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

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In this study, we evaluate the performance of strategy "Sell ONGC when near 200 SMA and below 200 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
1539127161159.263811.7812126.25-5054.31-32970.550.751.10.0054199.67
2-8116.0627131448.155624.3116995.87-5802.29-44899.470.970.9-0.0059-300.59
3-7555.6427141351.855970.0329765.73-7010.46-44592.020.850.92-0.0051-279.84
4-28066.5927111640.749034.3839779.51-7965.3-64477.651.130.78-0.014-1039.5
5-33493.0827111640.748889.4539825.45-8204.81-57283.41.080.74-0.017-1240.48
6-41058.4527101737.049667.5251033.53-8101.98-55955.241.190.7-0.019-1520.68
7-12302.992781929.6315115.5261460.73-7011.96-49621.842.160.91-0.0055-455.67
812415.2127111640.7414786.6671152.96-9389.88-71917.851.571.080.0044459.82
9-1279.9927131448.1512852.8671704.18-12026.23-77771.631.070.99-0.00043-47.41
1025218.3327151255.5612843.863206.25-13953.22-87585.320.921.150.0083934.01
Although, strategy looks good but profit factor on day 6 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
200trail-13.5-18106.28501238247248.7431048.41-2765.56-3994.812.620.83-0.012-362.13
200trail22.26-29271.33501337265666.637856.25-2782.1-3994.812.040.72-0.031-585.43
200nil22.45-29408.3947123525.536128.947856.25-2941.59-3994.812.080.71-0.032-625.71
200trail32.7-33170501238245993.4311784.37-2765.56-3994.812.170.68-0.033-663.4
atrnil210.32-60619.13172422.5815408.0230325.84-7019.8-16579.292.190.64-0.039-1955.45
atrtrail24.86-48355.1837102727.038091.5419651.39-4787.8-12125.191.690.63-0.039-1306.9
200nil33.11-42753.494683817.398804.1411784.37-2978.59-3994.812.960.62-0.042-929.42
atrtrail35.19-52952.9437102727.037631.7618668.37-4787.8-12125.191.590.59-0.043-1431.16
atrtrail-15.41-65731.0337102727.036353.9513173.44-4787.8-12125.191.330.49-0.061-1776.51
atrnil312.71-1066463152616.1317363.6719477.52-7440.92-16579.292.330.45-0.072-3440.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 24%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, Profit Factor:0.828

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018321 Mar 2018 (-1.72%), 04 Apr 2018 (-1.96%), 06 Apr 2018 (-1.13%)
2017319 Apr 2017 (-1.29%), 20 Apr 2017 (-1.81%), 26 Apr 2017 (-1.39%)
2016219 Jul 2016 (-1.57%), 28 Jul 2016 (-1.25%)
2013116 Jul 2013 (-1.45%)
2012722 Mar 2012 (1.15%), 30 Mar 2012 (-1.8%), 09 Apr 2012 (1.56%), 17 Apr 2012 (-1.53%), 23 Apr 2012 (0.09%), 02 May 2012 (2.32%), 30 Oct 2012 (5.1%)
2010427 Jan 2010 (-1.06%), 28 Jan 2010 (-1.59%), 02 Feb 2010 (-1.79%), 08 Feb 2010 (-1.08%)
2009115 May 2009 (-1.57%)
2008628 Jan 2008 (-1.91%), 19 Feb 2008 (-0.27%), 25 Feb 2008 (-1.43%), 29 Feb 2008 (0.9%), 12 Mar 2008 (0.96%), 12 Sep 2008 (-1.34%)
2007402 Mar 2007 (1.56%), 06 Aug 2007 (-1.2%), 07 Aug 2007 (-1.43%), 09 Aug 2007 (4.1%)
2006331 May 2006 (-1.23%), 15 Sep 2006 (-1.42%), 28 Sep 2006 (1.53%)
2004419 May 2004 (-2.0%), 21 May 2004 (-1.96%), 24 May 2004 (-1.52%), 26 May 2004 (8.7%)
2003520 Mar 2003 (-1.47%), 22 Mar 2003 (-1.41%), 27 Mar 2003 (-1.34%), 04 Apr 2003 (-1.18%), 10 Apr 2003 (-0.17%)
2001102 Apr 2001 (-1.09%)
1997309 Dec 1997 (-1.15%), 17 Dec 1997 (-1.52%), 18 Dec 1997 (15.52%)
1996330 Jul 1996 (-1.0%), 01 Aug 1996 (-1.38%), 24 Sep 1996 (-1.15%)



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