Study: Sell VGUARD 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 VGUARD 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 VGUARD 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
1-5937.242113861.91270.042861.99-2805.97-5440.10.450.74-0.036-282.73
2-13600.462113861.92045.483544.93-5023.96-12163.810.410.66-0.045-647.64
3-28355.652112957.143321.926813.13-7579.85-20476.770.440.58-0.056-1350.27
4-29340.022113861.94118.9313763.28-10360.76-32162.960.40.65-0.043-1397.14
5-31722.882112957.144856.1213870.05-9999.59-32055.750.490.65-0.043-1510.61
6-13802.62114766.675158.0514236.32-12287.89-28517.820.420.84-0.019-657.27
7-5661.992113861.96477.2713248.45-11233.3-303940.580.94-0.0076-269.62
8-14762.632112957.147508.1114923.25-11651.1-31144.470.640.86-0.017-702.98
9-22674.772113861.97096.811862.69-14366.64-31198.070.490.8-0.025-1079.75
10-17006.622114766.676800.0316776.32-16029.57-31491.880.420.85-0.018-809.84
Although, strategy looks good but profit factor on day 3 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
50nil23.154290933141942.426706.087962.67-2682.96-3899.412.51.840.0831300.27
atrnil26.6839943.7822101245.4512013.820241.43-6682.85-10413.791.81.50.0571815.63
50nil34.8623618.632882028.579892.3111944.01-2775.99-3893.793.561.430.044843.52
atrtrail35.8823314.3124101441.679177.9720201.27-4890.38-7398.761.881.340.034971.43
50trail22.8211817.3633122136.365012.057424.91-2301.3-3737.212.181.240.028358.1
atrnil39.710343.82206143017492.3120895.51-6757.86-10413.792.591.110.014517.19
atrtrail-17.217313.1424101441.677577.8534051.05-4890.38-7398.761.551.110.011304.71
atrtrail25.54-3699.5524101441.676476.5813467.51-4890.38-7398.761.320.95-0.0071-154.15
50trail33.38-5688.113292328.124981.6411137.37-2196.65-3737.212.270.89-0.013-177.75
50trail-13.88-19157.663292328.123485.029549.94-2196.65-3737.211.590.62-0.056-598.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 42.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.083, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
VGUARD Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Jan 2019 (3.01%)
2018424 Jul 2018 (-1.77%), 26 Jul 2018 (-1.05%), 05 Sep 2018 (-1.52%), 06 Sep 2018 (-1.1%)
2016412 Jan 2016 (3.15%), 02 Feb 2016 (2.63%), 03 Feb 2016 (2.99%), 22 Mar 2016 (-1.32%)
2015629 May 2015 (3.71%), 24 Jun 2015 (3.89%), 09 Jul 2015 (-1.23%), 14 Oct 2015 (-1.87%), 23 Oct 2015 (-1.04%), 27 Oct 2015 (3.18%)
2014302 Jan 2014 (3.08%), 10 Mar 2014 (-1.4%), 19 Mar 2014 (-1.01%)
2013228 Nov 2013 (3.98%), 16 Dec 2013 (3.66%)
2012718 Jan 2012 (-1.02%), 09 Apr 2012 (-1.43%), 12 Apr 2012 (-1.15%), 16 Apr 2012 (-1.46%), 02 May 2012 (3.34%), 08 May 2012 (-1.95%), 25 May 2012 (-1.41%)
2011130 Mar 2011 (-1.13%)
2009515 Jan 2009 (-1.6%), 16 Jan 2009 (3.67%), 28 Jan 2009 (3.59%), 03 Feb 2009 (-1.04%), 04 Feb 2009 (3.05%)



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