Study: Buy OIL when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy OIL when 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
11969.3696366.671481.253550.41-2306.06-5241.70.641.280.028218.82
2-489.7994544.444436.358126.07-3647.03-8837.791.220.97-0.0035-54.42
314275.1597277.784667.139132.33-9197.38-10716.370.511.780.081586.13
411410.2797277.783770.7910480.35-7492.64-12713.870.51.760.0681267.81
515430.2996366.674169.4311695.46-3195.43-5675.341.32.610.111714.48
615629.4896366.673697.089436.11-2184.33-2972.221.693.390.141736.61
79311.5997277.782791.55999.64-5114.47-8190.490.551.910.0841034.62
8-63494544.443386.034508.71-2835.63-5792.451.190.96-0.0066-70.44
9-2808.3294544.443903.247923.5-3684.26-8372.011.060.85-0.021-312.04
10-11241.5993633.334260.47277.69-4003.8-12558.021.060.53-0.075-1249.07
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
OIL Performance, X=6, Profit Factor:3.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018130 Jan 2018 (-0.95%)
2017120 Apr 2017 (0.83%)
2016104 Nov 2016 (0.57%)
2014201 Oct 2014 (-1.49%), 01 Dec 2014 (0.37%)
2013319 Mar 2013 (-0.84%), 11 Jun 2013 (3.56%), 11 Jul 2013 (4.72%)
2010114 Oct 2010 (1.05%)

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
atrtrail22.76-180.221771041.187219.6913996.81-5071.81-6758.81.421-0.00047-10.6
atrtrail34.18-6601.021771041.186302.4418529.52-5071.81-6758.81.240.87-0.018-388.3
atrtrail-14.35-7131.941771041.186226.5917998.6-5071.81-6758.81.230.86-0.019-419.53
atrnil24.43-28244.011431121.4312884.4913996.81-6081.59-8445.822.120.58-0.081-2017.43
atrnil36.93-33524.581421214.2919762.3720995.22-6087.44-8445.823.250.54-0.083-2394.61

In the table above, row 1 shows the best exit criterion. Profit factor is 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0053%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OIL Performance, Profit Factor:0.996

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018330 Jan 2018 (-2.66%), 02 Feb 2018 (-2.91%), 05 Feb 2018 (6.15%)
2017220 Apr 2017 (-0.63%), 27 Apr 2017 (3.19%)
2016104 Nov 2016 (-0.33%)
2014501 Oct 2014 (0.64%), 14 Oct 2014 (-2.89%), 16 Oct 2014 (6.18%), 01 Dec 2014 (0.04%), 11 Dec 2014 (-2.71%)
2013519 Mar 2013 (-3.32%), 20 Mar 2013 (-3.38%), 11 Jun 2013 (-3.19%), 13 Jun 2013 (7.0%), 11 Jul 2013 (2.08%)
2010114 Oct 2010 (-3.34%)



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