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

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In this study, we evaluate the performance of strategy "Sell RCOM when near 200 SMA and below 200 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 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
1-19575.661028203920.855663.94-3427.17-12854.291.140.29-0.12-1957.57
2-188101055504131.899829.31-7893.89-15489.020.520.52-0.073-1881
32962.341064605224.4818540.32-7096.14-13013.970.741.10.011296.23
4-3083.2610464010851.2825485.58-7748.06-14252.871.40.93-0.0077-308.33
55181.21055509166.6324072.98-8130.39-23908.051.131.130.012518.12
657559.8610737011218.4627898.76-6989.79-18850.571.63.740.135755.99
768994.7710828012157.0730900.53-14130.91-14468.730.863.440.146899.48
810559210828017553.0740822.32-17416.18-24717.411.014.030.1610559.22
916355110828023938.6852443.89-13979.33-23360.961.716.850.2216355.08
1016691210828025056.8860876.86-16771.39-28485.311.495.980.1916691.22
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
RCOM Performance, X=9, Profit Factor:6.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018128 Mar 2018 (-2.3%)
2015113 Nov 2015 (-11.68%)
2014217 Jan 2014 (7.15%), 25 Jul 2014 (4.01%)
2013108 Mar 2013 (15.6%)
2012113 Apr 2012 (9.6%)
2010203 Aug 2010 (5.92%), 12 Nov 2010 (23.19%)
2009117 Oct 2009 (26.22%)
2008114 Feb 2008 (4.06%)

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
atrnil313.3311705112665030533.9852270.13-11025.42-18133.832.772.770.129754.28
atrtrail-16.8389353.09125741.6730364.4748982.44-8924.18-18133.833.42.430.0987446.09
atrtrail35.4254020.66125741.6723297.9937885.47-8924.18-18133.832.611.860.0744501.72
atrnil25.1755983.4112665020355.9934846.75-11025.42-18133.831.851.850.0794665.28
atrtrail24.8330562.63125741.6718606.3825256.98-8924.18-18133.832.081.490.0512546.89
200trail-11.41-21672.33171165.8827655.6527655.65-3083-3794.278.970.56-0.05-1274.84
200nil31.18-39311.07171165.8810016.9110016.91-3083-3794.273.250.2-0.21-2312.42
200trail31.18-39311.07171165.8810016.9110016.91-3083-3794.273.250.2-0.21-2312.42
200nil21.18-42650.04171165.886677.946677.94-3083-3794.272.170.14-0.3-2508.83
200trail21.18-42650.04171165.886677.946677.94-3083-3794.272.170.14-0.3-2508.83

In the table above, row 1 shows the best exit criterion. Profit factor is 2.77. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 4.88%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:2.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018128 Mar 2018 (-9.07%)
2015113 Nov 2015 (-5.92%)
2014317 Jan 2014 (-3.73%), 25 Jul 2014 (-4.29%), 04 Aug 2014 (11.84%)
2013208 Mar 2013 (-5.37%), 18 Mar 2013 (15.14%)
2012113 Apr 2012 (-4.7%)
2010203 Aug 2010 (10.21%), 12 Nov 2010 (9.33%)
2009117 Oct 2009 (18.94%)
2008114 Feb 2008 (26.14%)



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