Study: Sell PVR when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell PVR when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell PVR 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
170265.2238271171.053465.747653.53-2119.06-5878.421.644.010.151849.08
245714.8938251365.794693.8714237.61-5510.13-16036.290.851.640.0531203.02
3-20880.6738221657.895189.4213545.34-8440.49-32553.960.610.85-0.016-549.49
4-12556.8338221657.896754.8323669.82-10072.69-32422.960.670.92-0.0083-330.44
5-34413.838201852.638114.3729100.53-10927.84-49460.430.740.83-0.018-905.63
6-26804.9138221657.898146.6526887.93-12876.96-41726.620.630.87-0.014-705.39
7-50179.243819195010823.1843578.64-13464.19-53866.910.80.8-0.022-1320.51
8-33749.9738182047.3711731.3435834.54-12245.7-41187.050.960.86-0.016-888.16
916197.6838201852.6311374.7131361.23-11738.69-39667.720.971.080.0078426.25
1022158.5838201852.6310790.4227946.13-10758.32-52253.1811.110.011583.12

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.01. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.05%, which is good. Average return per trade is 0.92%, which is not very high, 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.
PVR Performance, X=1, Profit Factor:4.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Jul 2019 (3.69%), 18 Sep 2019 (1.44%)
2018903 Jan 2018 (0.2%), 22 Feb 2018 (1.04%), 23 May 2018 (0.1%), 22 Jun 2018 (-0.1%), 20 Aug 2018 (1.92%), 04 Sep 2018 (1.09%), 19 Sep 2018 (-0.43%), 12 Oct 2018 (1.05%), 29 Oct 2018 (-1.73%)
2017627 Jul 2017 (-0.73%), 10 Aug 2017 (3.5%), 11 Sep 2017 (-0.15%), 16 Oct 2017 (-1.13%), 01 Nov 2017 (1.0%), 15 Nov 2017 (-0.32%)
2016125 Jan 2016 (2.6%)
2015328 Feb 2015 (-0.88%), 20 Mar 2015 (-2.52%), 08 Jul 2015 (-0.74%)
2014226 Mar 2014 (0.2%), 29 Apr 2014 (1.61%)
2011105 Oct 2011 (2.32%)
2010127 Jul 2010 (-2.94%)
2009327 May 2009 (0.31%), 19 Jun 2009 (2.23%), 07 Jul 2009 (2.88%)
2008311 Mar 2008 (2.31%), 20 Aug 2008 (3.28%), 08 Sep 2008 (2.12%)
2007617 May 2007 (0.75%), 11 Jun 2007 (1.77%), 04 Jul 2007 (3.83%), 03 Aug 2007 (2.27%), 12 Sep 2007 (0.67%), 28 Sep 2007 (2.47%)
2006131 Oct 2006 (0.12%)

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-1170265.2238271171.053465.747653.53-2119.06-5878.421.644.010.151849.08
atrtrail24.6332269.0146163034.7813623.7239338.8-6190.35-17263.562.21.170.018701.5
atrtrail35.1321124.9246163034.7812927.2232441.47-6190.35-17263.562.091.110.012459.24
200nil21.69-18126.2462184429.036048.337641.05-2886.28-3985.332.10.86-0.02-292.36
atrnil311.45-43872.893883021.0527493.6159008.2-8794.06-18328.663.130.83-0.02-1154.55
atrtrail-15.54-32556.7846163034.789572.1123908.21-6190.35-17263.561.550.82-0.022-707.76
200nil32.08-28181.6601248209229.811461.58-2894.57-3985.333.190.8-0.026-469.69
atrnil26.62-58927.3740112927.518029.1639338.8-8870.63-18328.662.030.77-0.031-1473.18
200trail21.56-32714.1862164625.815913.47641.05-2768.01-3985.332.140.74-0.038-527.65
200trail31.84-44089.7161105116.398937.4211461.58-2616.94-3985.333.420.67-0.045-722.78
200trail-12.36-56480.196195214.758780.9219556.29-2605.93-3985.333.370.58-0.054-925.9

In the table above, row 1 shows the best exit criterion. Profit factor is 4.01. Strategy is very good and impressively bearish. Percentage of profitable trades is 71.05%, which is good. Average return per trade is 0.92%, which is not very high, 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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