Study: Sell IOB when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell IOB when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell IOB 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
137049.771911857.894675.577649.72-1797.69-2735.042.63.580.141949.99
258822.041914573.685403.7813801.17-3366.17-5470.091.614.490.163095.9
383820.251913668.427140.0721495.33-1500.11-3921.574.7610.310.174411.59
473108.111913668.427571.5523436.38-4220.33-13276.231.793.890.123847.8
592501.341913668.429502.7325730.99-5172.37-12121.211.843.980.134868.49
61400611915478.9511084.5733141.62-6552.02-11991.431.696.340.157371.61
71202411911857.8913761.5535082.67-3892.05-12205.573.544.860.126328.45
81268861912763.1614965.5134004.31-7528.55-19876.471.993.410.116678.22
91161411912763.1616844.3938173.98-12284.59-38115.631.372.350.0796112.66
101074291911857.8918212.5437670.74-11613.67-41327.621.572.160.0745654.14

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 10.31. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.42%, which is good. Average return per trade is 2.21%, 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.
IOB Performance, X=3, Profit Factor:10.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016116 May 2016 (+)
2015428 Jan 2015 (+), 01 Jun 2015 (+), 10 Aug 2015 (+), 23 Oct 2015 (+)
2014114 Mar 2014 (+)
2013112 Dec 2013 (+)
2012523 Mar 2012 (+), 21 Jun 2012 (+), 16 Jul 2012 (-), 29 Oct 2012 (+), 12 Nov 2012 (-)
2011114 Nov 2011 (+)
2010111 May 2010 (-)
2008222 May 2008 (+), 21 Aug 2008 (-)
2004121 Oct 2004 (-)
2001229 Oct 2001 (+), 21 Nov 2001 (-)

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-1383820.251913668.427140.0721495.33-1500.11-3921.574.7610.310.174411.59
50trail-14.0710791428131546.4311368.3134450.04-2658.26-3738.354.283.710.0893854.08
50trail32.2164563.06281414507301.4811810.74-2689.83-3738.352.712.710.112305.82
atrtrail-1666228.712391439.1312479.8143036.84-3292.11-6875.213.792.440.0652879.51
atrtrail34.7856582.142391439.1311407.9724550.2-3292.11-6875.213.472.230.0692460.09
50trail21.7347701.5301515505950.347885.87-2770.24-38962.152.150.0911590.05
50nil32.3748837.0127111640.748833.4111810.74-3020.65-3942.932.922.010.0781808.78
50nil21.7743827.02301515505950.347885.87-3028.54-3902.371.961.960.0821460.9
atrnil310.3690317.222291340.9120962.0525976.98-7564.71-12047.332.771.920.0744105.33
atrnil27.7775064.962211115014320.7518661.69-7496.66-12047.331.911.910.0793412.04
atrtrail24.5741185.992391439.139697.2816366.8-3292.11-6875.212.951.890.0611790.7

In the table above, row 1 shows the best exit criterion. Profit factor is 10.31. Strategy is very good and impressively bearish. Percentage of profitable trades is 68.42%, which is good. Average return per trade is 2.21%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.