Study: Buy OIL when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy OIL when near 200 SMA and above 200 SMA" 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
16744.0533191457.582805.3110052.32-3325.49-13209.180.841.140.016204.37
2-14103.333151845.454062.1110654.63-4168.61-13274.980.970.81-0.024-427.37
39720.5833171651.524069.1810570.73-3715.96-9311.391.11.160.019294.56
4-2434.9833171651.523735.298820.29-4120.93-8735.720.910.96-0.005-73.79
511925.433201360.613689.368882.97-4758.61-12256.390.781.190.022361.38
619957.1833191457.584437.069305.4-4596.21-14389.060.971.310.034604.76
713451.9333171651.526028.4616474.05-5564.49-17492.581.081.150.018407.63
8-6173.6333171651.525765.6435301.53-6511.84-19199.880.890.94-0.0066-187.08
9-13953.3633141942.426749.2335133.43-5707.51-19619.471.180.87-0.015-422.83
10-41404.5833122136.366090.7435532.67-5452.07-17320.971.120.64-0.044-1254.68
Although, strategy looks good but profit factor on day 2 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
200trail22.5718148.9854203437.045319.947934.68-2595.58-3860.452.051.210.026336.09
200nil34.1716469.5946133328.268551.5611902.02-2869.72-38932.981.170.022358.03
200nil22.9814221.2549183136.735796.187934.68-2906.77-38931.991.160.021290.23
200trail33.066888.4651163531.375881.4511878.53-2491.85-3860.452.361.080.0096135.07
atrtrail24.55-11650.7542182442.864853.4413458-4125.53-6283.991.180.88-0.016-277.4
200trail-13.86-14196.5751163531.374563.6329828.12-2491.85-3860.451.830.84-0.017-278.36
atrnil28.09-25449.453292328.1210835.8413458-5346.61-6698.22.030.79-0.034-795.3
atrnil310.3-55212.993052516.6715771.9117706.52-5362.9-6698.22.940.59-0.073-1840.43
atrtrail35.05-65223.142172540.482146.948673.49-4068.84-6283.990.530.36-0.14-1552.93
atrtrail-15.05-65223.142172540.482146.948673.49-4068.84-6283.990.530.36-0.14-1552.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Oct 2019 (-1.15%), 05 Nov 2019 (-1.62%)
2018421 Mar 2018 (3.12%), 19 Apr 2018 (3.96%), 08 May 2018 (2.55%), 23 May 2018 (-1.92%)
2017312 May 2017 (2.6%), 17 May 2017 (-1.62%), 08 Sep 2017 (2.52%)
2016201 Jul 2016 (2.52%), 11 Jul 2016 (3.97%)
2014710 Mar 2014 (-1.6%), 18 Mar 2014 (-1.67%), 24 Mar 2014 (-1.23%), 26 Mar 2014 (-1.44%), 28 Mar 2014 (2.11%), 16 Apr 2014 (2.01%), 19 Dec 2014 (2.64%)
2013108 Jan 2013 (3.18%)
20122107 Feb 2012 (3.74%), 28 Feb 2012 (-1.03%), 01 Mar 2012 (-0.73%), 27 Mar 2012 (-1.68%), 25 Jun 2012 (3.85%), 06 Jul 2012 (-1.87%), 13 Jul 2012 (-1.54%), 17 Jul 2012 (-1.01%), 18 Jul 2012 (2.46%), 06 Aug 2012 (-1.89%), 08 Aug 2012 (-1.2%), 13 Aug 2012 (-0.7%), 17 Aug 2012 (-1.14%), 22 Aug 2012 (2.62%), 05 Sep 2012 (1.13%), 12 Sep 2012 (3.68%), 27 Sep 2012 (2.29%), 01 Oct 2012 (2.2%), 08 Oct 2012 (0.04%), 16 Oct 2012 (-0.32%), 30 Oct 2012 (-1.05%)
20111406 Jan 2011 (-1.88%), 27 Apr 2011 (-1.4%), 06 May 2011 (-1.09%), 10 May 2011 (-1.38%), 13 May 2011 (-1.15%), 16 Aug 2011 (-1.01%), 22 Aug 2011 (-1.27%), 08 Sep 2011 (-1.31%), 14 Sep 2011 (-1.11%), 20 Sep 2011 (-1.93%), 27 Sep 2011 (-0.33%), 12 Oct 2011 (-1.32%), 28 Oct 2011 (-1.29%), 04 Nov 2011 (-1.27%)



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