Study: Sell ADANIPORTS 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 ADANIPORTS 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 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. 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
1-28500.1120713352094.526364.02-3320.13-12184.450.630.34-0.11-1425.01
2-58876.3320614303058.555726.87-5516.26-11300.740.550.24-0.17-2943.82
3-50107.9520713353444.198918.81-5709.02-15498.150.60.32-0.12-2505.4
4-65469.7920812403815.2210972.74-7999.29-17142.860.480.32-0.13-3273.49
5-97050.2120812405229.912790.31-11574.11-29816.850.450.3-0.14-4852.51
6-11124720515254955.311847.86-9068.21-25128.210.550.18-0.18-5562.33
7-13229620416206658.5110769.88-9933.15-28205.130.670.17-0.19-6614.82
8-17998520416205895.8412588.35-12723.02-26227.110.460.12-0.24-8999.24
9-16049120515257111.7715415.68-13069.96-35098.340.540.18-0.2-8024.53
10-12565620812405198.0514499.8-13936.66-22012.10.370.25-0.17-6282.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.34. This strategy is not profitable and we advice you not to use it.

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
50nil31.78-42536.553252715.628336.789863.77-3119.28-3964.942.670.49-0.092-1329.27
50trail31.7-44192.393352815.158336.789863.77-3067.01-3964.942.720.49-0.094-1339.16
atrtrail-15.05-52303.062251722.739448.0832607.61-5855.5-9363.771.610.47-0.078-2377.41
atrtrail23.95-59183.62251722.738071.9715698.4-5855.5-9363.771.380.41-0.11-2690.16
50trail-12.18-54706.653342912.127903.2322029.25-2976.54-3964.942.660.37-0.1-1657.78
nilnil-11-28500.1120713352094.526364.02-3320.13-12184.450.630.34-0.11-1425.01
50nil21.69-56431.183252715.625557.856575.85-3119.28-3964.941.780.33-0.16-1763.47
50trail21.61-58087.023352815.155557.856575.85-3067.01-3964.941.810.32-0.16-1760.21
atrtrail34.55-67677.212251722.736373.2517233.47-5855.5-9363.771.090.32-0.14-3076.24
atrnil25.15-87335.8203171512770.5615698.4-7391.03-9753.661.730.3-0.17-4366.79
atrnil37.94-104032171165.8817050.5417050.54-7567.66-9753.662.250.14-0.3-6119.53

In the table above, row 1 shows the best exit criterion. Profit factor is 0.49. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPORTS Performance, Profit Factor:0.495

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018916 Apr 2018 (-1.51%), 18 Apr 2018 (-1.72%), 21 May 2018 (4.73%), 08 Aug 2018 (-1.46%), 14 Aug 2018 (-1.72%), 04 Sep 2018 (-1.93%), 07 Sep 2018 (-1.24%), 12 Sep 2018 (-1.69%), 18 Sep 2018 (3.18%)
2016507 Apr 2016 (-1.98%), 14 Jun 2016 (-1.22%), 15 Jun 2016 (4.93%), 27 Jun 2016 (-1.44%), 28 Jun 2016 (-1.63%)
2013213 Sep 2013 (-1.47%), 16 Sep 2013 (3.73%)
20121109 Jan 2012 (-1.97%), 31 May 2012 (-1.07%), 05 Jun 2012 (-1.42%), 12 Jun 2012 (-1.77%), 28 Jun 2012 (-1.73%), 12 Jul 2012 (4.27%), 26 Jul 2012 (-1.41%), 21 Sep 2012 (-1.83%), 20 Nov 2012 (-1.05%), 21 Nov 2012 (-1.33%), 22 Nov 2012 (-1.7%)
2011504 Jan 2011 (-1.8%), 15 Feb 2011 (-1.34%), 29 Mar 2011 (-1.51%), 13 May 2011 (-1.67%), 20 Jun 2011 (-1.47%)



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