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

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In this study, we evaluate the performance of strategy "Sell SHREECEM 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 SHREECEM 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
1-62267.6854252946.3263712478.34-4420.44-33962.260.60.51-0.039-1153.11
2-66878.49542727504134.8412119.19-6611.83-43665.770.630.63-0.029-1238.49
3-20684.85542727504716.5714384.75-5482.68-32432.430.860.86-0.01-383.05
4-88255.8654292553.74605.6516379.31-8872.78-45045.050.520.6-0.033-1634.37
5-51861.66542727506335.8316838.16-8256.63-29649.60.770.77-0.021-960.4
6-1500.8154302455.566669.2325671.64-8399.07-20485.180.790.99-0.00061-27.79
7-66737.2454243044.447602.6620895.52-8306.7-21834.80.920.73-0.025-1235.87
8-74732.254223240.748740.5426688.63-8344.5-20945.761.050.72-0.026-1383.93
9-10063154233142.598496.9726193.78-9550.37-28537.580.890.66-0.032-1863.54
10-10284954233142.599157.6834102.14-10112.11-27922.770.910.67-0.031-1904.61
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
200nil21.65-11047999217821.215550.247373.49-2910.69-3983.271.910.51-0.066-1115.95
atrtrail25.34-17212467175025.379790.720042.14-6771.32-21812.621.450.49-0.062-2569.02
200nil31.88-12455898148414.298431.4111060.24-2888.06-3983.272.920.49-0.066-1271
200trail31.75-1267271001585157259.111060.24-2771.92-3944.712.620.46-0.07-1267.27
atrnil28.26-23468157114619.317809.8346158.84-9360.62-26697.721.90.45-0.07-4117.2
200trail21.53-126242101198218.815403.787373.49-2791.63-3944.711.940.45-0.08-1249.92
atrtrail-16-18723267175025.378901.9931569.4-6771.32-21812.621.310.45-0.066-2794.51
atrtrail35.69-18823667175025.378842.9427998.56-6771.32-21812.621.310.44-0.067-2809.49
atrnil311.18-2725215564910.9130057.0769238.26-9242.11-26697.723.250.4-0.072-4954.93
200trail-12.22-14427899128712.127628.9120239.58-2710.63-3944.712.810.39-0.073-1457.35

In the table above, row 1 shows the best exit criterion. Profit factor is 0.51. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.513

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019510 Jan 2019 (2.2%), 11 Sep 2019 (-1.02%), 01 Oct 2019 (3.06%), 14 Oct 2019 (2.6%), 18 Oct 2019 (-1.52%)
20181101 Jan 2018 (-1.32%), 04 Jan 2018 (-1.18%), 12 Jul 2018 (3.66%), 27 Jul 2018 (-1.53%), 31 Jul 2018 (-1.86%), 16 Aug 2018 (-1.38%), 11 Sep 2018 (2.44%), 18 Sep 2018 (-1.97%), 29 Nov 2018 (-1.6%), 30 Nov 2018 (-1.1%), 05 Dec 2018 (2.99%)
2017511 Jan 2017 (-1.28%), 12 Jan 2017 (-1.83%), 16 Feb 2017 (-1.15%), 13 Dec 2017 (-1.93%), 15 Dec 2017 (-1.63%)
2016405 Jan 2016 (-1.43%), 08 Jan 2016 (2.44%), 04 Mar 2016 (-1.62%), 15 Dec 2016 (2.71%)
2015324 Nov 2015 (-1.26%), 30 Nov 2015 (-1.56%), 04 Dec 2015 (2.51%)
2014330 Jan 2014 (-1.06%), 05 Feb 2014 (-1.86%), 07 Feb 2014 (-1.71%)
20131126 Jul 2013 (-1.57%), 09 Oct 2013 (-1.19%), 10 Oct 2013 (-1.52%), 13 Nov 2013 (-1.5%), 20 Nov 2013 (2.29%), 04 Dec 2013 (-1.01%), 05 Dec 2013 (-1.42%), 10 Dec 2013 (-1.3%), 16 Dec 2013 (-1.79%), 17 Dec 2013 (-1.16%), 20 Dec 2013 (-1.43%)
2011404 May 2011 (2.9%), 23 Sep 2011 (-1.12%), 26 Sep 2011 (-1.16%), 29 Sep 2011 (-1.2%)
20101202 Jul 2010 (-1.34%), 05 Jul 2010 (-1.5%), 07 Sep 2010 (-1.23%), 08 Sep 2010 (-1.92%), 13 Sep 2010 (-1.05%), 17 Sep 2010 (-1.51%), 20 Sep 2010 (3.3%), 21 Sep 2010 (-1.68%), 11 Oct 2010 (-1.25%), 12 Oct 2010 (-1.99%), 24 Nov 2010 (2.86%), 30 Nov 2010 (-1.58%)
2009126 Feb 2009 (-1.35%)
2008324 Jan 2008 (-1.21%), 29 Jan 2008 (-1.42%), 05 Feb 2008 (3.65%)
2007807 Jun 2007 (-1.31%), 08 Jun 2007 (-1.4%), 20 Jun 2007 (-1.33%), 21 Jun 2007 (-1.13%), 27 Jul 2007 (-1.77%), 28 Aug 2007 (2.04%), 30 Aug 2007 (-1.38%), 31 Aug 2007 (-1.24%)
2003405 Mar 2003 (2.24%), 07 Apr 2003 (-1.93%), 09 Apr 2003 (-1.04%), 21 Apr 2003 (-1.51%)
2002902 Aug 2002 (-1.82%), 20 Aug 2002 (-1.44%), 21 Aug 2002 (-1.54%), 13 Sep 2002 (-1.67%), 20 Sep 2002 (2.21%), 04 Oct 2002 (-1.34%), 10 Oct 2002 (-1.59%), 23 Oct 2002 (2.59%), 01 Nov 2002 (-1.9%)
1999316 Feb 1999 (-1.68%), 25 Feb 1999 (-1.81%), 26 Feb 1999 (-1.27%)
1998725 Mar 1998 (-1.61%), 02 Apr 1998 (-1.15%), 25 Jun 1998 (-1.66%), 24 Jul 1998 (3.69%), 24 Aug 1998 (-1.84%), 22 Oct 1998 (-1.57%), 20 Nov 1998 (3.29%)
1997201 Jul 1997 (-1.26%), 11 Jul 1997 (-1.2%)
1996216 Feb 1996 (-1.89%), 25 Apr 1996 (2.6%)
1995221 Dec 1995 (-1.0%), 22 Dec 1995 (-1.0%)



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