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

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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 and RSI is below 50" 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
1-10312.7115645.455355.088501.31-6181.35-15875.50.870.72-0.038-937.52
2-19973115645.454699.938368-7245.44-18107.080.650.54-0.069-1815.73
3-28632.45115645.453828.096419.4-7962.15-17872.170.480.4-0.1-2602.95
4-21620.09115645.456410.6711499.88-8945.57-18953.60.720.6-0.059-1965.46
5-19597.23115645.456556.3713831.57-8729.85-20236.920.750.63-0.051-1781.57
6-13913.55115645.457036.8313212.63-8182.95-18146.230.860.72-0.036-1264.87
7-23297.13115645.455234.378530.32-8244.83-16584.40.630.53-0.07-2117.92
8-50112.32115645.454221.358906.29-11869.85-27933.840.360.3-0.12-4555.67
9-24646.57114736.366952.6913617.68-7493.91-27601.060.930.53-0.059-2240.6
10-38340.86114736.3610781.6220657.76-11638.19-36155.430.930.53-0.064-3485.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.72. This strategy is not profitable and we advice you not to use it.

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
atrnil37.1416027.241441028.5732484.4146056.44-11391.04-17897.512.851.140.0151144.8
atrnil26.93-27285.311441028.5721656.2730704.29-11391.04-17897.511.90.76-0.035-1948.95
atrtrail35.19-25985.15164122519986.946056.44-8827.73-17897.512.260.75-0.028-1624.07
nilnil-11-10312.7115645.455355.088501.31-6181.35-15875.50.870.72-0.038-937.52
atrtrail25.12-51761.87164122513542.7230704.29-8827.73-17897.511.530.51-0.073-3235.12
atrtrail-15.75-57258.01164122512168.6828360.93-8827.73-17897.511.380.46-0.087-3578.63
50trail-12.06-283841821611.1110252.6719697.58-3055.58-3633.523.360.42-0.083-1576.89
50trail21.39-34751.171821611.117069.087382.11-3055.58-3633.522.310.29-0.17-1930.62
50nil21.39-35115.741821611.117069.087382.11-3078.37-3633.522.30.29-0.17-1950.87
50trail31.44-37947.491821611.115470.9210134.08-3055.58-3633.521.790.22-0.19-2108.19
50nil31.5-42810.88181175.5610134.0810134.08-3114.41-3691.063.250.19-0.21-2378.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PVR Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 Feb 2018 (-4.59%), 27 Sep 2018 (12.22%)
2015303 Jun 2015 (-4.05%), 11 Jun 2015 (-4.6%), 12 Jun 2015 (-4.67%)
2014120 May 2014 (-3.73%)
2011123 Jun 2011 (-4.81%)
2009402 Feb 2009 (-8.29%), 10 Feb 2009 (23.03%), 29 Apr 2009 (-8.2%), 23 Jun 2009 (-8.95%)
2008120 May 2008 (14.08%)
2007225 Jun 2007 (-5.06%), 04 Oct 2007 (15.64%)



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