Study: Buy SHREECEM when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SHREECEM when above 200 SMA and RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1-3288.8483537.55311.316880.96-3844.55-9957.911.380.83-0.016-411.1
2-4984.35826256989.017187.46-3160.39-10736.332.210.74-0.023-623.04
37845.68844504872.198676.01-2910.77-6304.021.671.670.045980.71
4-4967.13844505482.8911291.44-6724.67-22559.850.820.82-0.014-620.89
51696.6844508784.1713353.88-8360.02-23730.61.051.050.0039212.08
62849.0185362.58686.9515414.17-13528.58-21943.380.641.070.006356.13
7-10677.4883537.515999.0422000.34-11734.92-32780.481.360.82-0.017-1334.68
810696.488445016719.225213.21-14045.09-32085.791.191.190.0161337.06
9-14143.688445017297.2821671.03-20833.2-38476.90.830.83-0.018-1767.96
10-8152.48445020964.8624343.49-23002.96-39154.220.910.91-0.0092-1019.05
Although, strategy looks good but profit factor on day 2 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
atrtrail33.41-22884.421741323.5322624.5650404.63-8721.74-14628.322.590.8-0.017-1346.14
atrnil33.59-45754.831731417.6529949.7450404.63-9686-14628.323.090.66-0.034-2691.46
atrtrail-14.18-50934.521741323.5315612.0432541.42-8721.74-14628.321.790.55-0.051-2996.15
atrtrail22.88-52834.171741323.5315137.1333603.09-8721.74-14628.321.740.53-0.053-3107.89
atrnil23.06-75704.571731417.6519966.533603.09-9686-14628.322.060.44-0.075-4453.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 -0.67%, 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:0.798

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019220 Aug 2019 (-3.26%), 22 Aug 2019 (0.32%)
2017127 Jun 2017 (9.31%)
2016115 Nov 2016 (-6.3%)
2012418 May 2012 (-2.01%), 29 May 2012 (-2.74%), 31 May 2012 (-3.1%), 04 Jun 2012 (10.42%)
2007714 Feb 2007 (-0.68%), 23 Feb 2007 (-4.52%), 28 Feb 2007 (-5.28%), 01 Mar 2007 (-2.61%), 05 Mar 2007 (-5.88%), 07 Mar 2007 (-6.37%), 08 Mar 2007 (-6.62%)
2006207 Jun 2006 (-7.31%), 13 Jun 2006 (25.2%)



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