840.990.57-0.048-2717.11
8-1204422281436.369036.4118556.7-13766.65-53993.060.660.38-0.071-5474.63
9-72291.942281436.3613007.6826804.12-12596.67-32638.891.030.59-0.045-3286
10-1237602291340.9112849.1131134.02-18415.54-66222.960.70.48-0.055-5625.45
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
50trail-12.32-11027.883462817.6510201.7939853.43-2579.95-3852.083.950.85-0.0092-324.35
50nil21.64-13509.6536102627.786155.017396.99-2886.91-3852.082.130.82-0.02-375.27
50trail21.58-14831.9436102627.785437.877396.99-2661.95-3852.082.040.79-0.023-412
50nil31.97-24978.953462817.659305.9910913.34-2886.25-3852.083.220.69-0.034-734.68
50trail31.79-27211.853462817.657504.4610527.84-2579.95-3852.082.910.62-0.041-800.35
atrtrail-14.89-90256.42852317.8621848.956018.05-8673.95-20748.012.520.55-0.045-3223.44
atrnil35.92-1471842642215.3826619.3941901.31-11530.08-22921.092.310.42-0.081-5660.93
atrnil24.73-1498452652119.2318574.5927934.21-11557.99-22921.091.610.38-0.095-5763.26
atrtrail23.79-1381452852317.8612271.2127934.21-8673.95-20748.011.410.31-0.11-4933.75
atrtrail33.96-1399672852317.8611906.7522025.24-8673.95-20748.011.370.3-0.11-4998.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 17.65%, which is not acceptable. Avoid this strategy. Average return per trade is -0.16%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:0.847

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019511 Jan 2019 (-1.04%), 17 Jan 2019 (-1.74%), 10 Apr 2019 (-1.48%), 12 Apr 2019 (-1.01%), 23 Apr 2019 (19.93%)
2018217 May 2018 (-0.34%), 14 Aug 2018 (-1.82%)
2016328 Mar 2016 (-1.19%), 07 Apr 2016 (-1.1%), 24 May 2016 (-1.23%)
2012409 Jul 2012 (-1.59%), 27 Jul 2012 (1.77%), 07 Aug 2012 (-1.58%), 08 Aug 2012 (-1.75%)
2009419 Jan 2009 (1.0%), 29 Jan 2009 (-1.12%), 03 Feb 2009 (-0.82%), 25 Mar 2009 (-1.24%)
2008509 Apr 2008 (-1.18%), 15 Apr 2008 (-1.46%), 22 Apr 2008 (-1.84%), 23 Apr 2008 (-1.93%), 25 Apr 2008 (-1.16%)
2006226 Jul 2006 (1.57%), 29 Aug 2006 (-1.06%)
2003111 Feb 2003 (-1.0%)
2002125 Apr 2002 (0.05%)
2001316 Mar 2001 (-1.2%), 21 Mar 2001 (-1.02%), 10 Sep 2001 (-1.0%)
1998330 Mar 1998 (-1.33%), 26 Nov 1998 (-1.14%), 21 Dec 1998 (-1.72%)
1997109 Sep 1997 (6.29%)



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