Study: Sell RENUKA 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 RENUKA 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 RENUKA 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
118028.320128604355.1818067.56-4279.23-100001.021.530.053901.42
273110.0620164806389.0922152.4-7278.83-15589.610.883.510.163655.5
3166052201738511380.6465438.6-9139.81-13990.671.257.060.28302.58
4239731201648016866.379649.12-7532.56-12125.252.248.960.211986.53
5327714201738521133.0785438.6-10516.19-17854.762.0111.390.2216385.68
6362737201829022058.7487368.42-17160.05-17931.031.2911.570.2318136.86
7399655201829024938.7486872.25-24621.4-25449.71.019.120.2319982.73
8440886201829027342.1286971.83-25636.13-28620.691.079.60.2522044.3
9458827201829027966.185338.02-22281.58-27241.381.2611.30.2622941.33
10492478201829031163.6591403.51-34233.73-38620.690.918.190.2624623.91

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 11.57. Strategy is very good and impressively bearish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 9.07%, 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.
RENUKA Performance, X=6, Profit Factor:11.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013414 Jan 2013, 25 Apr 2013, 09 May 2013, 10 May 2013
2012121 Jun 2012
2011907 Apr 2011, 20 Apr 2011, 21 Apr 2011, 25 Apr 2011, 21 Sep 2011, 01 Nov 2011, 03 Nov 2011, 04 Nov 2011, 08 Nov 2011
2009112 Mar 2009
2006518 Oct 2006, 19 Oct 2006, 20 Oct 2006, 21 Oct 2006, 06 Nov 2006

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
atrnil310423592201738526812.832507.06-10741.75-14688.892.514.140.5621179.62
nilnil-16362737201829022058.7487368.42-17160.05-17931.031.2911.570.2318136.86
atrtrail-112.55567343201376548024.8674618.13-8140.05-14688.895.910.960.3328367.14
atrnil26.25271653201738517875.221671.37-10741.75-14688.891.669.430.4813582.66
atrtrail36.3265144201376524778.8329686.87-8140.05-14688.893.045.650.313257.22
50trail-15.65116180208124019110.5540930.05-3058.74-3875.756.254.170.145808.98
atrtrail24.9167421201376517261.6819791.25-8140.05-14688.892.123.940.258371.07
50nil31.934138.1620812408855.3810740.84-3058.74-3875.752.91.930.111706.91
50trail31.934138.1620812408855.3810740.84-3058.74-3875.752.91.930.111706.91
50nil21.5510523.8220812405903.587160.56-3058.74-3875.751.931.290.043526.19
50trail21.5510523.8220812405903.587160.56-3058.74-3875.751.931.290.043526.19

In the table above, row 1 shows the best exit criterion. Profit factor is 14.14. Strategy is very good and impressively bearish. Percentage of profitable trades is 85%, which is excellent. Average return per trade is 10.59%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RENUKA Performance, Profit Factor:14.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013414 Jan 2013, 25 Apr 2013, 09 May 2013, 10 May 2013
2012121 Jun 2012
2011907 Apr 2011, 20 Apr 2011, 21 Apr 2011, 25 Apr 2011, 21 Sep 2011, 01 Nov 2011, 03 Nov 2011, 04 Nov 2011, 08 Nov 2011
2009112 Mar 2009
2006518 Oct 2006, 19 Oct 2006, 20 Oct 2006, 21 Oct 2006, 06 Nov 2006



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