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

home > technical-strategy > rcom > 17

In this study, we evaluate the performance of strategy "Sell RCOM 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 RCOM 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
12326.6827111640.743477.5510956.79-2245.4-8899.681.551.060.006286.17
2-27534.5627131448.153878.488574.93-5568.2-19336.570.70.65-0.047-1019.8
3-90462.82781929.634065.048493.26-6472.79-250000.630.26-0.12-3350.47
4-65200.327111640.746252.2216631.8-8373.42-27777.780.750.51-0.068-2414.83
5-10626.5327151255.567813.6336137.07-10652.58-312500.730.92-0.0088-393.58
6-22800.8427131448.1512762.1847352.02-13479.23-55555.560.950.88-0.013-844.48
7-37685.5527121544.4415214.5456697.82-14684-78472.221.040.83-0.018-1395.76
8-44058.1827131448.1513233.4739252.34-15435.24-70138.890.860.8-0.022-1631.78
9-96050.7327121544.4414308.3146105.92-17850.03-85416.670.80.64-0.042-3557.43
10-91374.9627111640.7416146.8551713.4-16811.89-86805.560.960.66-0.039-3384.26

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. 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 40.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.043%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0062, which is low, don't trade solely on the basis of this study.

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
atrtrail-1652412.853592625.7123576.3941286.31-6145.18-14332.723.841.330.0281497.51
atrtrail34.9138103.633592625.7121986.4845605.78-6145.18-14332.723.581.240.0211088.68
nilnil-112326.6827111640.743477.5510956.79-2245.4-8899.681.551.060.006286.17
50trail-12.276212.924463813.6418399.6248500-2741.71-3966.946.711.060.0042141.2
atrtrail23.894806.763592625.7118286.8330403.86-6145.18-14332.722.981.030.0033137.34
atrnil36.65-30551.413162519.3532039.6345605.78-8911.57-14506.363.60.86-0.017-985.53
atrnil24.81-52541.41328242520316.2630403.86-8961.31-14506.362.270.76-0.036-1641.92
50trail31.71-34619.764583717.788711.6411278.87-2819.27-3966.943.090.67-0.049-769.33
50nil31.77-37701.724483618.188711.6411278.87-2983.19-3985.932.920.65-0.053-856.86
50trail21.45-45156.847113623.45642.177519.25-2978.35-3966.941.890.58-0.074-960.78
50nil21.47-47774.4747113623.45642.177519.25-3051.07-3985.931.850.57-0.077-1016.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
RCOM Performance, Profit Factor:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018431 Jul 2018 (-6.42%), 12 Sep 2018 (-7.17%), 18 Sep 2018 (20.64%), 02 Nov 2018 (-1.26%)
2017231 Jan 2017 (-2.34%), 11 Jul 2017 (-2.56%)
2016530 Jun 2016 (-3.33%), 18 Jul 2016 (-2.82%), 03 Aug 2016 (-3.35%), 17 Aug 2016 (-3.51%), 08 Sep 2016 (-2.61%)
2015511 May 2015 (-0.02%), 22 May 2015 (-2.91%), 02 Jun 2015 (4.47%), 30 Jun 2015 (-4.73%), 22 Sep 2015 (-4.87%)
2014630 Apr 2014 (1.73%), 12 May 2014 (-3.89%), 15 May 2014 (-4.02%), 05 Nov 2014 (-0.39%), 28 Nov 2014 (-1.91%), 05 Dec 2014 (18.72%)
2012303 Jan 2012 (-3.16%), 29 Oct 2012 (-0.28%), 05 Nov 2012 (-4.16%)
2011214 Jun 2011 (4.32%), 08 Dec 2011 (12.72%)
2010512 Jan 2010 (-3.15%), 19 Mar 2010 (-2.62%), 26 Mar 2010 (-1.93%), 28 Apr 2010 (16.29%), 24 Sep 2010 (-1.95%)
2008304 Jun 2008 (-4.53%), 11 Jun 2008 (8.05%), 24 Jul 2008 (19.14%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play