Study: Buy ADANIPORTS when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy ADANIPORTS when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy ADANIPORTS 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. sell 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
119017.451410471.433428.0115891.78-3815.66-4481.790.92.250.081358.39
23671.76146842.865059.3517415.29-3335.54-6747.711.521.140.013262.27
3-1584.51477504307.817914.37-4534.16-9625.40.950.95-0.0053-113.18
4-16916.87146842.865952.5420199.63-6579.02-11585.210.90.68-0.045-1208.35
58956.41148657.145485.8114657.21-5821.67-14314.070.941.260.025639.74
623628.64149564.297795.9117467.82-9306.91-16138.920.841.510.0471687.76
756063.22149564.2911069.4225039.58-8712.32-23084.781.272.290.0974004.52
845908.53149564.2910042.0829813.66-8894.03-21450.461.132.030.083279.18
965811.96149564.2912926.1954950.68-10104.74-15117.471.282.30.0824700.85
1038114.37148657.1413831.5857581.29-12089.71-20156.621.141.530.0422722.46
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
ADANIPORTS Performance, X=9, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Mar 2019 (2.09%), 20 Sep 2019 (3.65%)
2018527 Apr 2018 (2.55%), 16 May 2018 (-6.26%), 25 Jul 2018 (-6.63%), 04 Dec 2018 (-0.64%), 18 Dec 2018 (4.32%)
2013104 Oct 2013 (6.89%)
2012323 Jan 2012 (0.92%), 01 Mar 2012 (-7.56%), 26 Oct 2012 (2.83%)
2011218 Apr 2011 (-4.16%), 23 May 2011 (7.44%)
2009105 May 2009 (27.48%)

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
200trail31.96-4359.9524618258482.2511015.76-3069.64-3996.862.760.92-0.01-181.66
atrtrail24.33-5635.581851327.7810852.6515262.78-4607.6-8508.492.360.91-0.012-313.09
atrtrail34.83-6065.561851327.7810766.6522894.18-4607.6-8508.492.340.9-0.012-336.98
atrnil25.38-8210.521651131.2514384.0117939.81-7284.6-11385.251.970.9-0.015-513.16
200nil32.04-6747.682361726.098482.2511015.76-3390.66-3996.862.50.88-0.016-293.38
200trail21.58-11023.252471729.175828.067343.84-3048.22-3996.861.910.79-0.033-459.3
atrtrail-15.22-14352.941851327.789109.1816032.64-4607.6-8508.491.980.76-0.033-797.39
200nil21.65-13410.982371630.435828.067343.84-3387.96-3996.861.720.75-0.039-583.09
200trail-12.79-19354.252442016.679970.5217190.34-2961.82-3996.863.370.67-0.042-806.43
atrnil37.62-38624.991631318.7519366.4122894.18-7440.32-11385.252.60.6-0.066-2414.06

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.091%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPORTS Performance, Profit Factor:0.921

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Mar 2019 (3.06%), 22 Mar 2019 (-1.07%), 25 Mar 2019 (3.8%), 20 Sep 2019 (5.51%)
2018927 Apr 2018 (-1.01%), 02 May 2018 (-1.58%), 16 May 2018 (-1.72%), 25 Jul 2018 (-1.8%), 01 Aug 2018 (-1.21%), 04 Dec 2018 (-1.29%), 07 Dec 2018 (-1.76%), 13 Dec 2018 (-1.32%), 18 Dec 2018 (-1.24%)
2013104 Oct 2013 (3.28%)
2012623 Jan 2012 (-1.72%), 31 Jan 2012 (-1.52%), 01 Mar 2012 (-1.59%), 02 Mar 2012 (-1.89%), 26 Oct 2012 (-1.71%), 31 Oct 2012 (-2.0%)
2011218 Apr 2011 (-1.23%), 23 May 2011 (4.64%)
2009205 May 2009 (-1.98%), 12 May 2009 (5.15%)



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