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

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL 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 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
151551.2256292751.795055.2114123.22-3520.37-9246.951.441.540.034920.56
211761556342260.717085.9539269.81-5604.89-15133.371.261.950.0482100.26
311186956322457.148872.3723597.51-7168.63-16586.311.241.650.0411997.65
413877256332358.939937.0727604.63-8223.96-28997.671.211.730.0462478.07
512460756332358.9310564.534712.69-9740.09-29743.591.081.560.0362225.12
619377956302653.5713601.9638398.99-8241.55-22369.881.651.90.0533460.33
716163856292751.7913516.9237784.6-8531.6-23742.451.581.70.0422886.39
81234745628285013942.3138342.79-9532.54-26467.331.461.460.0312204.88
918629256302653.5714210.0145464.39-9231.08-31343.281.541.780.0443326.65
101950445628285016131.2751463.68-9165.41-25138.431.761.760.0443482.93

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.95. 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 60.71%, which is good. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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
nilnil-1211761556342260.717085.9539269.81-5604.89-15133.371.261.950.0482100.26
50trail-12.8512895582235928.0512828.7856220.09-2815.37-3993.334.561.780.0341572.62
atrtrail23.8711286370313944.2912215.5323952.79-6815.86-13003.151.791.420.031612.33
atrnil3813370661194231.1525381.1135929.19-8298.45-13472.123.061.380.0282191.9
atrtrail-15.0384307.7870313944.2911294.451658.09-6815.86-13003.151.661.320.0211204.4
atrtrail34.680077.7770313944.2911157.9535929.19-6815.86-13003.151.641.30.0211143.97
50nil31.9149010.4679245530.389035.711989.18-3051.75-3993.332.961.290.022620.39
50trail31.7338072.0883255830.128186.2111989.18-2872.12-3993.332.851.230.018458.7
atrnil25.1275320.0764244037.516971.8923952.79-8300.13-13472.122.041.230.0191176.88
50trail21.4115395.6785305535.295935.577992.78-2957.66-3965.142.011.090.0084181.13
50nil21.44850.5584285633.336039.097992.78-3004.36-3965.142.011.010.0004710.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. 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 60.71%, which is good. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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, X=2, Profit Factor:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Jan 2019 (6.94%), 18 Mar 2019 (-5.01%)
2018309 Apr 2018 (1.23%), 29 May 2018 (-0.18%), 19 Jun 2018 (-1.73%)
2017109 Jan 2017 (-2.06%)
2016114 Mar 2016 (0.87%)
2015602 Feb 2015 (0.83%), 04 Mar 2015 (1.06%), 15 Apr 2015 (1.59%), 13 Jul 2015 (1.45%), 11 Aug 2015 (8.58%), 14 Sep 2015 (5.25%)
2014207 Mar 2014 (-2.48%), 16 Dec 2014 (-0.42%)
2013630 Apr 2013 (-5.21%), 28 May 2013 (2.62%), 19 Jun 2013 (8.17%), 06 Sep 2013 (-3.33%), 07 Oct 2013 (-5.94%), 12 Nov 2013 (-2.38%)
2012227 Mar 2012 (1.16%), 23 Jul 2012 (0.34%)
2011214 Jun 2011 (-1.23%), 01 Aug 2011 (3.11%)
2010318 Mar 2010 (2.5%), 12 Apr 2010 (1.21%), 25 Aug 2010 (0.79%)
2008123 May 2008 (6.58%)
2006110 Aug 2006 (-2.04%)
2005206 Jan 2005 (-0.67%), 24 Jan 2005 (-3.71%)
2004102 Aug 2004 (-1.99%)
2002101 Nov 2002 (-0.54%)
2001401 Jan 2001 (-6.61%), 19 Jan 2001 (-7.57%), 21 May 2001 (-4.13%), 26 Dec 2001 (0.6%)
2000420 Jul 2000 (19.63%), 29 Aug 2000 (-0.09%), 15 Sep 2000 (8.58%), 20 Nov 2000 (0.67%)
1999328 Jan 1999 (4.82%), 06 Apr 1999 (5.37%), 21 Apr 1999 (4.01%)
1998404 Feb 1998 (0.35%), 20 Jul 1998 (2.37%), 18 Nov 1998 (4.49%), 22 Dec 1998 (2.67%)
1997319 Mar 1997 (0.16%), 21 Apr 1997 (1.26%), 17 Jun 1997 (-3.95%)
1996414 Mar 1996 (6.01%), 08 Apr 1996 (-0.37%), 13 Jun 1996 (1.07%), 09 Sep 1996 (4.09%)



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