Study: Buy ONGC when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 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: 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
123825.51610662.53935.0814278.86-2587.54-5399.681.522.530.0681489.09
226610.38169756.255661.7422377.53-3477.89-7524.651.632.090.0521663.15
338731.091688506866.5111798.56-2025.12-4523.533.393.390.0962420.69
431272.221688506262.8610665.83-2353.84-4151.532.662.660.081954.51
59649.511688504880.8213122.46-3674.63-7410.111.331.330.024603.09
6-685.71167943.754937.4715781.15-3916.44-10346.011.260.98-0.0014-42.86
74580.821661037.56460.3915028.85-3418.15-7885.121.891.130.01286.3
8-1829.341661037.56212.8713019.88-3910.66-10961.711.590.95-0.0038-114.33
9-419.36167943.756328.6812142.97-4968.9-12591.351.270.99-0.00077-26.21
10-10875.031688505538.4412142.97-6897.81-15317.160.80.8-0.02-679.69

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 3.39. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.21%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.096, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ONGC Performance, X=3, Profit Factor:3.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Feb 2018 (-1.4%)
2017104 May 2017 (-1.48%)
2013126 Feb 2013 (2.79%)
2012125 Sep 2012 (-1.04%)
2010314 Oct 2010 (-0.33%), 04 Nov 2010 (-2.26%), 07 Dec 2010 (-1.19%)
2009205 Oct 2009 (2.78%), 13 Nov 2009 (-0.36%)
2006120 Feb 2006 (4.4%)
2005309 Feb 2005 (-0.04%), 08 Jul 2005 (0.4%), 29 Jul 2005 (3.05%)
2004122 Jan 2004 (5.9%)
2002122 Jul 2002 (2.31%)
2001125 Jul 2001 (5.84%)

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
nilnil-1338731.091688506866.5111798.56-2025.12-4523.533.393.390.0962420.69
atrtrail24.86495.1920614309742.2416949.38-3711.3-7414.542.631.130.0094324.76
50trail32.431164.322351821.748751.0410512.76-2366.16-3843.553.71.030.002250.62
atrnil27.41661.54206143014848.4716949.38-6244.95-14659.862.381.020.001783.08
50trail21.88-3606.792471729.175741.437008.51-2576.28-3843.552.230.92-0.008-150.28
50nil32.48-7529.082351821.748751.0410512.76-2849.13-3843.553.070.85-0.014-327.35
50nil21.88-7938.72471729.175741.437008.51-2831.1-3843.552.030.84-0.017-330.78
50trail-13-9561.922351821.746605.7911651.38-2366.16-3843.552.790.78-0.02-415.74
atrnil310.72-30857.281831516.6721929.9723900.52-6443.15-14659.863.40.68-0.033-1714.29
atrtrail35.3-21529.8420614305071.48956.64-3711.3-7414.541.370.59-0.048-1076.49
atrtrail-15.3-21529.8420614305071.48956.64-3711.3-7414.541.370.59-0.048-1076.49

In the table above, row 1 shows the best exit criterion. Profit factor is 3.39. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.21%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.096, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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