Study: Sell PFC 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 PFC 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 PFC 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
135733.18119281.825195.158575.16-5511.57-10501.360.944.240.23248.47
266598.4119281.828484.1318426.1-4879.38-6574.481.747.820.296054.4
367873.13118372.7311423.7521817.02-7838.96-12731.541.463.890.26170.28
480240.42119281.8211700.9819770.02-12534.22-13618.580.934.20.227294.58
553160.58119281.8210014.6820729.37-18485.76-23509.490.542.440.134832.78
679547.22118372.7313996.0829750.48-10807.15-22357.721.33.450.177231.57
780909.6119281.8213105.0427255.28-18517.9-30826.560.713.180.167355.42
81003351110190.9112858.6927350.43-28252.03-28252.030.464.550.219121.35
9115267119281.8215595.2726487.52-12545.21-23577.241.245.590.2510478.82
10141877119281.8218635.632941.18-12921.78-22086.721.446.490.2612897.89

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 7.82. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.82%, which is excellent. Average return per trade is 3.03%, 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.
PFC Performance, X=2, Profit Factor:7.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016119 May 2016 (+)
2015329 May 2015 (+), 26 Jun 2015 (+), 06 Nov 2015 (+)
2013213 May 2013 (-), 30 May 2013 (+)
2011318 Apr 2011 (+), 26 Oct 2011 (-), 15 Dec 2011 (+)
2008209 May 2008 (+), 12 Sep 2008 (+)

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
atrnil26138698119281.8217132.6824122.66-7748.04-8547.362.219.950.412608.91
atrtrail25.64129556119281.8216116.8824122.66-7748.04-8547.362.089.360.3611777.8
50nil33.0961281.49118372.738741.9910992.91-2884.82-3254.743.038.080.345571.04
nilnil-1266598.4119281.828484.1318426.1-4879.38-6574.481.747.820.296054.4
50trail-1667303.16117463.6411051.5320876.07-2514.38-3254.744.47.690.246118.47
atrtrail39.45102326119281.8213091.336183.98-7748.04-8547.361.697.60.249302.33
atrtrail-19.6483904.95119281.8211044.5626304.3-7748.04-8547.361.436.410.247627.72
50trail32.1848885.51117463.648420.439308.41-2514.38-3254.743.355.860.274444.14
50nil2237969.51118372.7358287328.61-2884.82-3254.742.025.390.293451.77
atrnil316.812053610646025877.9636183.98-8682.9-11935.892.984.470.2212053.62
50trail21.9129237.83117463.645613.626205.61-2514.38-3254.742.233.910.222657.98

In the table above, row 1 shows the best exit criterion. Profit factor is 9.95. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.82%, which is excellent. Average return per trade is 6.3%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PFC Performance, Profit Factor:9.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016119 May 2016 (+)
2015329 May 2015 (+), 26 Jun 2015 (+), 06 Nov 2015 (+)
2013213 May 2013 (-), 30 May 2013 (+)
2011318 Apr 2011 (+), 26 Oct 2011 (-), 15 Dec 2011 (+)
2008209 May 2008 (+), 12 Sep 2008 (+)



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