Study: Buy OIL when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy OIL when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1-8546.361991047.371338.342998.9-2059.14-5454.250.650.58-0.064-449.81
2-290.911981142.115076.6510380.53-3718.55-12403.481.370.99-0.00089-15.31
3-14064.241961331.585133.697890.32-3451.26-10037.791.490.69-0.048-740.22
4-19151.711951426.326083.38820.29-3540.59-11159.471.720.61-0.062-1007.98
5-29573.991961331.584879.479429.21-4526.99-13416.831.080.5-0.088-1556.53
6-18111.781971236.845353.6514238.69-4632.28-11308.071.160.67-0.046-953.25
7-15379.731941521.0512364.4714332.97-4322.51-14655.22.860.76-0.033-809.46
8-32126.351971236.846994.0714685.78-6757.07-13459.291.040.6-0.066-1690.86
9-51604.431971236.845368.2612506.99-7431.85-14301.380.720.42-0.11-2716.02
10-60817.361951426.328062.0211387.8-7223.39-15887.441.120.4-0.13-3200.91
Although, strategy looks good but profit factor on day 1 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
atrnil24.58-31478.42451920.8311987.2514587.02-4811.3-8456.152.490.66-0.06-1311.6
50nil33.29-22982.782442016.679851.3211323.04-3119.4-3930.633.160.63-0.062-957.62
atrtrail23.64-32163.2425619248360.3414587.02-4332.91-5870.471.930.61-0.067-1286.53
50trail32.89-26018.912742314.819851.3211323.04-2844.53-3930.633.460.6-0.066-963.66
atrnil36.04-49144.172332013.0415945.6119018.86-4849.05-7293.513.290.49-0.095-2136.7
50nil22.96-33023.9525520206124.127548.7-3182.23-3930.631.920.48-0.11-1320.96
50trail22.61-36060.082852317.866124.127548.7-2899.16-3930.632.110.46-0.11-1287.86
50trail-13.33-35821.782742314.817400.611058.39-2844.53-3930.632.60.45-0.11-1326.73
atrtrail34.08-50635.062451920.836175.1814425.63-4290.05-5823.051.440.38-0.14-2109.79
atrtrail-14.17-56101.742451920.835081.848958.95-4290.05-5823.051.180.31-0.18-2337.57

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OIL Performance, Profit Factor:0.656

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018108 May 2018 (6.73%)
2017506 Mar 2017 (-2.28%), 07 Apr 2017 (-1.75%), 04 May 2017 (-1.56%), 11 Dec 2017 (-2.57%), 21 Dec 2017 (4.8%)
2016116 Nov 2016 (4.81%)
2014315 Jul 2014 (-3.15%), 29 Oct 2014 (-2.69%), 27 Nov 2014 (-2.91%)
2013305 Apr 2013 (6.34%), 27 Jun 2013 (7.29%), 28 Jun 2013 (-4.23%)
2012729 Aug 2012 (-1.85%), 31 Aug 2012 (-2.03%), 06 Sep 2012 (-2.15%), 11 Sep 2012 (-2.15%), 14 Sep 2012 (-2.38%), 04 Oct 2012 (-2.44%), 26 Oct 2012 (-2.04%)
2011403 Jan 2011 (-2.47%), 14 Sep 2011 (-2.08%), 22 Sep 2011 (-2.49%), 27 Sep 2011 (-2.48%)



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