Study: Sell OIL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell OIL when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell OIL 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
142111.04442222504277.7921148.33-2363.65-5857.831.811.810.061957.07
224857.45442222504795.7614354.07-3665.87-12617.451.311.310.032564.94
31322.28442222504637.5515056.96-4577.45-16912.751.011.010.001530.05
447633.4843241955.815284.0618424.96-4167.58-11761.31.271.60.0561107.76
567722.6543241955.816280.1521297.67-4368.47-11553.781.441.820.0721574.95
694340.0443241955.816753.0323823.68-3564.87-9550.071.892.390.12193.95
779730.5643251858.146737.1228281.33-4927.64-13835.571.371.90.0751854.2
851999.2243222151.166896.4827637.44-4748.73-23433.541.451.520.0461209.28
952561.8343192444.198255.1126944.03-4345.22-23687.071.91.50.0461222.37
1057086.3643241955.816890.3726547.8-5699.08-24013.041.211.530.0481327.59
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
OIL Performance, X=6, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019613 Feb 2019 (0.4%), 27 Feb 2019 (-0.64%), 22 Apr 2019 (-3.56%), 20 Jun 2019 (-0.08%), 04 Jul 2019 (1.97%), 20 Sep 2019 (5.31%)
2018829 May 2018 (3.79%), 12 Jun 2018 (5.99%), 30 Jul 2018 (-1.54%), 24 Aug 2018 (-1.97%), 07 Sep 2018 (-0.27%), 04 Oct 2018 (3.06%), 14 Nov 2018 (-1.06%), 29 Nov 2018 (11.91%)
2017202 Aug 2017 (0.04%), 22 Aug 2017 (-3.28%)
2016111 Apr 2016 (0.16%)
2015928 Jan 2015 (3.92%), 21 Apr 2015 (4.85%), 13 May 2015 (-0.5%), 27 May 2015 (0.7%), 23 Jun 2015 (5.11%), 05 Aug 2015 (-0.17%), 10 Sep 2015 (2.14%), 05 Oct 2015 (-1.96%), 19 Oct 2015 (9.49%)
2014202 Jan 2014 (-0.54%), 29 Jan 2014 (4.21%)
2013518 Sep 2013 (5.78%), 07 Oct 2013 (0.83%), 24 Oct 2013 (-4.78%), 11 Nov 2013 (0.21%), 05 Dec 2013 (1.29%)
2012316 Jan 2012 (-0.99%), 22 Mar 2012 (-2.7%), 06 Jun 2012 (-1.79%)
2011714 Mar 2011 (1.28%), 01 Jun 2011 (3.81%), 01 Jul 2011 (3.01%), 02 Aug 2011 (-4.33%), 29 Aug 2011 (-1.5%), 23 Sep 2011 (-2.22%), 31 Oct 2011 (1.77%)

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
atrnil27.5128928.8745153033.3312706.7217066.9-5389.06-8318.252.361.180.024642.86
atrnil317.314010.022972224.1418029.7623725.05-5554.47-8533.453.251.030.0043138.28
atrtrail24.34-588662184429.039180.0617066.9-3889.25-7001.932.360.97-0.0045-94.94
atrtrail34.71-24999.3862184429.038118.222804.21-3889.25-7001.932.090.85-0.019-403.22
atrtrail-15.23-31345.8862184429.037765.6221874.22-3889.25-7001.9320.82-0.024-505.58
50trail-13.21-30648.2778166220.518282.0534040.55-2631.63-3968.133.150.81-0.02-392.93
50trail32.41-36790.9878176121.797310.911365.72-2640.59-3968.132.770.77-0.033-471.68
50nil32.79-43860.8172145819.449195.8811365.72-2975.92-3968.133.090.75-0.04-609.18
50trail22.13-55868.3579196024.055460.037586.21-2660.15-3968.132.050.65-0.061-707.19
50nil22.51-63200.9973175623.296103.027910.88-2981.29-3968.132.050.62-0.07-865.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, 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.
OIL Performance, Profit Factor:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019913 Feb 2019 (-2.21%), 21 Feb 2019 (-2.63%), 27 Feb 2019 (-2.75%), 22 Apr 2019 (-2.14%), 25 Apr 2019 (-2.22%), 20 Jun 2019 (4.8%), 09 Jul 2019 (5.54%), 20 Sep 2019 (7.7%), 11 Oct 2019 (-3.28%)
2018829 May 2018 (7.91%), 30 Jul 2018 (-2.62%), 02 Aug 2018 (-2.67%), 24 Aug 2018 (-2.39%), 28 Aug 2018 (-2.41%), 06 Sep 2018 (-2.42%), 04 Oct 2018 (7.6%), 14 Nov 2018 (6.71%)
2017202 Aug 2017 (-2.71%), 22 Aug 2017 (-3.09%)
2016111 Apr 2016 (-2.13%)
2015728 Jan 2015 (5.55%), 21 Apr 2015 (6.87%), 05 Aug 2015 (-2.4%), 12 Aug 2015 (-2.6%), 10 Sep 2015 (7.12%), 05 Oct 2015 (-2.9%), 14 Oct 2015 (5.7%)
2014302 Jan 2014 (-2.82%), 07 Jan 2014 (-2.93%), 29 Jan 2014 (5.41%)
2013418 Sep 2013 (8.53%), 07 Oct 2013 (-4.16%), 05 Dec 2013 (-2.44%), 12 Dec 2013 (-2.54%)
2012316 Jan 2012 (-2.29%), 22 Mar 2012 (5.38%), 06 Jun 2012 (-2.81%)
2011814 Mar 2011 (5.96%), 22 Mar 2011 (-3.5%), 01 Jun 2011 (-3.21%), 01 Jul 2011 (-2.76%), 02 Aug 2011 (-2.77%), 29 Aug 2011 (-2.49%), 23 Sep 2011 (-2.55%), 31 Oct 2011 (4.53%)



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