Study: Sell ONGC when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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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 and RSI is below 50" 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
1-18666.0231141745.162560.938474.27-3207-13875.720.80.66-0.029-602.13
2-24610.5831141745.164140.99295.87-4857.83-12004.80.850.7-0.03-793.89
3-22268.5431151648.394919.7314915.02-6004.03-17448.410.820.77-0.021-718.34
4-42653.4931121938.715016.6516649.32-5413.33-14855.940.930.59-0.043-1375.92
5-89044.5731112035.485595.3912695.11-7529.69-17241.90.740.41-0.076-2872.41
6-12631231112035.485600.7810201.39-9396.03-26466.580.60.33-0.094-4074.58
7-13564531112035.486260.8912136.09-10225.72-26590.640.610.34-0.086-4375.63
8-16880631121938.716512.4614379.82-12997.65-38355.340.50.32-0.089-5445.35
9-1885333192229.037263.5912293.14-11541.14-33853.540.630.26-0.1-6081.7
10-1764683182325.819061.1514900.28-10824.25-29643.530.840.29-0.1-5692.53
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
50nil32.67-40874.064373616.288732.6111880.17-2833.4-3870.133.080.6-0.045-950.56
50trail31.98-47993.524683817.396382.1810149.07-2606.61-3530.22.450.52-0.057-1043.34
50nil22.18-54207.154483618.185953.477920.12-2828.75-3870.132.10.47-0.073-1231.98
50trail-12.61-55267.164683817.395472.9811943.11-2606.61-3530.22.10.44-0.07-1201.46
50trail21.91-54483.164693719.574590.116766.05-2589.03-3530.21.770.43-0.08-1184.42
atrnil25.86-109652357282010941.5912744.58-6651.54-12348.721.640.41-0.087-3132.91
atrtrail34.82-95748.923883021.056854.6417299.92-5019.54-12348.721.370.36-0.083-2519.71
atrtrail24.5-98550.213883021.056504.4812156.95-5019.54-12348.721.30.35-0.09-2593.43
atrtrail-14.92-1029863883021.055949.9614921.88-5019.54-12348.721.190.32-0.098-2710.17
atrnil38.5-156451343318.8216123.7217299.92-6607.16-12348.722.440.24-0.14-4601.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. 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:0.599

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Feb 2019 (4.08%), 04 Oct 2019 (4.32%)
2017108 Aug 2017 (-1.72%)
20161001 Apr 2016 (-1.83%), 18 Apr 2016 (-1.56%), 06 May 2016 (-1.73%), 10 May 2016 (-1.94%), 19 May 2016 (-1.05%), 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%)
2015406 Feb 2015 (-1.17%), 08 May 2015 (-1.0%), 20 May 2015 (-1.09%), 25 Jun 2015 (5.94%)
2014123 Jan 2014 (3.14%)
2013219 Nov 2013 (-1.77%), 13 Dec 2013 (-1.86%)
2012111 Jan 2012 (-1.7%)
2011620 Jul 2011 (-1.21%), 01 Aug 2011 (-1.38%), 04 Aug 2011 (-1.63%), 16 Aug 2011 (-1.52%), 29 Aug 2011 (4.76%), 11 Nov 2011 (5.07%)
2009318 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%)
2006313 Sep 2006 (-1.34%), 25 Sep 2006 (-1.62%), 28 Sep 2006 (3.25%)
2004109 Sep 2004 (-1.46%)
2000123 Nov 2000 (-1.21%)
1999122 Jun 1999 (-1.59%)
1998231 Aug 1998 (-1.27%), 18 Dec 1998 (-1.67%)



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