Study: Buy ONGC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ONGC when below 200 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
13213.793494452.693801.1716019.74-4160.08-15986.20.911.020.001334.56
227556.8292494353.265065.9125098.68-5131.92-28911.560.991.120.0084299.53
3-45523.5192405243.485657.8821893.35-5227.67-29765.731.080.83-0.013-494.82
4-68504.8592434946.746803.3331430.58-7368.33-39779.510.920.81-0.015-744.62
5-14087692375540.228219.4826297.74-8090.85-39825.451.020.68-0.028-1531.26
6-10774592385441.39661.5133713.42-8794.11-51033.531.10.77-0.019-1171.14
7-80777.4492395342.3910563.2734766.27-9297.07-61460.731.140.84-0.013-878.02
8-10354192434946.749591.6732229.27-10530.26-71152.960.910.8-0.016-1125.45
9-11740592454748.919107.1530793.99-11217.58-71704.180.810.78-0.019-1276.14
10-17843392395342.3911246.6444817.63-11642.49-63206.250.970.71-0.025-1939.49
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
atrnil310.691460291564311327.5625242.6166367.6-8313.3-19302.543.041.160.012936.08
atrnil25.4496351.021685811034.5217145.0544245.07-8164.2-19302.542.11.110.009573.52
atrtrail23.73-70504.761876212533.1611645.6744245.07-6340.29-19302.541.840.91-0.0075-377.03
atrtrail34.39-1221321876112632.6211026.3241070.84-6307.44-19302.541.750.85-0.013-653.11
atrtrail-14.73-2160481876012732.099745.7341070.84-6305.45-19302.541.550.73-0.024-1155.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 27.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019814 Feb 2019 (9.85%), 08 Jul 2019 (-3.61%), 18 Jul 2019 (-3.57%), 01 Aug 2019 (-3.32%), 05 Aug 2019 (-3.42%), 13 Aug 2019 (-3.54%), 21 Aug 2019 (-3.49%), 22 Aug 2019 (11.04%)
2018820 Mar 2018 (7.52%), 23 May 2018 (-3.01%), 24 May 2018 (-3.82%), 21 Jun 2018 (-2.95%), 28 Jun 2018 (8.94%), 05 Oct 2018 (-5.15%), 29 Nov 2018 (-3.69%), 10 Dec 2018 (-3.7%)
2017719 Apr 2017 (4.86%), 22 May 2017 (-2.13%), 24 May 2017 (-2.17%), 08 Jun 2017 (-2.24%), 19 Jun 2017 (-2.03%), 22 Jun 2017 (-2.28%), 21 Aug 2017 (6.93%)
2016318 Jan 2016 (-3.29%), 21 Jan 2016 (-3.54%), 12 Feb 2016 (12.84%)
20151518 Feb 2015 (-3.0%), 24 Feb 2015 (-3.1%), 26 Mar 2015 (7.49%), 30 Apr 2015 (8.6%), 04 Jun 2015 (-3.43%), 13 Jul 2015 (-2.48%), 21 Jul 2015 (-2.39%), 27 Jul 2015 (-2.56%), 28 Jul 2015 (-2.63%), 18 Aug 2015 (-2.87%), 24 Aug 2015 (-3.88%), 10 Nov 2015 (-3.24%), 13 Nov 2015 (-3.26%), 04 Dec 2015 (-2.78%), 08 Dec 2015 (9.07%)
2014403 Feb 2014 (8.19%), 01 Dec 2014 (-2.99%), 09 Dec 2014 (-3.24%), 12 Dec 2014 (10.62%)
2013610 Jul 2013 (-3.68%), 30 Jul 2013 (-4.02%), 01 Aug 2013 (-4.7%), 19 Aug 2013 (-5.1%), 28 Aug 2013 (18.42%), 11 Nov 2013 (8.87%)
2012723 Mar 2012 (-3.19%), 28 Mar 2012 (-3.36%), 14 May 2012 (-2.62%), 17 May 2012 (7.96%), 31 Oct 2012 (-2.43%), 09 Nov 2012 (-2.26%), 22 Nov 2012 (6.17%)
20111406 Jan 2011 (-2.19%), 07 Jan 2011 (-2.27%), 10 Jan 2011 (-2.42%), 20 Jan 2011 (8.43%), 09 Feb 2011 (-3.73%), 24 Feb 2011 (11.06%), 17 May 2011 (-3.9%), 23 May 2011 (-4.09%), 20 Jun 2011 (-3.11%), 29 Jul 2011 (7.66%), 30 Aug 2011 (-3.5%), 14 Nov 2011 (-3.12%), 21 Nov 2011 (-3.51%), 23 Nov 2011 (10.76%)
2010429 Jan 2010 (-2.92%), 15 Mar 2010 (-2.31%), 13 Apr 2010 (-2.19%), 19 Apr 2010 (6.81%)
2008922 Jan 2008 (-7.89%), 27 May 2008 (-3.68%), 29 May 2008 (11.82%), 30 Jun 2008 (17.38%), 10 Oct 2008 (-6.08%), 15 Oct 2008 (-6.7%), 16 Oct 2008 (-7.0%), 24 Oct 2008 (-9.65%), 27 Oct 2008 (33.18%)
2007528 Feb 2007 (-4.21%), 06 Aug 2007 (-2.97%), 10 Aug 2007 (-3.27%), 16 Aug 2007 (-3.46%), 17 Aug 2007 (11.91%)
2006531 May 2006 (-7.58%), 06 Jun 2006 (-8.22%), 08 Jun 2006 (25.64%), 12 Sep 2006 (9.61%), 13 Dec 2006 (9.2%)
2004117 May 2004 (23.05%)
2001802 Apr 2001 (18.19%), 07 Sep 2001 (10.31%), 14 Sep 2001 (-5.11%), 17 Sep 2001 (17.09%), 18 Dec 2001 (-2.56%), 20 Dec 2001 (-2.61%), 24 Dec 2001 (-2.71%), 28 Dec 2001 (7.97%)
20001518 Jan 2000 (15.15%), 15 Feb 2000 (-5.84%), 25 Feb 2000 (-5.86%), 03 Mar 2000 (-7.19%), 10 Mar 2000 (-7.61%), 03 Apr 2000 (-6.84%), 06 Apr 2000 (-7.17%), 18 Apr 2000 (-7.99%), 19 Apr 2000 (27.59%), 24 Jul 2000 (-4.13%), 01 Aug 2000 (-4.36%), 07 Aug 2000 (-4.64%), 14 Aug 2000 (-4.71%), 06 Oct 2000 (-3.68%), 10 Oct 2000 (11.26%)
1999914 Jan 1999 (-3.7%), 15 Jan 1999 (-4.36%), 28 Jan 1999 (-4.96%), 02 Feb 1999 (-5.42%), 09 Feb 1999 (-5.72%), 09 Mar 1999 (-5.45%), 15 Mar 1999 (17.82%), 12 Apr 1999 (-5.58%), 15 Apr 1999 (17.43%)
19981506 Jan 1998 (-3.34%), 09 Jan 1998 (-3.4%), 12 Jan 1998 (-4.11%), 29 Jan 1998 (-3.82%), 30 Jan 1998 (12.47%), 14 May 1998 (-4.6%), 02 Jun 1998 (-4.57%), 05 Jun 1998 (-5.0%), 08 Jun 1998 (-5.88%), 11 Jun 1998 (-5.63%), 16 Jun 1998 (-5.92%), 23 Jun 1998 (-6.4%), 04 Aug 1998 (12.03%), 30 Sep 1998 (-4.3%), 05 Oct 1998 (14.39%)
1997212 Dec 1997 (-2.84%), 23 Dec 1997 (-2.8%)
19961127 Aug 1996 (11.92%), 24 Sep 1996 (-3.44%), 26 Sep 1996 (-4.28%), 27 Sep 1996 (-4.81%), 30 Sep 1996 (-5.19%), 03 Oct 1996 (-5.35%), 04 Oct 1996 (-5.88%), 07 Oct 1996 (-6.41%), 27 Nov 1996 (-4.59%), 28 Nov 1996 (-4.79%), 04 Dec 1996 (15.23%)



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