Study: Sell MRPL 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 MRPL 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 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
1-13879.2361818503041.077392.2-3812.14-12135.920.80.8-0.018-385.53
2-5406.6536211558.334122.3611472.87-6131.74-14872.360.670.94-0.0051-150.18
3-48501.7236191752.785157.1615931.72-8616.93-29300.780.60.67-0.033-1347.27
4-9075.9936221461.116162.4618492.18-10332.14-31298.560.60.94-0.0054-252.11
5-1073.2736201655.567913.922048.36-9959.46-25971.140.790.99-0.00058-29.81
6-79247.7636191752.786887.2719914.65-12359.17-32465.920.560.62-0.038-2201.33
7-134496361818507687.320483.64-15159.32-40220.390.510.51-0.054-3736.01
8-13778236191752.788380.1422190.61-17470.88-53781.510.480.54-0.049-3827.28
9-82026.6336211558.339286.7322901.85-18469.87-49486.460.50.7-0.029-2278.52
10-83662.2636211558.339300.5820910.38-18598.3-53781.510.50.7-0.029-2323.95
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
atrnil39.7461754.8735112431.4324322.9731892.44-8574.91-17787.082.841.30.0241764.42
atrnil27.3719454.4135132237.1416124.9421261.63-8644.09-17787.081.871.10.0095555.84
atrtrail25.17215.41401624409437.4620075.15-5991-12384.341.581.050.0042180.39
atrtrail35.45-17832.65401624407871.9530112.73-5991-12384.341.310.88-0.011-445.82
50trail32.09-18471.3454134124.077406.0111399.26-2798.77-3995.132.650.84-0.015-342.06
50nil32.15-27033.6454114320.379270.2811399.26-3000.16-3995.133.090.79-0.021-500.62
atrtrail-15.67-35794.68401624406749.3319512.25-5991-12384.341.130.75-0.025-894.87
50trail21.76-31496.3554144025.935840.517618.87-2831.59-3995.132.060.72-0.031-583.27
50nil21.76-42194.4354134124.076241.837618.87-3008.25-3995.132.070.66-0.041-781.38
50trail-12.58-60037.6753114220.755226.3617251.78-2798.28-3995.131.870.49-0.061-1132.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 31.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRPL Performance, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (7.99%)
2018318 Jan 2018 (-3.47%), 29 Aug 2018 (10.84%), 20 Nov 2018 (14.57%)
2016127 Jan 2016 (15.95%)
2015130 Oct 2015 (-3.83%)
2013117 Dec 2013 (-4.4%)
2012203 Aug 2012 (-4.58%), 24 Sep 2012 (-4.01%)
2011120 Oct 2011 (12.43%)
2010122 Apr 2010 (9.45%)
2009228 Jan 2009 (-6.87%), 27 Feb 2009 (-4.57%)
2007209 Jan 2007 (-3.65%), 08 Jun 2007 (-4.58%)
2006126 Oct 2006 (-3.02%)
2005320 Jun 2005 (-3.24%), 24 Aug 2005 (-4.07%), 21 Dec 2005 (8.83%)
2004526 Aug 2004 (-4.4%), 28 Sep 2004 (-3.25%), 26 Oct 2004 (-3.37%), 09 Nov 2004 (-3.09%), 30 Nov 2004 (-2.73%)
2002118 Dec 2002 (-5.85%)
2001126 Sep 2001 (-8.89%)
1999127 Jan 1999 (11.38%)
1998415 Jan 1998 (13.21%), 20 May 1998 (14.08%), 24 Aug 1998 (-3.36%), 31 Aug 1998 (-3.53%)
1997405 Feb 1997 (-5.16%), 11 Mar 1997 (-4.86%), 12 Mar 1997 (15.06%), 01 Jul 1997 (-4.12%)



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