Study: Buy ONGC when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ONGC when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
116484.3179394049.372919.2414278.86-2434.15-6057.741.21.170.012208.66
287960.6279443555.74951.6322377.53-3711.74-19014.081.331.680.0371113.43
383993.8279413851.95348.2219886.46-3560.08-16408.451.51.620.0371063.21
463880.879384148.16691.3525012.17-4643.67-14859.151.441.340.023808.62
545317.2179403950.636648.4826207.33-5656.97-18309.861.181.210.015573.64
62750979374246.846989.4422871.05-5502.38-15160.991.271.120.009348.22
717645.0379394049.377504.7431348.88-6875.99-25714.291.091.060.0049223.35
832600.2279374246.848927.9727706.08-7088.92-23005.61.261.110.0084412.66
961506.1179413851.99514.7930446.07-8647.38-29779.961.11.190.014778.56
1035101.8679413851.99972.4441897.81-9836-41657.771.011.090.0067444.33
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
atrnil26.7561761.6283315237.3513166.8723248.9-6661.76-14659.861.981.180.015744.12
50trail22.0927507.13129458434.885618.827922.34-2682.61-3898.422.091.120.011213.23
50trail-13.625057.09117308725.648060.1245212.67-2491.34-3898.423.241.120.0066214.16
atrtrail24.7729937.3694336135.119248.5719367.66-4512.55-11967.882.051.110.0087318.48
atrtrail-15.929059.6294336135.119221.9843350.57-4512.55-11967.882.041.110.0071309.14
50nil22.214662.93124428233.876065.757922.34-2928.03-3898.422.071.060.0056118.25
atrnil310.0421922.647218542521189.8534873.34-6657.31-14659.863.181.060.0049304.48
50trail32.646341.16120338727.56916.8811620.52-2550.76-3974.282.711.030.002352.84
50nil32.96-15493.2112268623.219094.4511620.52-2929.64-3956.623.10.94-0.0055-138.33
atrtrail35.34-28349.9394336135.117482.2922294.72-4512.55-11967.881.660.9-0.0089-301.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 37.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jun 2019 (-2.78%)
2018402 Feb 2018 (-3.03%), 19 Apr 2018 (-1.91%), 24 Apr 2018 (-1.91%), 08 May 2018 (4.21%)
2017417 Jan 2017 (4.81%), 06 Feb 2017 (-2.42%), 04 May 2017 (-1.89%), 01 Dec 2017 (4.87%)
2016129 Dec 2016 (4.84%)
2014309 Jul 2014 (-4.42%), 22 Sep 2014 (-3.03%), 20 Oct 2014 (-3.11%)
2013526 Feb 2013 (6.57%), 14 Mar 2013 (-3.09%), 06 May 2013 (6.6%), 05 Jun 2013 (-2.88%), 19 Jul 2013 (-3.37%)
2012612 Mar 2012 (-3.15%), 10 Aug 2012 (-2.37%), 13 Sep 2012 (4.47%), 25 Sep 2012 (-2.58%), 28 Sep 2012 (-2.54%), 08 Oct 2012 (-3.71%)
2010705 Aug 2010 (-2.47%), 17 Aug 2010 (4.76%), 14 Oct 2010 (-2.53%), 19 Oct 2010 (-2.66%), 04 Nov 2010 (-2.43%), 07 Dec 2010 (-2.94%), 13 Dec 2010 (-2.76%)
2009520 Jul 2009 (9.46%), 24 Sep 2009 (-2.97%), 25 Sep 2009 (8.31%), 13 Nov 2009 (-3.26%), 02 Dec 2009 (-2.96%)
2008126 Sep 2008 (-5.18%)
2007809 Feb 2007 (-2.66%), 13 Feb 2007 (-2.83%), 12 Apr 2007 (7.43%), 04 Jun 2007 (-3.0%), 22 Jun 2007 (-3.3%), 11 Jul 2007 (5.88%), 27 Jul 2007 (-3.03%), 29 Nov 2007 (11.29%)
2006220 Feb 2006 (7.36%), 26 Sep 2006 (-2.69%)
2005731 Jan 2005 (4.88%), 10 May 2005 (-3.13%), 24 May 2005 (5.36%), 08 Jul 2005 (6.6%), 15 Jul 2005 (-3.47%), 29 Jul 2005 (-3.23%), 11 Aug 2005 (6.29%)
2004322 Jan 2004 (-7.33%), 15 Mar 2004 (-4.88%), 30 Dec 2004 (-1.97%)
2003902 Jan 2003 (5.27%), 03 Feb 2003 (-2.91%), 19 Feb 2003 (5.46%), 11 Mar 2003 (-2.29%), 06 May 2003 (3.28%), 08 May 2003 (3.67%), 04 Aug 2003 (7.0%), 03 Nov 2003 (7.93%), 19 Nov 2003 (6.93%)
2002414 Jun 2002 (-4.94%), 22 Jul 2002 (7.97%), 22 Oct 2002 (8.0%), 06 Dec 2002 (-3.35%)
2001509 Mar 2001 (-5.98%), 23 Apr 2001 (-4.67%), 30 Apr 2001 (9.68%), 25 Jul 2001 (8.47%), 08 Aug 2001 (-4.94%)
2000201 Feb 2000 (-4.46%), 09 Feb 2000 (-4.6%)
1999127 Sep 1999 (11.62%)
1997224 Sep 1997 (-4.51%), 09 Oct 1997 (-4.14%)
1996308 Aug 1996 (4.83%), 23 Aug 1996 (-3.37%), 13 Sep 1996 (-3.17%)



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