Study: Sell SHREECEM when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell SHREECEM when there is Dead Cross (50 DMA < 200 DMA)" 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
118659.33169756.254031.0314550.64-2517.14-6866.011.62.060.0521166.21
219647.321611568.754228.412838.8-5373.01-15295.470.791.730.0421227.96
3-2324.66167943.755034.9910909.09-4174.4-21188.431.210.94-0.0044-145.29
4-1421.26169756.255640.4818181.82-7455.08-21319.630.760.97-0.0021-88.83
5-30594.73167943.756665.1913096.56-8583.45-24719.840.780.6-0.04-1912.17
6-39150.41169756.256972.7914015.77-14557.93-27027.030.480.62-0.041-2446.9
7-64549.06169756.256716.725962.91-17857.05-44324.320.380.48-0.051-4034.32
8-59200.141688508253.2623680.46-15653.28-30678.40.530.53-0.051-3700.01
9-60606.461688508355.7120568.01-15931.51-29716.280.520.52-0.052-3787.9
10-67124.53167943.7512078.3827104.14-16852.58-32432.430.720.56-0.05-4195.28

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.06. 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 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SHREECEM Performance, X=1, Profit Factor:2.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Oct 2019 (0.46%)
2018126 Oct 2018 (0.43%)
2017205 Jan 2017 (-1.0%), 28 Dec 2017 (-0.55%)
2016114 Jan 2016 (3.84%)
2013121 Aug 2013 (1.2%)
2011119 Jan 2011 (0.82%)
2010126 Jul 2010 (-0.77%)
2008119 Feb 2008 (0.82%)
2007113 Apr 2007 (-3.43%)
2003124 Apr 2003 (-0.69%)
2002127 Sep 2002 (2.0%)
2000110 Mar 2000 (7.28%)
1999108 Apr 1999 (1.3%)
1998118 Dec 1998 (-1.35%)
1995126 Dec 1995 (-1.02%)

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-1118659.33169756.254031.0314550.64-2517.14-6866.011.62.060.0521166.21
atrtrail26.076285.411551033.3314253.3129446.64-6498.11-11302.522.191.10.0079419.03
atrtrail36.334277.691551033.3313851.7644169.96-6498.11-11302.522.131.070.0045285.18
atrtrail-16.73-8714.691551033.3311253.2931177.58-6498.11-11302.521.730.87-0.012-580.98
atrnil28.4-21951.351541126.6720474.7829446.64-9440.95-21234.092.170.79-0.022-1463.42
atrnil39.73-59355.291521313.3332041.7944169.96-9495.3-21234.093.370.52-0.054-3957.02

In the table above, row 1 shows the best exit criterion. Profit factor is 2.06. 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 56.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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