Study: Sell CROMPGREAV when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CROMPGREAV when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CROMPGREAV 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
164915.651310376.928375.4119832.4-6279.5-7159.91.334.450.134993.51
21078341311284.6211994.7236312.85-12054.17-16492.4515.470.148294.89
31423221313010010947.8748882.6800infinf0.210947.87
41560841312192.3113756.0339664.8-8988.76-8988.761.5318.360.2312006.43
5104897138561.5415885.9729888.27-4438.16-6084.663.585.730.158069
6118854139469.231584332122.91-5933.28-13472.712.676.010.159142.61
7114578139469.2316001.7834078.21-7359.59-15098.722.174.890.148813.67
861763.35138561.5414302.2829608.94-10530.99-31591.171.362.170.0614751.03
963964.42138561.5416280.3431284.92-13255.65-35540.071.231.970.0584920.34
1018794.82137653.8518529.3631584.82-18485.12-60859.4711.170.0131445.76

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is inf. Strategy is very good and impressively bearish. Percentage of profitable trades is 100%, which is excellent. Average return per trade is 5.47%, which is very good.
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.
CROMPGREAV Performance, X=3, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016202 Jun 2016 (3.85%), 08 Aug 2016 (2.07%)
2009115 Apr 2009 (3.55%)
2001223 Oct 2001 (5.01%), 19 Nov 2001 (1.53%)
2000107 Nov 2000 (4.89%)
1998407 Jan 1998 (24.44%), 10 Mar 1998 (2.91%), 25 Mar 1998 (2.56%), 23 Sep 1998 (3.81%)
1997306 Mar 1997 (8.64%), 04 Jul 1997 (1.37%), 06 Aug 1997 (6.53%)

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-131423221313010010947.8748882.6800infinf0.210947.87
atrtrail22.8666771.4921101147.6215183.1623111.07-7732.73-11341.311.961.780.0563179.59
atrtrail33.3361129.4521101147.6214618.9529392.46-7732.73-11341.311.891.720.052910.93
atrtrail-13.6753574.9221101147.6213863.537513.77-7732.73-11341.311.791.630.0442551.19
atrnil24.7528043.92208124017890.1223111.07-9589.75-13665.221.871.240.0221402.2
atrnil36.419118.98206143025719.5632505.73-9657.03-13665.222.661.140.013955.95

In the table above, row 1 shows the best exit criterion. Profit factor is inf. Strategy is very good and impressively bearish. Percentage of profitable trades is 100%, which is excellent. Average return per trade is 5.47%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.