Study: Sell RELCAPITAL when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell RELCAPITAL 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
1-30132.8158233539.665134.2818984.87-4234.89-13972.61.210.8-0.018-519.53
2-85230.5258273146.554810.1614807.3-6938.86-29004.550.690.6-0.037-1469.49
3-93430.6958223637.937539.621459.23-7202.83-26348.081.050.64-0.035-1610.87
4-54917.1158233539.669583.8827649.89-7867.04-33711.111.220.8-0.017-946.85
5-68194.9158233539.6611010.5929216.33-9183.95-41890.321.20.79-0.019-1175.77
6-17641258203834.4812081.4136154.98-11001.06-40684.331.10.58-0.043-3041.59
7-20664558213736.2112427.6146676.51-12638.5-64935.820.980.56-0.041-3562.84
8-13571158203834.4815931.355811.84-11956.25-94690.781.330.7-0.023-2339.85
9-11970158263244.8314284.9156357.23-15347.14-1042880.930.76-0.019-2063.81
10-20180358243441.3816344.4355493.69-17472.63-95099.180.940.66-0.03-3479.36
Although, strategy looks good but profit factor on day 2 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
200trail-12.4421285.5494157915.9616405.367752.59-2845.49-3975.815.771.090.0042226.44
atrtrail-14.7215596.176205626.3217911.6883078.36-6118.53-17123.532.931.050.0028205.21
atrnil37.039312.4564154923.4426934.0633583.17-8055.07-18680.73.341.020.0019145.51
atrnil25.24-57408.1567194828.3617281.3222388.78-8036.53-18680.72.150.85-0.015-856.84
atrtrail23.71-53350.3476215527.6313544.9322303.46-6141.71-17123.532.210.84-0.015-701.98
atrtrail34.12-81740.4376205626.3213044.8529224.73-6118.53-17123.532.130.76-0.022-1075.53
200nil31.69-83003.7794177718.098942.0311566.08-3052.18-3975.032.930.65-0.038-883.02
200nil21.45-87998.4595237224.215845.427710.72-3089.49-3975.811.890.6-0.048-926.3
200trail31.6-93502.1296177917.717900.3411566.08-2883.64-3975.812.740.59-0.046-973.98
200trail21.43-90493.2796227422.925790.27710.72-2944.29-3975.811.970.58-0.051-942.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 15.96%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0042, 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.
RELCAPITAL Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018324 Aug 2018 (-1.86%), 10 Sep 2018 (-1.58%), 11 Sep 2018 (33.88%)
2017503 Jan 2017 (-1.73%), 05 Jan 2017 (-1.41%), 09 Jan 2017 (-1.14%), 31 Jan 2017 (-1.78%), 28 Sep 2017 (6.75%)
20161029 Jan 2016 (7.59%), 21 Mar 2016 (-1.39%), 08 Apr 2016 (-1.73%), 27 Jun 2016 (-1.99%), 25 Nov 2016 (-1.68%), 29 Nov 2016 (-1.92%), 01 Dec 2016 (0.17%), 08 Dec 2016 (-1.08%), 13 Dec 2016 (-1.67%), 22 Dec 2016 (-1.47%)
2015415 Oct 2015 (-1.07%), 20 Oct 2015 (-1.77%), 18 Nov 2015 (-1.75%), 11 Dec 2015 (-1.87%)
20141014 Jan 2014 (-1.68%), 16 Jan 2014 (-1.51%), 23 Jan 2014 (6.49%), 01 Apr 2014 (-1.7%), 07 May 2014 (-1.55%), 13 Oct 2014 (-1.3%), 17 Oct 2014 (-1.92%), 21 Oct 2014 (-1.17%), 30 Oct 2014 (-1.58%), 31 Dec 2014 (-1.06%)
2013627 Feb 2013 (-1.49%), 23 Jul 2013 (11.63%), 29 Oct 2013 (-1.37%), 11 Nov 2013 (0.29%), 14 Nov 2013 (-1.95%), 22 Nov 2013 (-1.72%)
2012624 Feb 2012 (-0.72%), 06 Mar 2012 (-1.95%), 16 Mar 2012 (-0.5%), 03 Aug 2012 (-1.86%), 08 Sep 2012 (-1.87%), 13 Sep 2012 (-1.43%)
2011125 Jul 2011 (33.78%)
2010826 Jul 2010 (-1.81%), 29 Jul 2010 (-1.47%), 30 Jul 2010 (-1.27%), 11 Aug 2010 (1.29%), 19 Aug 2010 (-1.99%), 24 Aug 2010 (-0.49%), 30 Aug 2010 (-0.52%), 02 Sep 2010 (-1.36%)
2009103 Nov 2009 (-1.24%)
2006322 May 2006 (-1.47%), 21 Aug 2006 (-1.8%), 23 Aug 2006 (-1.16%)
2005406 Jan 2005 (-1.3%), 12 Jan 2005 (-1.09%), 17 Jan 2005 (-1.61%), 24 Jan 2005 (-1.1%)
2004918 Jun 2004 (4.22%), 04 Aug 2004 (-1.82%), 11 Aug 2004 (-0.4%), 27 Aug 2004 (-1.96%), 28 Oct 2004 (-1.11%), 04 Nov 2004 (-1.53%), 09 Nov 2004 (-1.12%), 11 Nov 2004 (-1.82%), 23 Dec 2004 (-1.13%)
2003427 Jan 2003 (-1.82%), 05 Feb 2003 (-1.1%), 17 Mar 2003 (-1.2%), 26 Mar 2003 (1.96%)
2002322 Jul 2002 (-1.58%), 21 Nov 2002 (-1.1%), 27 Nov 2002 (-1.09%)
2001121 Feb 2001 (5.76%)
2000105 Jun 2000 (-1.03%)
1999207 Jun 1999 (-1.63%), 11 Jun 1999 (0.67%)
1998709 Jan 1998 (2.62%), 19 Jan 1998 (-1.78%), 05 Mar 1998 (-1.31%), 16 Mar 1998 (-0.68%), 30 Mar 1998 (-1.55%), 02 Apr 1998 (-1.78%), 20 May 1998 (5.96%)
1997512 Mar 1997 (-1.32%), 14 Mar 1997 (-0.84%), 20 Jun 1997 (-1.75%), 23 Jun 1997 (-1.13%), 31 Dec 1997 (-1.35%)
1995122 Nov 1995 (-0.56%)



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