Study: Sell ONGC 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 ONGC 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 ONGC 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
1-47970.557253243.862602.5314771.91-3532.31-15855.260.740.58-0.037-841.59
2-66353.7657263145.613375.179295.87-4971.23-25460.530.680.57-0.041-1164.1
3-97992.6957282949.123838.1814915.02-7084.89-43552.630.540.52-0.041-1719.17
4-14797357253243.864078.316649.32-7810.34-63092.110.520.41-0.052-2596.03
5-18273057213636.845457.0413656.51-8259.09-84144.740.660.39-0.051-3205.78
6-23193357223538.65506.0612941.51-10087.61-1069080.550.34-0.053-4069
7-23990957243342.115203.5312136.09-11054.35-84934.210.470.34-0.062-4208.93
8-27320857223538.65522.8414379.82-11277.43-90789.470.490.31-0.064-4793.12
9-32113557193833.336087.2520419.89-11494.53-75657.890.530.26-0.083-5633.94
10-31850157213636.846454.1229171.27-12612.15-65460.530.510.3-0.084-5587.73

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.58. This strategy is not profitable and we advice you not to use it.

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
50trail22.18-46040.2695276828.424945.817432.2-2640.84-3979.811.870.74-0.027-484.63
50trail32.48-55767.1295237224.215728.1910633.27-2604.38-3979.812.20.7-0.03-587.02
50nil22.47-62490.3790226824.446062.927920.12-2880.51-3979.812.10.68-0.036-694.34
50trail-13.26-66497.2694227223.45428.6625220.77-2582.33-3979.812.10.64-0.033-707.42
50nil32.95-76220.287157217.248822.5711880.17-2896.65-3979.813.050.63-0.04-876.09
nilnil-11-47970.557253243.862602.5314771.91-3532.31-15855.260.740.58-0.037-841.59
atrtrail24.56-15183979255431.655498.7315733.51-5357.54-12348.721.030.48-0.064-1922.01
atrtrail-15.19-16210679255431.655088.0523626.74-5357.54-12348.720.950.44-0.068-2051.97
atrtrail34.91-16429679255431.655000.4317299.92-5357.54-12348.720.930.43-0.071-2079.7
atrnil26.25-2115706513522011039.9315733.51-6828.64-12348.721.620.4-0.089-3254.92
atrnil38.66-286180595548.4716242.718823.45-6803.59-12348.722.390.22-0.15-4850.51

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
ONGC Performance, Profit Factor:0.744

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019607 Jan 2019 (0.81%), 18 Jan 2019 (2.99%), 08 Feb 2019 (2.72%), 25 Sep 2019 (-1.57%), 27 Sep 2019 (-1.04%), 04 Oct 2019 (2.88%)
2018127 Dec 2018 (3.54%)
2017202 Aug 2017 (2.64%), 13 Sep 2017 (-1.64%)
20161329 Jan 2016 (2.98%), 17 Mar 2016 (-1.07%), 01 Apr 2016 (-0.61%), 18 Apr 2016 (-1.56%), 06 May 2016 (-1.73%), 10 May 2016 (0.46%), 19 May 2016 (-1.05%), 25 May 2016 (-1.32%), 31 May 2016 (-1.29%), 06 Jun 2016 (-1.23%), 17 Jun 2016 (-1.43%), 28 Jun 2016 (-1.52%), 03 Aug 2016 (-1.01%)
20151128 Jan 2015 (-1.44%), 06 Feb 2015 (-1.17%), 20 Apr 2015 (-1.29%), 21 Apr 2015 (2.89%), 24 Apr 2015 (3.5%), 08 May 2015 (-1.0%), 20 May 2015 (-1.09%), 18 Jun 2015 (-1.85%), 25 Jun 2015 (-0.31%), 01 Jul 2015 (2.66%), 06 Oct 2015 (-1.04%)
2014223 Jan 2014 (2.09%), 19 Feb 2014 (-0.8%)
2013713 Sep 2013 (-1.32%), 25 Sep 2013 (2.52%), 18 Nov 2013 (-1.01%), 19 Nov 2013 (-1.77%), 22 Nov 2013 (-1.27%), 13 Dec 2013 (-0.86%), 18 Dec 2013 (3.33%)
2012603 Jan 2012 (-1.13%), 05 Jan 2012 (0.7%), 10 Jan 2012 (-0.9%), 08 Jun 2012 (-1.51%), 05 Dec 2012 (3.72%), 19 Dec 2012 (2.87%)
20111108 Jul 2011 (-1.86%), 20 Jul 2011 (-1.21%), 01 Aug 2011 (-1.38%), 04 Aug 2011 (-1.63%), 16 Aug 2011 (-1.52%), 29 Aug 2011 (3.18%), 29 Sep 2011 (-0.76%), 11 Oct 2011 (-1.49%), 14 Oct 2011 (-1.45%), 11 Nov 2011 (3.38%), 22 Dec 2011 (2.16%)
2010230 Mar 2010 (3.26%), 18 May 2010 (2.91%)
2009504 Feb 2009 (-1.66%), 05 Feb 2009 (-1.99%), 18 Feb 2009 (-1.36%), 20 Feb 2009 (-1.15%), 09 Mar 2009 (-1.59%)
2008501 Apr 2008 (-1.21%), 04 Apr 2008 (-1.01%), 10 Apr 2008 (-1.4%), 11 Apr 2008 (-1.39%), 18 Sep 2008 (-1.12%)
2006413 Sep 2006 (-1.34%), 25 Sep 2006 (-1.62%), 28 Sep 2006 (2.16%), 16 Oct 2006 (0.15%)
2004307 Jul 2004 (-1.01%), 16 Jul 2004 (-1.89%), 09 Sep 2004 (-1.46%)
2002114 Jan 2002 (-1.11%)
2001124 Oct 2001 (-1.29%)
2000625 May 2000 (-1.31%), 02 Nov 2000 (-1.38%), 03 Nov 2000 (-1.18%), 06 Nov 2000 (-1.31%), 10 Nov 2000 (0.13%), 23 Nov 2000 (-1.21%)
1999222 Jun 1999 (-1.59%), 09 Jul 1999 (-1.67%)
1998617 Aug 1998 (3.28%), 31 Aug 1998 (-1.27%), 26 Oct 1998 (2.85%), 05 Nov 1998 (-1.76%), 18 Dec 1998 (-1.36%), 24 Dec 1998 (-1.32%)
1996123 Dec 1996 (-1.74%)



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