Study: Sell MRPL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell MRPL when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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 MRPL 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
1-52896.5128131546.432654.757392.2-5827.22-45501.860.460.39-0.044-1889.16
2-58532.6528111739.293378.188484.85-5628.98-32565.060.60.39-0.061-2090.45
3-89866.9228131546.433958.26782.46-9421.57-60074.350.420.36-0.054-3209.53
4-10160828121642.866752.2813793.1-11414.7-54572.490.590.44-0.058-3628.85
5-1094522882028.5710949.9317611.74-9852.58-55167.291.110.44-0.059-3909.01
6-99094.2128101835.718173.3914039.41-10046.01-41189.590.810.45-0.059-3539.08
7-22202.8428131546.4310605.9527906.98-10672.02-31078.070.990.86-0.012-792.96
8369.8228151353.5710405.8622441.86-11978.32-39553.90.8710.000213.21
9-51914.9928151353.5710080.8528372.09-15625.22-51895.910.650.74-0.023-1854.11
10-19760.8528151353.5711919.3138837.21-15273.12-61263.940.780.9-0.0081-705.74
Although, strategy looks good but profit factor on day 3 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
atrnil37.07-38057.033072323.3328945.9641123.13-10464.29-38281.852.770.84-0.015-1268.57
atrnil26.3-52999.713082226.6721268.335065.26-10143-38281.852.10.76-0.024-1766.66
atrtrail34.56-62565.663262618.7519486.2241123.13-6903.19-38281.852.820.65-0.03-1955.18
200trail-12.26-61131.334764112.7710437.2927852.22-3018.42-3992.193.460.51-0.048-1300.67
atrtrail-14.97-99669.483262618.7513302.2525664.87-6903.19-38281.851.930.44-0.059-3114.67
atrtrail24.34-99835.313262618.7513274.6127415.42-6903.19-38281.851.920.44-0.059-3119.85
200trail31.57-71625.384764112.778688.2810950.87-3018.42-3992.192.880.42-0.08-1523.94
200nil31.57-74624.094764112.778688.2810950.87-3091.56-3992.192.810.41-0.083-1587.75
200trail21.43-74280.14783917.025780.017300.58-3090.26-3992.191.870.38-0.097-1580.43
200nil21.43-74770.284783917.025780.017300.58-3102.83-3992.191.860.38-0.098-1590.86

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 23.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.63%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:0.842

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Jan 2018 (-3.47%)
2017314 Nov 2017 (-3.66%), 30 Nov 2017 (-3.23%), 14 Dec 2017 (-2.99%)
2016127 Jan 2016 (15.95%)
2014228 Feb 2014 (-3.36%), 14 Nov 2014 (11.16%)
2013305 Feb 2013 (-3.22%), 13 Feb 2013 (-3.37%), 18 Feb 2013 (13.41%)
2012310 Apr 2012 (16.05%), 23 Nov 2012 (-3.32%), 13 Dec 2012 (-3.07%)
2011121 Jun 2011 (-3.83%)
2010327 Jan 2010 (-4.13%), 27 Aug 2010 (-3.59%), 30 Sep 2010 (-2.64%)
2008322 Jan 2008 (-19.14%), 10 Mar 2008 (-10.25%), 26 May 2008 (20.56%)
2007115 Feb 2007 (13.48%)
2006126 Oct 2006 (-3.02%)
2005124 Aug 2005 (-4.07%)
2004120 May 2004 (-10.68%)
2002112 Aug 2002 (-8.77%)
1999215 Dec 1999 (-5.68%), 23 Dec 1999 (-6.33%)
1997220 Nov 1997 (-3.54%), 28 Nov 1997 (10.7%)
1995122 Nov 1995 (-4.99%)



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