Study: Sell RPOWER 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 RPOWER 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 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
1-19050.411688503260.479154.93-5641.77-10875.190.580.58-0.065-1190.65
2-2962.331688505743.1515330.19-6113.44-14316.70.940.94-0.0076-185.15
3-26475.291651131.257577.3711556.6-5851.1-17787.421.30.59-0.064-1654.71
4-53353.081661037.56552.2919575.47-9266.68-21041.210.710.42-0.1-3334.57
5-77372.841651131.256718.1315330.19-10087.59-25680.190.670.3-0.14-4835.8
6-67954.0416412258458.1214386.79-8482.21-22911.6910.33-0.13-4247.13
7-64179.1216412257735.0112500-7926.6-29116.950.980.33-0.12-4011.19
8-70333.741661037.55862.1212843.09-10550.64-36276.850.560.33-0.11-4395.86
9-33926.29169756.256095.2415094.34-12683.35-25693.730.480.62-0.054-2120.39
10-32567.091688508874.1818632.08-12945.07-37231.50.690.69-0.041-2035.44
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
atrnil311.71-11673.51741323.5325721.6833809.74-8812.32-16684.272.920.9-0.013-686.68
atrnil27.06-45969.071741323.5317147.7922539.82-8812.32-16684.271.950.6-0.07-2704.06
200trail31.79-26483.312442016.677535.4610190.14-2831.26-3931.62.660.53-0.079-1103.47
200nil32-32146.352432112.59643.7210190.14-2908.45-3931.63.320.47-0.096-1339.43
200trail21.71-31108.432442016.676379.186793.43-2831.26-3931.62.250.45-0.11-1296.18
200nil21.71-32446.142442016.676379.186793.43-2898.14-3931.62.20.44-0.12-1351.92
200trail-12.12-34657.612442016.675491.8913638.71-2831.26-3931.61.940.39-0.12-1444.07
atrtrail24-61814.241841422.228998.2522539.82-6986.23-16684.271.290.37-0.12-3434.12
atrtrail34.22-70626.551841422.226795.1815660.8-6986.23-16684.270.970.28-0.16-3923.7
atrtrail-14.33-72584.041841422.226305.813703.31-6986.23-16684.270.90.26-0.17-4032.45

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 23.53%, which is not acceptable. Avoid this strategy. Average return per trade is -0.34%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RPOWER Performance, Profit Factor:0.898

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (-7.11%), 05 Mar 2018 (16.9%)
2017208 May 2017 (-2.91%), 18 May 2017 (7.83%)
2016220 Jan 2016 (-6.3%), 29 Mar 2016 (-3.57%)
2015114 Dec 2015 (-4.19%)
2014101 Sep 2014 (12.88%)
2013113 Dec 2013 (-3.08%)
2012104 May 2012 (-4.97%)
2010216 Aug 2010 (-2.59%), 25 Nov 2010 (13.83%)
2009429 Oct 2009 (-3.36%), 12 Nov 2009 (-3.65%), 08 Dec 2009 (-3.58%), 11 Dec 2009 (-3.62%)
2008103 Dec 2008 (-8.34%)



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