Study: Sell PVR when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell PVR when there is Dead Cross (50 DMA < 200 DMA)" 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
11406.311266503450.165929.78-3215.77-6733.581.071.070.0082117.19
24469.21266504138.128873.92-3393.26-8090.031.221.220.022372.43
3-4783.42125741.674847.388047.75-4145.76-14306.151.170.84-0.018-398.62
4-27357.41125741.672983.767874.47-6039.46-17854.080.490.35-0.094-2279.78
5-30874.161266502778.58453.51-7924.19-29642.350.350.35-0.079-2572.85
6-49246.17124833.334683.587061.16-8497.56-38054.360.550.28-0.099-4103.85
7-59872.62124833.337505.9615967.05-11237.06-43719.60.670.33-0.097-4989.38
8-71748.251239257934.0416390.22-10616.71-51273.250.750.25-0.11-5979.02
9-62271.19125741.675757.8716851.17-13008.65-51273.250.440.32-0.091-5189.27
10-68250.7112392512614.2122480.83-11788.15-52417.741.070.36-0.092-5687.56
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
atrtrail25.62-17229.99134930.778835.3420972.08-5841.26-17004.651.510.67-0.04-1325.38
atrtrail36.31-17320.94134930.778812.618392.98-5841.26-17004.651.510.67-0.041-1332.38
atrtrail-16.62-20227.88134930.778085.8715486.04-5841.26-17004.651.380.62-0.05-1555.99
atrnil26.69-67341.081321115.3816617.0320972.08-9143.19-17004.651.820.33-0.15-5180.08
atrnil38.46-92668.2131127.6918392.9818392.98-9255.1-17004.651.990.17-0.25-7128.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. 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:0.672

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Aug 2019 (-0.35%)
2018227 Mar 2018 (-1.04%), 18 Jul 2018 (-5.04%)
2017113 Sep 2017 (6.13%)
2016123 Feb 2016 (-0.09%)
2015121 Apr 2015 (-2.47%)
2014113 May 2014 (0.49%)
2010110 Dec 2010 (-2.98%)
2008109 May 2008 (-2.37%)
2007221 Aug 2007 (-8.5%), 03 Oct 2007 (10.49%)
2006202 Nov 2006 (-3.44%), 03 Nov 2006 (0.56%)



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