Study: Sell RELCAPITAL 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 RELCAPITAL 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 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
124117.4534161847.065604.8716461.01-3642.25-8922.261.541.370.025709.34
2-12500.9734191555.885750.7114807.3-8117.64-29004.550.710.9-0.0081-367.68
3-17306.7234151944.128610.4221459.23-7708.58-26348.081.120.88-0.01-509.02
4-1106.7834142041.1812844.9927649.89-9046.83-33711.111.420.99-0.00049-32.55
5-31801.6834142041.1812423.4636043.21-10286.5-41890.321.210.85-0.013-935.34
6-10815034132138.2411854.2446571.92-12488.32-40684.330.950.59-0.04-3180.87
7-10787634132138.2413560.5555713.47-13531.58-64935.8210.62-0.033-3172.82
8-81863.1634142041.1815104.2256259.24-14666.11-94690.781.030.72-0.021-2407.74
9-92647.1634161847.0615648.9555395.11-19057.24-1042880.820.73-0.021-2724.92
10-11085034161847.061645266787.95-20782.34-95099.180.790.7-0.024-3260.3

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.37. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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
atrnil38.611740935112431.4328096.9333583.17-7985.7-18680.73.521.610.043354.56
nilnil-1124117.4534161847.065604.8716461.01-3642.25-8922.261.541.370.025709.34
200trail-12.7234390.875011392213516.5667752.59-2930.55-3975.034.611.30.013687.82
atrnil25.8649772.5335132237.1417664.1822388.78-8175.54-18680.72.161.280.0221422.07
atrtrail-14.9738328.6340132732.515381.1582998.6-5986.16-14778.222.571.240.013958.22
atrtrail23.923190.2240132732.514216.6622303.46-5986.16-14778.222.371.140.011579.76
atrtrail34.4-1705.6840132732.512301.5926151.63-5986.16-14778.222.060.99-0.00089-42.64
200nil31.76-25902.7751114021.578760.2110154.14-3056.63-3975.032.870.79-0.021-507.9
200trail31.71-25933.6951123923.537437.0110154.14-2953.28-3975.032.520.77-0.022-508.5
200trail21.51-29679.9151143727.455851.167230.5-3016.11-3975.031.940.73-0.029-581.96
200nil21.51-31511.4551143727.455851.167230.5-3065.61-3975.031.910.72-0.031-617.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 31.43%, which is not acceptable. Avoid this strategy. Average return per trade is 1.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (12.5%)
2017231 Jan 2017 (-2.4%), 28 Sep 2017 (16.35%)
2016429 Jan 2016 (16.73%), 27 Jun 2016 (-3.16%), 25 Nov 2016 (-4.59%), 22 Dec 2016 (-3.34%)
2015218 Nov 2015 (-3.67%), 11 Dec 2015 (-3.78%)
2014414 Jan 2014 (9.63%), 07 May 2014 (-3.95%), 13 Oct 2014 (-4.12%), 31 Dec 2014 (11.57%)
2013327 Feb 2013 (11.59%), 11 Nov 2013 (-3.95%), 22 Nov 2013 (-4.0%)
2012316 Mar 2012 (16.79%), 03 Aug 2012 (-3.89%), 08 Sep 2012 (-3.32%)
2010111 Aug 2010 (-2.56%)
2009103 Nov 2009 (-5.26%)
2006122 May 2006 (-9.34%)
2005206 Jan 2005 (-4.2%), 12 Jan 2005 (-3.96%)
2004318 Jun 2004 (-5.43%), 28 Oct 2004 (-2.7%), 23 Dec 2004 (-3.62%)
2003427 Jan 2003 (-3.4%), 05 Feb 2003 (-3.16%), 17 Mar 2003 (-4.35%), 26 Mar 2003 (-3.68%)
2002122 Jul 2002 (13.08%)
2001121 Feb 2001 (15.51%)
1998120 May 1998 (14.16%)
1995122 Nov 1995 (16.64%)



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