Study: Sell SHREECEM when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell SHREECEM when below 200 SMA and near 50 SMA and below 50 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
1-32317.05401822454037.513191.49-4772.36-18081.590.850.69-0.028-807.93
2-29537.2740152537.55946.6914893.62-4749.51-19908.121.250.75-0.022-738.43
3-42994.2840192147.55605.5922175.73-7119.07-20520.670.790.71-0.027-1074.86
4-66287.06401822456864.3428451.88-8629.33-21168.690.80.65-0.035-1657.18
5-38470.45402020507629.5738912.13-9553.09-28665.930.80.8-0.017-961.76
62321.0440192147.58280.3832635.98-7381.25-24035.281.121.010.001258.03
7-24255.7940211952.57513.4231380.75-9580.92-29768.470.780.87-0.011-606.39
8-55745.36402020507226.7432635.98-10014.01-35501.650.720.72-0.025-1393.63
9-87022.32402020507544.5731799.16-11895.69-38809.260.630.63-0.035-2175.56
10-13791240192147.57547.3634728.03-13395.8-38368.250.560.51-0.052-3447.8
Although, strategy looks good but profit factor on day 4 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
50trail-12.68-17672.0760134721.678747.529904.67-2795.52-3991.343.130.87-0.0095-294.53
50nil21.85-40189.9159154425.426285.247806.22-3056.1-3991.342.060.7-0.034-681.18
50trail21.75-44179.8961154624.595941.567806.22-2897.9-3991.342.050.67-0.038-724.26
50nil32.56-45706.4155104518.189201.0611709.33-3060.38-3991.343.010.67-0.036-831.03
atrtrail34.72-69673.15501733348247.7129293.45-6360.13-11138.661.30.67-0.033-1393.46
atrnil38.02-1203854373616.282519736106.59-8243.44-14309.193.060.59-0.046-2799.65
50trail32.08-53306.5760134721.676006.3910385.05-2795.52-3991.342.150.59-0.046-888.44
atrtrail-15-88178.88501634327710.3232795.86-6221.88-11138.661.240.58-0.042-1763.58
atrtrail24.58-90854.86501733347001.7319528.97-6360.13-11138.661.10.57-0.051-1817.1
atrnil27.18-1382604493520.4516564.224071.06-8209.65-14309.192.020.52-0.063-3142.27

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 21.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.865

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Feb 2019 (4.06%), 21 Feb 2019 (-1.78%)
20181001 Jan 2018 (-1.06%), 29 Jan 2018 (3.12%), 05 Apr 2018 (-2.0%), 02 May 2018 (-1.65%), 03 May 2018 (-0.75%), 08 May 2018 (0.54%), 16 May 2018 (0.29%), 06 Jul 2018 (-1.28%), 19 Jul 2018 (-1.04%), 15 Nov 2018 (-1.78%)
2017122 Dec 2017 (-1.66%)
2016201 Feb 2016 (-1.96%), 23 Feb 2016 (-0.11%)
2014230 Jan 2014 (-1.33%), 06 Feb 2014 (-1.43%)
2013327 Sep 2013 (-1.08%), 04 Dec 2013 (-1.25%), 05 Dec 2013 (-1.76%)
2011609 Mar 2011 (-1.68%), 06 May 2011 (-1.17%), 11 May 2011 (-1.07%), 14 Jul 2011 (-1.2%), 02 Aug 2011 (0.94%), 15 Sep 2011 (-1.54%)
2010220 Aug 2010 (1.48%), 01 Sep 2010 (-1.54%)
2008405 Aug 2008 (-1.18%), 18 Aug 2008 (-1.56%), 01 Sep 2008 (-1.38%), 11 Sep 2008 (-1.42%)
2007425 Apr 2007 (-1.8%), 26 Apr 2007 (-1.65%), 27 Apr 2007 (-1.13%), 08 May 2007 (-1.95%)
2003121 Apr 2003 (-1.64%)
2002720 Sep 2002 (1.09%), 09 Oct 2002 (-1.71%), 11 Oct 2002 (-1.33%), 25 Oct 2002 (-1.0%), 01 Nov 2002 (-1.38%), 07 Nov 2002 (-1.52%), 12 Nov 2002 (-1.56%)
2001119 Oct 2001 (-1.68%)
1998127 Jan 1998 (-0.63%)
1997924 Jan 1997 (-1.03%), 29 Jan 1997 (-0.78%), 10 Feb 1997 (-1.76%), 19 Feb 1997 (3.31%), 10 Mar 1997 (14.64%), 28 May 1997 (-1.85%), 16 Jun 1997 (-1.62%), 22 Jul 1997 (-1.24%), 14 Aug 1997 (4.57%)
1996411 Jan 1996 (14.95%), 01 Mar 1996 (4.57%), 18 Dec 1996 (3.3%), 31 Dec 1996 (-1.77%)
1995127 Dec 1995 (-1.0%)



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