Study: Sell RPOWER when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell RPOWER when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell RPOWER 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
14340.83361818503309.4517862.94-3068.29-10875.191.081.080.0074120.58
2-18167.836152141.676075.0815330.19-5204.47-11251.281.170.83-0.024-504.66
3-31507.8836132336.116658.9112211.76-5133.64-12931.031.30.73-0.039-875.22
4-64273.2236162044.445622.919575.47-7711.98-21205.140.730.58-0.064-1785.37
5-95820.9936152141.675984.7715330.19-8837.74-33783.340.680.48-0.077-2661.69
6-84710.336122433.337802.8514386.79-7431.02-30293.051.050.53-0.073-2353.06
7-60638.5636132336.118551.6923927.77-7470.03-31807.71.140.65-0.048-1684.4
8-73456.7436142238.898745.3125282.17-8904.14-36276.850.980.63-0.054-2040.46
9-53839.5936171947.228234.7519413.09-10201.59-25551.530.810.72-0.039-1495.54
10-28653.3436152141.6711633.5626666.67-9674.13-37231.51.20.86-0.018-795.93

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.08. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.06%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0074, 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-114340.83361818503309.4517862.94-3068.29-10875.191.081.080.0074120.58
atrnil39.12-93412.014073317.522642.3433809.74-7633.59-16684.272.970.63-0.058-2335.3
200nil21.84-61963.9258124620.695761.917202.42-2850.15-3931.62.020.53-0.09-1068.34
200trail21.78-67485.8360114918.335842.277202.42-2688.79-3931.62.170.49-0.099-1124.76
200trail31.92-70317.1160105016.676443.4710190.14-2695.04-3931.62.390.48-0.095-1171.95
atrnil25.83-1329344183319.5115066.1222539.82-7680.68-16684.271.960.48-0.1-3242.28
200trail-12.3-70917.5460105016.676383.4221027.09-2695.04-3931.62.370.47-0.081-1181.96
200nil32.12-78531.555885013.79817010190.14-2877.83-3931.62.840.45-0.1-1353.99
atrtrail-14.44-136185481236257653.6720685.9-6334.15-16684.271.210.4-0.11-2837.19
atrtrail23.83-138458481236257464.2622539.82-6334.15-16684.271.180.39-0.12-2884.55
atrtrail34.25-142133481236257158.0417666.82-6334.15-16684.271.130.38-0.12-2961.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.06%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0074, 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.
RPOWER Performance, X=1, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (4.58%), 05 Mar 2018 (2.83%)
2017728 Feb 2017 (0.21%), 22 Mar 2017 (-1.48%), 18 Apr 2017 (-0.11%), 08 May 2017 (-1.6%), 14 Jul 2017 (0.56%), 01 Aug 2017 (0.68%), 18 Sep 2017 (-0.46%)
2016320 Jan 2016 (-0.72%), 04 Mar 2016 (-0.21%), 28 Mar 2016 (0.65%)
2015320 Oct 2015 (1.27%), 17 Nov 2015 (1.01%), 08 Dec 2015 (1.22%)
2014228 Mar 2014 (-2.69%), 01 Sep 2014 (1.28%)
2013224 Oct 2013 (1.69%), 13 Dec 2013 (1.2%)
2012627 Jan 2012 (0.51%), 04 May 2012 (-5.44%), 06 Jun 2012 (-2.14%), 28 Sep 2012 (-0.31%), 16 Oct 2012 (-1.15%), 06 Dec 2012 (-0.5%)
2011103 Jan 2011 (0.22%)
2010619 Apr 2010 (-0.91%), 06 May 2010 (8.93%), 08 Jun 2010 (-0.26%), 16 Aug 2010 (-0.89%), 30 Aug 2010 (0.23%), 25 Nov 2010 (0.19%)
2009329 Oct 2009 (2.53%), 13 Nov 2009 (-5.33%), 01 Dec 2009 (-0.51%)
2008103 Dec 2008 (-2.91%)



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