Study: Sell RELIANCE when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell RELIANCE when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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
1-20338.839162341.032856.339507.83-2871.31-16048.390.990.69-0.025-521.51
26159.3739211853.853854.2718934.85-4154.46-18790.320.931.080.0053157.93
353235.3539241561.546208.8837189.17-6385.19-16854.840.971.560.0311365.01
421916.339211853.857662.9825349.84-7722.58-34274.190.991.160.011561.96
5-15171.4239211853.856912.6417799.26-8907.6-37419.350.780.91-0.0077-389.01
6-30907.439192048.726439.3521524.21-7662.75-42580.650.840.8-0.016-792.5
7-45216.4139182146.157739.7923014.2-8787.27-45322.580.880.75-0.021-1159.4
8-42107.3339182146.157620.0420737.33-8536.57-48790.320.890.77-0.019-1079.68
9-88533.5639162341.039284.5821658.99-10308.13-68709.680.90.63-0.031-2270.09
10-87061.339162341.039401.4627592.17-10325.42-56451.610.910.63-0.033-2232.34
Although, strategy looks good but profit factor on day 1 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
200trail32.7644379.9259213835.596842.5211703.14-2613.5-3816.982.621.450.03752.2
200nil32.9228830.5559174228.818579.8811703.14-2786.37-3831.343.081.250.019488.65
200trail22.1914881.4159213835.595439.417802.09-2614.37-3816.982.081.150.013252.23
200nil22.337861.5358203834.485696.037802.09-2791.03-3831.342.041.070.0066135.54
atrtrail24.47-2297.9245192642.226396.5517467.35-4762.78-10864.351.340.98-0.0016-51.06
atrnil26.15-20515.7940132732.511138.7917467.35-6122.96-10887.981.820.88-0.012-512.89
atrtrail34.89-17154.4645192642.225614.6315112.97-4762.78-10864.351.180.86-0.012-381.21
200trail-13.55-15574.7356183832.144451.2116212.77-2518.33-3816.981.770.84-0.014-278.12
atrtrail-15.16-32764.3344182640.914972.9616079.95-4702.98-10864.351.060.73-0.026-744.64
atrnil38.03-1344143953412.8214634.119681.99-6105.41-10887.982.40.35-0.096-3446.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 35.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017223 Jan 2017 (-1.57%), 25 Jan 2017 (-1.42%)
2016818 Feb 2016 (-1.67%), 25 Feb 2016 (-1.41%), 31 May 2016 (-0.93%), 29 Jun 2016 (-1.21%), 04 Nov 2016 (5.01%), 09 Nov 2016 (-1.66%), 10 Nov 2016 (3.25%), 22 Nov 2016 (-0.44%)
2015120 Aug 2015 (3.75%)
2014407 Jan 2014 (-1.39%), 27 Jan 2014 (5.69%), 30 Sep 2014 (0.15%), 01 Dec 2014 (5.59%)
2013616 Aug 2013 (5.28%), 03 Sep 2013 (-1.43%), 26 Sep 2013 (-1.26%), 27 Sep 2013 (0.2%), 26 Nov 2013 (-1.14%), 17 Dec 2013 (-1.39%)
2012120 Nov 2012 (-1.3%)
2011210 Jan 2011 (-1.37%), 12 Jan 2011 (4.7%)
2010502 Feb 2010 (-1.09%), 29 Apr 2010 (0.15%), 07 May 2010 (-1.81%), 16 Nov 2010 (-1.45%), 18 Nov 2010 (3.63%)
2008303 Mar 2008 (-1.03%), 05 Mar 2008 (5.53%), 14 Mar 2008 (3.79%)
2006317 Feb 2006 (-1.6%), 21 Feb 2006 (-1.16%), 23 Feb 2006 (-1.06%)
2005419 Apr 2005 (-1.41%), 17 May 2005 (-1.01%), 19 May 2005 (-1.39%), 30 May 2005 (-1.16%)
2004412 May 2004 (-1.26%), 25 Nov 2004 (-1.25%), 10 Dec 2004 (-1.46%), 22 Dec 2004 (-1.64%)
2003330 Jan 2003 (-1.3%), 05 May 2003 (3.71%), 19 May 2003 (-1.91%)
2002606 Mar 2002 (-1.84%), 08 Mar 2002 (1.81%), 18 Mar 2002 (3.03%), 22 Mar 2002 (-0.57%), 01 Apr 2002 (-1.43%), 09 Apr 2002 (1.61%)
2001115 Jun 2001 (3.1%)
1999307 Apr 1999 (-1.08%), 08 Apr 1999 (5.85%), 28 Apr 1999 (-1.14%)
1998127 May 1998 (3.01%)
1995222 Nov 1995 (3.0%), 23 Nov 1995 (-1.0%)



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