Study: Sell ONGC when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ONGC when below 200 SMA and RSI is overbought" 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
1-22281.8873442.865300.398461.13-9545.76-15106.160.560.42-0.078-3183.13
2-24322.6974357.144575.667680.68-14208.44-20777.430.320.43-0.072-3474.67
3-9327.9874357.145925.588490.34-11010.09-17612.660.540.72-0.03-1332.57
4-18259.6573442.868196.6611207.45-10712.41-24286.210.770.57-0.048-2608.52
5-12632.8175271.434490.419879.52-17542.43-29446.160.260.64-0.031-1804.69
6-13710.3976185.714858.618342.36-42862.06-42862.060.110.68-0.024-1958.63
7-15300.5775271.436722.748743.49-24457.13-46370.830.270.69-0.024-2185.8
8-30842.275271.437803.2316684.72-34929.18-504300.220.56-0.042-4406.03
9-30510.5475271.436597.4811084.34-31748.97-40178.880.210.52-0.049-4358.65
10-15972.2275271.437448.4814072.29-26607.32-27965.250.280.7-0.029-2281.75
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
atrtrail22.36-8317.6113827.2713882.2117519.29-6245.53-9725.632.220.83-0.016-756.15
atrnil23.36-26061.12113827.2713882.2117519.29-8463.47-10386.551.640.62-0.048-2369.19
atrnil35.45-33066.59112918.1820799.1826278.94-8296.11-10386.552.510.56-0.054-3006.05
atrtrail33-24741.93113827.278407.4410484.05-6245.53-9725.631.350.5-0.064-2249.27
atrtrail-13-24741.93113827.278407.4410484.05-6245.53-9725.631.350.5-0.064-2249.27

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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.38%, 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:0.834

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011127 Apr 2011 (-2.64%)
2009123 Mar 2009 (-0.35%)
2008124 Jul 2008 (-0.97%)
2000222 Jun 2000 (-4.42%), 23 Jun 2000 (8.76%)
1999307 May 1999 (-4.69%), 10 May 1999 (-4.86%), 11 May 1999 (-3.58%)
1998129 Dec 1998 (5.11%)
1997209 Jan 1997 (-3.47%), 10 Jan 1997 (6.96%)



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