Study: Sell RPOWER when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell RPOWER when below 200 SMA and near 50 SMA and below 50 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 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
14339.7720911453556.9510776.55-2515.71-8320.951.411.160.016216.99
210697.120119554126.49726.96-3854.81-14264.491.071.310.03534.86
3-33369.3720911453512.69631.73-5907.52-18424.960.590.49-0.079-1668.47
4-34937.5920911455766.7611497.98-7894.41-28826.150.730.6-0.054-1746.88
5-41337.9420911456733.3912788.34-9267.13-33783.340.730.59-0.055-2066.9
6-47676.1920911458267.6716689.47-11098.65-32540.860.740.61-0.056-2383.81
7-78645.62201010507459.2313953.49-15323.79-56017.830.490.49-0.072-3932.28
8-51662.1120119559347.1113315.4-17164.48-59435.360.540.67-0.044-2583.11
9-17276.93201376510519.618620.69-22004.53-62852.90.480.89-0.013-863.85
10-42694.62201286011116.7621724.14-22011.97-75334.320.510.76-0.03-2134.73
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
atrtrail-15.747803.1527111640.7412159.2931280.93-5371.82-8986.452.261.560.0461770.49
atrtrail34.727178.2627111640.7410284.326920.47-5371.82-8986.451.911.320.0311006.6
atrtrail24.0725468.6927111640.7410128.8917946.98-5371.82-8986.451.891.30.033943.28
50nil32.41557930921309105.2111527.91-3160.38-3849.032.881.230.027519.3
50trail-13.6912012.282982127.599134.5128625.46-2907.8-3849.033.141.20.017414.22
50trail32.27441.430921306833.9110887.48-2907.8-3849.032.351.010.0009114.71
atrnil36.92-5160.38246182520074.0726920.47-6978.04-9144.222.880.96-0.0054-215.02
atrnil25.08-5473.69258173213908.2417946.98-6867.03-9144.222.030.95-0.0067-218.95
50trail22.1-6432.5330921306070.147685.27-2907.8-3849.032.090.89-0.015-214.42
50nil22.1-11736.6230921306070.147685.27-3160.38-3849.031.920.82-0.027-391.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 40.74%, which is not acceptable. Avoid this strategy. Average return per trade is 0.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018113 Aug 2018 (-2.5%)
2017415 Feb 2017 (-2.88%), 09 Oct 2017 (-0.48%), 13 Oct 2017 (1.21%), 25 Oct 2017 (-1.37%)
2015402 Mar 2015 (2.86%), 23 Apr 2015 (1.82%), 09 Dec 2015 (-4.21%), 14 Dec 2015 (-3.82%)
2014420 Mar 2014 (-2.93%), 08 May 2014 (-2.93%), 17 Nov 2014 (-3.33%), 19 Nov 2014 (15.36%)
2013702 Jan 2013 (-2.51%), 10 Jan 2013 (1.02%), 23 Jan 2013 (2.34%), 25 Jan 2013 (13.62%), 04 Oct 2013 (-4.14%), 12 Nov 2013 (-1.52%), 25 Nov 2013 (-1.65%)
2011403 May 2011 (8.84%), 15 Jul 2011 (-1.47%), 29 Nov 2011 (-2.74%), 05 Dec 2011 (15.64%)
2010322 Jan 2010 (1.25%), 10 May 2010 (2.93%), 08 Jun 2010 (-4.49%)



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