Study: Sell NMDC 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 NMDC 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 NMDC 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
1-851.24125741.674726.3413301.66-3497.56-5596.471.350.97-0.0042-70.94
210581.751266505802.7512509.9-4039.12-8211.611.441.440.041881.81
3279.13125741.676100.948471.89-4317.94-7027.241.411.010.001223.26
411047.93125741.677397.9310928.38-3705.96-704021.430.046920.66
514045.05127558.336606.2311117.35-6439.71-96801.031.440.0471170.42
618934.38128466.675839.7611458.89-6945.92-114400.841.680.0671577.87
716848.96127558.336211.089507.77-5325.72-9454.311.171.630.0671404.08
840952.41128466.677703.9812272.37-5169.85-9835.031.492.980.143412.7
968703.9712937511099.822974.96-10398.08-152001.073.20.165725.33
1085659.4512937513436.7330436.92-11757.05-16878.171.143.430.167138.29
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
NMDC Performance, X=10, Profit Factor:3.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Apr 2019 (6.21%), 05 Aug 2019 (15.22%)
2018222 Feb 2018 (3.75%), 16 Mar 2018 (6.1%)
2017111 May 2017 (5.95%)
2016109 May 2016 (5.89%)
2014311 Mar 2014 (-7.8%), 16 Oct 2014 (-8.44%), 05 Nov 2014 (9.19%)
2012130 Oct 2012 (1.03%)
2011218 Feb 2011 (-1.4%), 10 May 2011 (7.13%)

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
atrnil3983756.8214775018237.3522686.64-6272.09-8220.062.912.910.145982.63
atrnil24.2957556.68148657.1412001.2615124.43-6408.9-8220.061.872.50.134111.19
200trail-14.1841057.531761135.2911602.5118852.25-2596.14-3568.034.472.440.0962415.15
200nil3237757.141771041.189396.811525.93-2802.05-3568.033.352.350.112221.01
200trail3237757.141771041.189396.811525.93-2802.05-3568.033.352.350.112221.01
atrtrail2439592.8214775011555.0913693.05-5898.98-8220.061.961.960.0942828.06
200nil21.7821012.941881044.446129.187683.95-2802.05-3568.032.191.750.0761167.39
200trail21.7821012.941881044.446129.187683.95-2802.05-3568.032.191.750.0761167.39
atrtrail35.0715338.961477508090.2614310.13-5898.98-8220.061.371.370.0431095.64
atrtrail-15.149901.041477507313.4112278.85-5898.98-8220.061.241.240.03707.22

In the table above, row 1 shows the best exit criterion. Profit factor is 2.91. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.99%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
NMDC Performance, Profit Factor:2.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Apr 2019 (7.81%), 05 Aug 2019 (11.34%)
2018222 Feb 2018 (-4.11%), 16 Mar 2018 (9.58%)
2017211 May 2017 (-2.45%), 18 May 2017 (7.16%)
2016109 May 2016 (8.76%)
2014311 Mar 2014 (-3.15%), 16 Oct 2014 (-3.9%), 05 Nov 2014 (10.27%)
2012230 Oct 2012 (-2.68%), 09 Nov 2012 (8.91%)
2011218 Feb 2011 (-2.93%), 10 May 2011 (-2.73%)



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