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

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In this study, we evaluate the performance of strategy "Sell ONGC when near 200 SMA and below 200 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
128182.771811761.114455.999227.32-2976.16-5194.11.52.350.0751565.71
217890.221899503935.547497.81-1947.74-6243.782.022.020.057993.9
328221.421812666.674244.98524.22-3786.23-5877.371.122.240.0751567.86
416505.251899505882.6813697.65-4048.76-9148.631.451.450.031916.96
521260.221881044.447339.5221966.41-3745.59-10468.431.961.570.0341181.12
633774.951810855.567416.5828094.06-5048.85-14907.761.471.840.0431876.39
723814.341881044.4410706.7722342.67-6183.99-17729.911.731.390.0271323.02
856062.211811761.119830.424922.73-7438.89-17729.911.322.080.0573114.57
934297.021710758.829612.6324940.65-8832.75-12889.831.091.550.0372017.47
1055120.111710758.8210196.2622674.13-6691.79-13504.561.522.180.0673242.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.35. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.11%, which is good. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, 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=1, Profit Factor:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Nov 2019 (0.71%)
2018321 Mar 2018 (-1.91%), 06 Apr 2018 (-0.82%), 30 Aug 2018 (-1.47%)
2017119 Apr 2017 (0.42%)
2012130 Oct 2012 (1.65%)
2011101 Nov 2011 (-0.4%)
2010102 Feb 2010 (-2.6%)
2008428 Jan 2008 (-1.96%), 19 Feb 2008 (0.75%), 12 Mar 2008 (2.68%), 20 Aug 2008 (2.45%)
2007102 Mar 2007 (3.24%)
2006131 May 2006 (4.61%)
2004119 May 2004 (3.46%)
2003102 Apr 2003 (-1.27%)
2000206 Dec 2000 (0.93%), 22 Dec 2000 (3.6%)

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-1128182.771811761.114455.999227.32-2976.16-5194.11.52.350.0751565.71
200trail32.06-567.243292328.127709.3911185.28-3041.38-3994.812.530.99-0.00071-17.73
200nil21.52-4849.6531102132.266286.857817.71-3224.67-3994.811.950.93-0.0071-156.44
200trail21.47-4929.6832102231.256286.857817.71-3081.73-3994.812.040.93-0.0071-154.05
atrnil211.05-12964.88206143015246.6730325.84-7460.35-16579.292.040.88-0.011-648.24
200nil32.29-13354.413172422.589192.6411185.28-3237.62-3994.812.840.83-0.017-430.79
200trail-12.7-22774.393082226.675399.5617402.89-2998.68-3994.811.80.65-0.033-759.15
atrtrail24.26-37653.182351821.748355.1211866.06-4412.71-10281.421.890.53-0.055-1637.09
atrtrail34.55-48206.162241818.187805.6614174.55-4412.71-10281.421.770.39-0.078-2191.19
atrtrail-14.59-52071.22241818.186839.410725.04-4412.71-10281.421.550.34-0.091-2366.87
atrnil316.22-92180.571821611.1116826.0419477.52-7864.54-16579.292.140.27-0.12-5121.14

In the table above, row 1 shows the best exit criterion. Profit factor is 2.35. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.11%, which is good. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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