Study: Sell MOTHERSUMI 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 MOTHERSUMI 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 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
15710.32137653.853125.46479.96-2694.58-6304.991.161.350.026439.26
2-30732.3137653.853999.348644.4-9787.94-323200.410.48-0.051-2364.02
32659.5137653.859542.9615751.03-10690.21-25454.550.891.040.0034204.58
4-17592.4138561.545936.6713496.35-13017.16-41818.180.460.73-0.021-1353.26
5-23653.99137653.857316.7916110.02-12478.59-50909.090.590.68-0.024-1819.54
65807.88138561.546580.5114980.35-9367.24-30909.090.71.120.0087446.76
726811.54138561.547331.3424166.4-6367.83-12727.271.151.840.052062.43
8-296.99136746.15749721340.11-6468.42-15334.211.160.99-0.00052-22.85
9-14900.13135838.4610639.7218894.89-8512.34-19527.081.250.78-0.022-1146.16
10-15480.09134930.7714882.2324579.23-8334.34-19354.841.790.79-0.019-1190.78
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
atrtrail25.53-13855.111541126.6722318.8827934.21-9375.51-14635.72.380.87-0.014-923.67
atrnil311.46-33418.61331023.0833543.7941901.31-13405-19377.682.50.75-0.027-2570.66
atrnil27.69-33680.49134930.7722318.8827934.21-13661.78-19377.681.630.73-0.033-2590.81
atrtrail36.53-62712.211541126.6710104.615736.96-9375.51-14635.71.080.39-0.095-4180.81
atrtrail-16.53-62712.211541126.6710104.615736.96-9375.51-14635.71.080.39-0.095-4180.81
200trail21.35-40845.312332013.045973.746276.56-2938.33-3937.742.030.3-0.13-1775.88
200trail31.39-43328.43232218.78988.389414.85-2919.3-3937.743.080.29-0.12-1883.84
200nil21.35-43429.582332013.045973.746276.56-3067.54-3937.741.950.29-0.13-1888.24
200nil31.39-46342.39232218.78988.389414.85-3062.82-3937.742.930.28-0.13-2014.89
200trail-11.59-54082.41221214.557679.97679.9-2941.06-3937.742.610.12-0.23-2458.29

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 26.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.46%, 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:0.866

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016215 Nov 2016 (-5.22%), 22 Nov 2016 (-5.08%)
2015127 Aug 2015 (11.44%)
2013229 Aug 2013 (-2.78%), 06 Sep 2013 (-4.59%)
2012120 Apr 2012 (8.13%)
2011123 Aug 2011 (11.09%)
2009115 Jun 2009 (-0.13%)
2008523 Jan 2008 (-7.25%), 05 Feb 2008 (-2.41%), 07 Mar 2008 (-5.66%), 09 Apr 2008 (-7.32%), 15 Apr 2008 (13.97%)
2005128 Oct 2005 (-4.92%)
2000127 Mar 2000 (-6.2%)



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