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

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In this study, we evaluate the performance of strategy "Sell IVRCLINFRA 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 IVRCLINFRA at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at 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
170846.4625187726003.2415964.52-5315.97-12121.211.132.90.122833.86
215501725205809203.229416.11-5809.48-10353.171.586.340.26200.66
3186950252058011042.6826755.36-6780.68-11641.221.636.510.217478.01
4201915251967612463.9229268.29-5816.61-16158.682.146.790.228076.59
5243830252148412992.3338580.93-7252.11-17997.11.799.410.249753.22
6264302252238813833.0147302.29-13341.46-25979.681.047.60.2210572.08
7243601252058014294.3639833.35-8457.14-25882.921.696.760.29744.06
8229926252058014133.3139666.36-10548.02-22302.851.345.360.29197.05
9243555252058015458.9943652.36-13125.01-30115.831.184.710.189742.19
10233844252148414608.2643489.34-18232.37-35907.340.84.210.169353.76

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 9.41. Strategy is very good and impressively bearish. Percentage of profitable trades is 84%, which is excellent. Average return per trade is 4.88%, 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.
IVRCLINFRA Performance, X=5, Profit Factor:9.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012417 May 2012, 20 Jul 2012, 07 Aug 2012, 01 Oct 2012
2010928 Jan 2010, 18 Mar 2010, 15 Apr 2010, 27 Jul 2010, 04 Aug 2010, 05 Aug 2010, 09 Aug 2010, 27 Sep 2010, 28 Sep 2010
2008305 Mar 2008, 07 Mar 2008, 07 May 2008
2007126 Mar 2007
2006104 Aug 2006
2003413 Jan 2003, 14 Jan 2003, 28 May 2003, 18 Jun 2003
2001324 Jan 2001, 25 Jan 2001, 02 May 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-15243830252148412992.3338580.93-7252.11-17997.11.799.410.249753.22
200nil31.5273144.57251213489105.5211945.5-2778.59-3776.623.283.020.142925.78
200trail31.5273144.57251213489105.5211945.5-2778.59-3776.623.283.020.142925.78
atrtrail24.361669142515106017013.3734063.81-8828.68-16016.421.932.890.136676.55
200nil21.1645865.63251312526072.277963.67-2756.16-3776.622.22.390.111834.63
200trail21.1645865.63251312526072.277963.67-2756.16-3776.622.22.390.111834.63
200trail-12.448240.77251015408828.0220842.57-2669.3-3776.623.312.20.0781929.63
atrnil24.921425232513125220408.334063.81-10232.11-16016.421.992.160.15700.9
atrtrail35.3276043.52515106010955.3531372.64-8828.68-16016.421.241.860.0723041.74
atrtrail-15.3666777.682515106010337.6322106.82-8828.68-16016.421.171.760.0682671.11
atrnil310.5686782.86259163628518.5137137.34-10617.73-17031.92.691.510.053471.31

In the table above, row 1 shows the best exit criterion. Profit factor is 9.41. Strategy is very good and impressively bearish. Percentage of profitable trades is 84%, which is excellent. Average return per trade is 4.88%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.