Study: Sell TVSMOTOR 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 TVSMOTOR 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 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
119886.8337201754.053375.7912637.68-2801.71-12824.681.21.420.028537.48
217229.6137201754.054453.1114260.87-4225.45-14448.051.051.240.019465.67
36418.1237251267.574990.8714807.5-9862.8-19150.710.511.050.0048173.46
4-27957.9837201754.056164.8117391.3-8897.3-20982.510.690.82-0.018-755.62
5-16281.0937211656.766747.216903.63-9873.26-20957.310.680.9-0.01-440.03
61558.2737221559.466932.2425750.39-10063.4-21216.040.691.010.0009542.12
7-6287.0237191851.358595.1927804.11-9421.98-22509.70.910.96-0.0035-169.92
84080.1237181948.659641.4925924.58-8919.3-19922.381.081.020.0023110.27
9-12076.0537211656.768838.325074.04-12355.02-42631.140.720.94-0.0057-326.38
10-40666.3737201754.0510492.0128751.97-14735.68-36802.660.710.84-0.016-1099.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.

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-1119886.8337201754.053375.7912637.68-2801.71-12824.681.21.420.028537.48
50trail21.67-13795.06702149305885.757918.11-2804-3841.972.10.9-0.011-197.07
50nil21.75-15005.5868214730.885885.757918.11-2949.07-3965.120.89-0.012-220.67
50trail32.01-16392.0767155222.398300.5511877.17-2709.62-3841.973.060.88-0.012-244.66
atrnil26.55-29437.2240132732.516744.525144.35-9152.44-21573.221.830.88-0.013-735.93
50nil32.17-32250.28651352209170.3111877.17-2912.78-3965.13.150.79-0.023-496.16
atrnil311.15-70812.753372621.2123903.3131989.68-9159.07-21573.222.610.7-0.035-2145.84
50trail-12.69-46014.65651352207165.0322076.63-2676.16-3841.972.680.67-0.033-707.92
atrtrail35.29-74116.942113126.1910647.7625305.56-6169.1-11862.091.730.61-0.045-1764.69
atrtrail24.88-82183.1742113126.199914.4625144.35-6169.1-11862.091.610.57-0.053-1956.74
atrtrail-15.67-10559742113126.197785.9219935.61-6169.1-11862.091.260.45-0.077-2514.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 54.05%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, X=1, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Jan 2019 (0.32%), 11 Mar 2019 (1.75%), 03 Apr 2019 (-0.61%)
2018409 Apr 2018 (1.1%), 09 Jul 2018 (0.62%), 06 Nov 2018 (-0.35%), 07 Dec 2018 (-1.17%)
2015317 Jun 2015 (-0.09%), 27 Jul 2015 (3.63%), 18 Sep 2015 (0.87%)
2013223 May 2013 (-0.68%), 12 Aug 2013 (0.62%)
2012431 Jan 2012 (-0.29%), 22 Feb 2012 (0.59%), 13 Sep 2012 (-3.36%), 25 Oct 2012 (-2.36%)
2011529 Apr 2011 (-0.27%), 14 Jun 2011 (1.36%), 30 Jun 2011 (0.47%), 02 Aug 2011 (-1.72%), 17 Aug 2011 (3.56%)
2008116 Sep 2008 (-1.31%)
2007625 Apr 2007 (-2.96%), 13 Jun 2007 (-6.41%), 27 Jun 2007 (-0.32%), 13 Jul 2007 (0.79%), 28 Aug 2007 (1.58%), 11 Oct 2007 (2.37%)
2005309 May 2005 (-0.36%), 24 May 2005 (-0.79%), 17 Jun 2005 (0.35%)
2004121 Oct 2004 (4.77%)
2003107 May 2003 (-0.78%)
2002105 Nov 2002 (0.63%)
2001303 Jul 2001 (1.84%), 31 Jul 2001 (0.22%), 03 Oct 2001 (6.32%)



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