Study: Sell PVR when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell PVR when below 200 SMA and near 50 SMA and below 50 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
1-18527.2627121544.444170.458501.31-4571.51-15875.50.910.73-0.033-686.19
2-12706.2427151255.563943.219993.23-5987.87-18107.080.660.82-0.02-470.6
3-40698.7627141351.853680.918758.08-7094.73-17872.170.520.56-0.062-1507.36
4-27537.2327141351.854529.210433.12-6995.85-18953.60.650.7-0.039-1019.9
5-26973.4627111640.747036.8716772.09-6523.69-20236.921.080.74-0.033-999.02
6-38454.8227121544.445749.412650.48-7163.18-18146.230.80.64-0.051-1424.25
7-59842.8227111640.745785.3713372.09-7717.62-17389.660.750.52-0.076-2216.4
8-12087227101737.045273.8912015.5-10212.39-30523.20.520.3-0.12-4476.73
9-77562.3627101737.047887.3318909.17-9202.1-33878.990.860.5-0.069-2872.68
10-91273.4127121544.447273.8920657.76-11904.01-36155.430.610.49-0.071-3380.5
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
atrnil37.2-62720.94306242029104.6446056.44-9889.53-17897.512.940.74-0.035-2090.7
atrtrail35.32-64132.853472720.5918135.5946056.44-7077.11-17897.512.560.66-0.04-1886.26
50trail21.5-49445.6848103820.836181.097977.55-2927.8-3633.522.110.56-0.076-1030.12
50nil21.5-50025.7548103820.836181.097977.55-2943.07-3633.522.10.55-0.077-1042.2
atrnil27-120930306242019403.130704.29-9889.53-17897.511.960.49-0.09-4031.01
atrtrail25.21-1048063472720.5912325.0930704.29-7077.11-17897.511.740.45-0.085-3082.54
atrtrail-15.76-1122143472720.5911266.8628360.93-7077.11-17897.511.590.41-0.096-3300.41
50trail-12.08-75301.234864212.57489.0419697.58-2862.75-3633.522.620.37-0.1-1568.78
50trail31.77-75929.584874114.586047.0310393.2-2884.36-3633.522.10.36-0.12-1581.87
50nil31.91-90407.84474438.519241.6210393.2-2962.19-3988.783.120.29-0.15-1923.57

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PVR Performance, Profit Factor:0.736

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Sep 2019 (-3.44%)
2018507 Feb 2018 (-4.59%), 13 Apr 2018 (-3.15%), 09 Aug 2018 (-4.06%), 27 Sep 2018 (12.22%), 19 Oct 2018 (-4.75%)
2017211 Sep 2017 (9.22%), 19 Dec 2017 (-2.8%)
2016114 Mar 2016 (-3.84%)
2015411 May 2015 (-3.68%), 03 Jun 2015 (-4.05%), 11 Jun 2015 (-4.6%), 12 Jun 2015 (-4.67%)
2014120 May 2014 (-3.73%)
2011206 Jun 2011 (-5.02%), 23 Jun 2011 (-4.81%)
2009402 Feb 2009 (-8.29%), 10 Feb 2009 (23.03%), 29 Apr 2009 (-8.2%), 23 Jun 2009 (-8.95%)
2008220 May 2008 (14.08%), 17 Jul 2008 (-5.8%)
2007525 Jun 2007 (-5.06%), 10 Jul 2007 (-4.55%), 29 Aug 2007 (-7.13%), 12 Sep 2007 (-5.7%), 28 Sep 2007 (16.22%)
2006306 Nov 2006 (-3.57%), 16 Nov 2006 (-4.22%), 05 Dec 2006 (12.54%)



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