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

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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 ADX is Trending" 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
1-12591.8694544.441847.93350.27-3996.69-8520.350.460.37-0.071-1399.1
2-2668.7894544.444289.098574.59-3965.03-8328.281.080.87-0.012-296.53
3-10516.0695455.563573.9511668.51-7096.45-13179.70.50.63-0.035-1168.45
4-4174.7596366.674262.786286.47-9917.15-12977.560.430.86-0.014-463.86
59290.3296366.674491.366014.19-5885.95-8258.30.761.530.0421032.26
622974.9896366.676766.6710784.53-5875.01-6185.571.152.30.0822552.78
718076.996366.676754.5710389.61-7483.51-10349.710.91.810.0582008.54
825308.0495455.569931.9614379.82-6087.94-13543.561.632.040.0662812
922156.7395455.5611285.0420419.89-8567.12-12853.151.321.650.0482461.86
1019242.395455.5611207.4329171.27-9198.72-12146.081.221.520.0352138.03
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ONGC Performance, X=6, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Sep 2019 (1.45%)
2017113 Sep 2017 (-3.01%)
2016129 Jan 2016 (5.39%)
2015106 Oct 2015 (-3.09%)
2012105 Dec 2012 (3.01%)
2011111 Nov 2011 (5.1%)
2010130 Mar 2010 (3.25%)
2006116 Oct 2006 (2.1%)
2000125 May 2000 (-2.71%)

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
50trail33.6427750.74116554.556822.6110149.07-2636.98-3270.412.593.10.0952522.79
50trail-14.9120082.92116554.555544.6413371.37-2636.98-3270.412.12.520.0721825.72
50trail2319552.71116554.555456.277432.2-2636.98-3270.412.072.480.0831777.52
50nil2315688.57115645.456486.097432.2-2790.31-3556.942.321.940.0631426.23
50nil34.6417039.39114736.369374.3410149.07-2922.57-3716.13.211.830.0531549.04
atrtrail24.55102.711046408615.2312548.97-4893.04-10876.711.761.170.013510.27
atrnil25.2-1347.5510464010286.4212548.97-7082.2-10876.711.450.97-0.0031-134.76
atrtrail35-10259.351046404774.727722.63-4893.04-10876.710.980.65-0.037-1025.93
atrtrail-15-10259.351046404774.727722.63-4893.04-10876.710.980.65-0.037-1025.93
atrnil37.9-21402.6710282015623.7718823.45-6581.28-10876.712.370.59-0.048-2140.27

In the table above, row 1 shows the best exit criterion. Profit factor is 3.1. Strategy is very good and impressively bearish. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 1.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.095, 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.
ONGC Performance, Profit Factor:3.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Sep 2019 (-1.57%), 27 Sep 2019 (-1.04%), 04 Oct 2019 (4.32%)
2017113 Sep 2017 (-1.64%)
2016129 Jan 2016 (4.46%)
2015106 Oct 2015 (-1.04%)
2012105 Dec 2012 (1.57%)
2011111 Nov 2011 (5.07%)
2010130 Mar 2010 (4.89%)
2006116 Oct 2006 (0.15%)
2000125 May 2000 (-1.31%)



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