Study: Sell RELINFRA 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 RELINFRA 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 RELINFRA 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
117876.7402416603917.9620135.8-4759.64-17042.490.821.230.014446.92
216651.2401822457383.7628569.03-5284.38-17366.31.41.140.01416.28
3-16875.73401822457911.9127663.68-7240.46-21966.651.090.89-0.0087-421.89
4-95771.97401426356793.1418461.86-7341.38-25693.180.930.5-0.051-2394.3
5-60349.2740192147.57955.7129492.27-10071.8-27845.60.790.71-0.025-1508.73
6-98976.0540192147.57099.4222785.32-11136.43-31311.80.640.58-0.04-2474.4
7-11927640172342.58082.1624680.77-11159.69-37112.390.720.54-0.045-2981.9
8-111328402020509176.6531523.18-14743.07-52678.020.620.62-0.034-2783.21
9-1129484020205010759.6838101.55-16407.09-48486.330.660.66-0.031-2823.71
10-89484.464020205012648.2248653.42-17122.45-60909.690.740.74-0.022-2237.11

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.23. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
nilnil-1117876.7402416603917.9620135.8-4759.64-17042.490.821.230.014446.92
200nil32.59031.258164227.598362.1311964.72-2970.54-3991.762.821.070.0061155.71
200nil21.836058.94602139355722.577976.48-2926.03-3991.761.961.050.0049100.98
200trail21.75-2731.9460204033.335366.697779.89-2751.64-3991.761.950.98-0.0023-45.53
200trail32.21-4305.3358174129.316435.7210927.39-2773.48-3991.762.320.96-0.0033-74.23
200trail-13.05-11451.3558154325.867105.2921436.55-2744.9-3991.762.590.9-0.0073-197.44
atrnil38.37-87509.3343103323.2621415.928163.1-9141.46-20538.292.340.71-0.031-2035.1
atrnil26.77-10645343123127.9114811.1918930.99-9167.34-20538.291.620.63-0.045-2475.66
atrtrail-15.16-92796.9749143528.579359.7531765.77-6395.24-13351.111.460.59-0.043-1893.82
atrtrail24.61-94976.2249143528.579204.0918930.99-6395.24-13351.111.440.58-0.047-1938.29
atrtrail34.84-10443449143528.578528.5323883.89-6395.24-13351.111.330.53-0.052-2131.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELINFRA Performance, X=1, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Jan 2018 (-2.24%)
2016204 Feb 2016 (-6.96%), 25 Feb 2016 (-0.72%)
2014307 Oct 2014 (-0.83%), 28 Oct 2014 (-1.02%), 26 Nov 2014 (0.21%)
2012428 May 2012 (0.26%), 25 Jul 2012 (3.34%), 23 Aug 2012 (2.9%), 12 Oct 2012 (-0.41%)
2010313 Aug 2010 (3.41%), 08 Oct 2010 (-2.08%), 26 Oct 2010 (0.51%)
2007123 Mar 2007 (1.94%)
2006117 May 2006 (10.07%)
2005127 Sep 2005 (-0.35%)
2004427 May 2004 (8.01%), 25 Jun 2004 (0.51%), 26 Oct 2004 (0.02%), 11 Nov 2004 (0.32%)
2003407 Mar 2003 (2.39%), 25 Mar 2003 (0.25%), 07 May 2003 (1.41%), 30 May 2003 (-2.39%)
2002202 Aug 2002 (-8.52%), 01 Oct 2002 (-1.55%)
2001126 Feb 2001 (-3.27%)
2000101 Aug 2000 (-1.76%)
1999712 Mar 1999 (1.09%), 01 Jun 1999 (0.33%), 18 Jun 1999 (-1.12%), 05 Jul 1999 (0.13%), 03 Aug 1999 (-3.23%), 04 Nov 1999 (0.21%), 29 Nov 1999 (0.69%)
1998127 Apr 1998 (4.93%)
1996301 Oct 1996 (2.89%), 17 Oct 1996 (-1.64%), 05 Dec 1996 (0.46%)
1995122 Nov 1995 (0.73%)



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