Study: Buy OIL when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy OIL when below 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
1-2392.4502525503417.0612522.47-3512.75-13917.810.970.97-0.0032-47.85
2-38235.56502327464139.299646.49-4942.19-36273.970.840.71-0.033-764.71
3-8919.52502723544541.8612787.59-5719.56-22027.40.790.93-0.0081-178.39
4-55871.42502921584366.8611717.5-8690.97-45808.220.50.69-0.037-1117.43
5-84013.53503119624325.6316800.43-11479.36-43178.080.380.61-0.049-1680.27
6-26909.95502624526537.1419368.65-8203.14-22498.960.80.86-0.018-538.2
7-23033.04502723546844.4224558.59-9036.19-32328.770.760.89-0.014-460.66
8-40368.39502327467816.2120670.66-8153.38-24574.510.960.82-0.025-807.37
9-35508.68502525508029.9326219.29-9450.27-39232.880.850.85-0.018-710.17
10-38444.05502525508499.6626475.98-10037.43-48484.850.850.85-0.018-768.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.024%, we advise you not to use this strategy.

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
atrtrail35.0832586.5293415244.098388.4572837.96-5987.31-19425.061.41.10.0098350.39
atrtrail24.3926259.2693415244.098234.1348558.64-5987.31-19425.061.381.080.009282.36
atrnil26.8817954.5888295932.9514541.8848558.64-6843.39-19425.062.121.040.0057204.03
atrnil313.1411123.0279205925.3221306.1372837.96-7033.89-19425.063.031.030.0031140.8
nilnil-11-2392.4502525503417.0612522.47-3512.75-13917.810.970.97-0.0032-47.85
atrtrail-15.58-92652.2892395342.395672.1721288.39-5922.02-19425.060.960.7-0.043-1007.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 44.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0098, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20201221 Jan 2020 (-2.57%), 22 Jan 2020 (0.08%), 31 Jan 2020 (-3.63%), 01 Feb 2020 (-3.91%), 24 Feb 2020 (-4.92%), 26 Feb 2020 (-5.05%), 28 Feb 2020 (-5.33%), 02 Mar 2020 (2.54%), 09 Mar 2020 (-7.47%), 11 Mar 2020 (-8.17%), 12 Mar 2020 (-9.71%), 16 Mar 2020 (36.42%)
20191130 Jan 2019 (1.61%), 17 Jun 2019 (0.66%), 08 Jul 2019 (3.32%), 18 Jul 2019 (-3.01%), 19 Jul 2019 (-1.89%), 24 Jul 2019 (-2.18%), 05 Aug 2019 (-1.11%), 13 Aug 2019 (-0.3%), 21 Aug 2019 (0.28%), 21 Nov 2019 (-2.48%), 26 Dec 2019 (4.11%)
2018808 Mar 2018 (1.19%), 24 May 2018 (0.48%), 28 Jun 2018 (1.24%), 05 Oct 2018 (7.06%), 30 Nov 2018 (-2.38%), 06 Dec 2018 (-3.67%), 10 Dec 2018 (0.44%), 27 Dec 2018 (1.15%)
2017911 May 2017 (-1.72%), 22 May 2017 (-1.83%), 24 May 2017 (-0.14%), 02 Jun 2017 (-1.95%), 08 Jun 2017 (0.05%), 22 Jun 2017 (-2.45%), 27 Jun 2017 (-2.8%), 30 Jun 2017 (8.67%), 21 Aug 2017 (4.11%)
2016613 Jan 2016 (-3.66%), 18 Jan 2016 (-3.67%), 20 Jan 2016 (1.31%), 11 Feb 2016 (-3.62%), 12 Feb 2016 (-1.48%), 29 Feb 2016 (-2.33%)
20151414 Jan 2015 (3.16%), 13 Feb 2015 (-3.15%), 24 Feb 2015 (3.2%), 26 Mar 2015 (-2.89%), 27 Mar 2015 (9.3%), 29 Jun 2015 (-0.99%), 07 Jul 2015 (-2.11%), 08 Jul 2015 (1.3%), 28 Sep 2015 (-1.73%), 26 Oct 2015 (-2.74%), 28 Oct 2015 (-1.48%), 10 Nov 2015 (-2.02%), 13 Nov 2015 (-3.17%), 16 Nov 2015 (6.89%)
2014427 Jan 2014 (1.07%), 04 Feb 2014 (0.07%), 12 Dec 2014 (-2.95%), 15 Dec 2014 (9.26%)
2013622 Mar 2013 (11.3%), 30 Jul 2013 (-3.63%), 01 Aug 2013 (-4.44%), 02 Aug 2013 (-4.57%), 06 Aug 2013 (7.09%), 28 Aug 2013 (7.01%)
20121105 Jan 2012 (1.36%), 16 Mar 2012 (1.98%), 10 Apr 2012 (-3.44%), 25 Apr 2012 (-0.59%), 07 May 2012 (0.5%), 16 May 2012 (8.82%), 05 Nov 2012 (-1.95%), 15 Nov 2012 (-2.11%), 22 Nov 2012 (6.62%), 05 Dec 2012 (-1.82%), 12 Dec 2012 (6.38%)
20111207 Jan 2011 (8.24%), 12 Jan 2011 (-2.66%), 20 Jan 2011 (-3.09%), 22 Feb 2011 (0.99%), 24 May 2011 (0.9%), 26 Jul 2011 (1.25%), 18 Oct 2011 (0.0%), 17 Nov 2011 (-2.57%), 18 Nov 2011 (-2.65%), 22 Nov 2011 (-2.67%), 23 Nov 2011 (-2.83%), 29 Nov 2011 (0.56%)



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