Study: Sell RELIANCE 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 RELIANCE 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 RELIANCE 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
1-5778.5740152537.54319.429268.29-2822.8-7762.271.530.92-0.0071-144.46
2-33976.4840172342.53957.4911080-4402.34-8880.930.90.66-0.035-849.41
3-68315.84401426354873.9911158.54-5251.99-13073.10.930.5-0.058-1707.9
4-91715.93401624405403.6912644.66-7423.96-29338.840.730.49-0.057-2292.9
5-89096.8840152537.56152.8317533.6-7255.57-23211.540.850.51-0.054-2227.42
6-12096840132732.57762.2318435.91-8217.67-27247.340.940.45-0.062-3024.2
7-149612401228309244.7224363.5-9305.31-26118.680.990.43-0.069-3740.3
8-15668840152537.58613.5922491.65-11435.68-30098.630.750.45-0.065-3917.2
9-15279740172342.58023.9121191.35-12574.08-25936.270.640.47-0.063-3819.94
10-17377340152537.59065.0417221.3-12389.95-30857.140.730.44-0.071-4344.33

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.92. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.072%, we advise you not to use this strategy.

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
50trail32.171714.9754173731.486622.4311955.41-2996.39-3965.782.211.020.001331.76
50trail21.691631.4555183732.736344.397970.28-3042.37-3965.782.091.010.001329.66
50nil21.69-2827.5855183732.736344.397970.28-3162.88-3989.722.010.98-0.0023-51.41
50nil32.35-3351.82521339259261.0611955.41-3172.97-3989.722.920.97-0.0024-64.46
50trail-12.87-6029.2954163829.636709.0720867.66-2983.54-3965.782.250.95-0.004-111.65
atrtrail24.33-10815.2949143528.5710883.5720040.4-4662.44-8939.32.330.93-0.0057-220.72
nilnil-11-5778.5740152537.54319.429268.29-2822.8-7762.271.530.92-0.0071-144.46
atrtrail34.63-31318.949143528.579419.0223805.07-4662.44-8939.32.020.81-0.017-639.16
atrnil25.25-46212.274411332514081.3420040.4-6094.15-13568.542.310.77-0.023-1050.28
atrtrail-14.88-42503.5949143528.578620.1216079.95-4662.44-8939.31.850.74-0.026-867.42
atrnil36.76-81280.034273516.6719747.7626962.93-6271.84-13568.543.150.63-0.039-1935.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 31.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.016%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0013, 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.
RELIANCE Performance, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Aug 2019 (1.97%), 11 Sep 2019 (4.48%)
2016129 Jun 2016 (-1.79%)
2015728 Jan 2015 (-1.34%), 09 Feb 2015 (3.76%), 08 Apr 2015 (-1.72%), 28 Apr 2015 (-1.08%), 11 Jun 2015 (-1.68%), 06 Oct 2015 (-1.94%), 12 Oct 2015 (-1.52%)
2014101 Dec 2014 (4.91%)
2013413 May 2013 (-1.6%), 05 Jun 2013 (3.09%), 20 Jun 2013 (-0.77%), 25 Jun 2013 (-1.42%)
2012406 Jun 2012 (-1.52%), 13 Jun 2012 (-1.3%), 22 Jun 2012 (-1.64%), 26 Jul 2012 (-1.98%)
2011303 Mar 2011 (-1.61%), 06 Sep 2011 (-1.17%), 13 Sep 2011 (-1.9%)
2010315 Mar 2010 (-1.48%), 16 Sep 2010 (-1.09%), 30 Sep 2010 (-1.41%)
2009225 Feb 2009 (-1.25%), 27 Feb 2009 (3.44%)
2008529 May 2008 (5.98%), 27 Aug 2008 (-1.0%), 04 Sep 2008 (1.22%), 09 Sep 2008 (5.62%), 24 Dec 2008 (-1.63%)
2004123 Aug 2004 (-1.7%)
2002507 Feb 2002 (-1.5%), 11 Feb 2002 (-1.53%), 12 Feb 2002 (-1.45%), 14 Jun 2002 (-1.18%), 01 Oct 2002 (5.07%)
2001217 Oct 2001 (1.15%), 12 Nov 2001 (-1.2%)
2000127 Nov 2000 (-1.43%)
1999205 Feb 1999 (0.81%), 10 Feb 1999 (1.01%)
1998609 Jan 1998 (5.32%), 19 Jan 1998 (-1.81%), 03 Feb 1998 (0.11%), 25 Feb 1998 (-1.86%), 28 Oct 1998 (3.84%), 04 Dec 1998 (-1.72%)
1996522 Mar 1996 (-1.69%), 21 Aug 1996 (-1.94%), 26 Aug 1996 (-1.07%), 10 Sep 1996 (4.51%), 12 Dec 1996 (-1.51%)



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