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

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In this study, we evaluate the performance of strategy "Sell TVSMOTOR 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 TVSMOTOR 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
122941.633223971.882599.067095.93-4092.97-9122.010.641.620.044716.93
24577.5432151746.88565716742.08-4722.2-21214.541.21.060.0046143.05
3-7047.52321616506041.4418735.36-6481.91-17099.480.930.93-0.0065-220.23
4-51322.8932181456.255262.7114832.16-10432.26-26612.90.50.65-0.038-1603.84
5-67219.532151746.885822.8115417.38-9091.86-21114.750.640.57-0.052-2100.61
6-50380.8131151648.397617.4718827.71-10290.18-20957.310.740.69-0.034-1625.19
7-89567.0731141745.168748.6823445.83-12473.45-30043.950.70.58-0.051-2889.26
8-86259.2831151648.399167.9126998.22-13986.12-40918.030.660.61-0.043-2782.56
9-44782.0831171454.849804.1122088.35-15103.71-44721.310.650.79-0.022-1444.58
10-18643.2431161551.6112442.9525188.54-14515.36-41180.330.860.91-0.0084-601.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.62. 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 71.88%, which is good. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1122941.633223971.882599.067095.93-4092.97-9122.010.641.620.044716.93
atrnil38.4610985435122334.2925949.8636099.05-8762.79-16207.532.961.550.0433138.69
atrtrail34.4955294.0643152834.8813929.3129938.7-5487.34-11762.252.541.360.0261285.91
atrtrail23.7430236.3843152834.8812258.824066.03-5487.34-11762.252.231.20.017703.17
atrnil26.0333309.1735132237.1417366.8124066.03-8748.15-16207.531.991.170.017951.69
atrtrail-15.122097.5843152834.8810382.8826932.81-5487.34-11762.251.891.010.001248.78
200trail-12.63-9399.2154104418.5211738.0832263.29-2881.36-3860.114.070.93-0.0058-174.06
200nil21.71-19899.7255163929.096226.17901.76-3064.55-3879.742.030.83-0.019-361.81
200trail21.55-28806.0256154126.796114.397736.1-2939.56-3860.112.080.76-0.029-514.39
200trail31.85-31584.9954114320.378411.4611378.73-2886.3-3860.112.910.75-0.028-584.91
200nil32.1-38129.8452104219.239121.1611852.63-3079.56-3879.742.960.71-0.035-733.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 71.88%, which is good. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, X=1, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Oct 2019 (-2.51%), 07 Nov 2019 (-0.69%)
2018421 Feb 2018 (0.92%), 08 Mar 2018 (0.05%), 23 Apr 2018 (0.09%), 17 Dec 2018 (0.1%)
2016127 Jul 2016 (-0.73%)
2015222 Apr 2015 (1.75%), 23 Oct 2015 (2.22%)
2013227 Feb 2013 (1.54%), 13 May 2013 (2.78%)
2012318 Sep 2012 (-2.04%), 11 Oct 2012 (-1.59%), 14 Dec 2012 (-3.36%)
2011212 Jan 2011 (1.48%), 08 Dec 2011 (0.71%)
2007204 Oct 2007 (1.66%), 21 Nov 2007 (3.31%)
2006215 Sep 2006 (0.17%), 19 Oct 2006 (0.6%)
2005631 Jan 2005 (0.52%), 24 Feb 2005 (2.34%), 15 Mar 2005 (2.14%), 02 Jun 2005 (2.12%), 27 Jun 2005 (3.55%), 29 Aug 2005 (0.39%)
2004307 Apr 2004 (-4.56%), 24 Sep 2004 (0.23%), 16 Nov 2004 (-0.86%)
2003106 May 2003 (0.58%)
2002105 Nov 2002 (0.63%)
2001118 May 2001 (-2.08%)



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