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

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In this study, we evaluate the performance of strategy "Buy ADANIPORTS when above 200 SMA and near 50 SMA and above 50 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
142233.140231757.54154.7615891.78-3136.84-7299.011.321.790.0641055.83
277355.3540251562.56268.6625791.43-5290.74-162561.181.970.0731933.88
360802.6540231757.57203.2723282.11-6168.98-142721.171.580.051520.07
411886040271367.58368.8925605.21-8238.47-21017.971.022.110.0852971.5
576691.8240231757.58611.5726877.72-7139.67-173441.211.630.0571917.3
686905.1740251562.57921.0628770.95-7408.08-231681.071.780.0632172.63
71292644022185510461.1628793.5-5604.51-211201.872.280.0923231.61
814010740271367.58925.6827415.65-7760.52-257281.152.390.13502.67
913417740251562.510017.5726885.71-7750.83-291841.292.150.093354.42
1021478439251464.112063.1936389.33-6199.69-234241.953.470.145507.29

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 3.47. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.1%, which is good. Average return per trade is 2.75%, 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.
ADANIPORTS Performance, X=10, Profit Factor:3.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 May 2019 (4.37%), 05 Jul 2019 (0.76%), 20 Sep 2019 (3.82%)
2018204 Jan 2018 (1.56%), 14 Feb 2018 (-1.13%)
2017602 Mar 2017 (10.74%), 31 May 2017 (6.05%), 23 Aug 2017 (0.7%), 07 Sep 2017 (5.8%), 09 Oct 2017 (3.18%), 15 Nov 2017 (-0.9%)
2016429 Sep 2016 (-2.36%), 11 Nov 2016 (-1.45%), 29 Nov 2016 (3.29%), 16 Dec 2016 (-4.21%)
2015507 Apr 2015 (-3.15%), 07 May 2015 (7.93%), 21 Jul 2015 (5.11%), 12 Aug 2015 (7.96%), 02 Sep 2015 (-0.1%)
2014216 Sep 2014 (-0.77%), 24 Dec 2014 (18.19%)
2013617 Jan 2013 (11.85%), 27 Feb 2013 (-5.51%), 01 Apr 2013 (2.07%), 15 Apr 2013 (0.62%), 10 Jun 2013 (-0.03%), 31 Dec 2013 (-5.37%)
2012126 Nov 2012 (7.5%)
2011327 Jul 2011 (-11.71%), 15 Sep 2011 (9.78%), 19 Oct 2011 (7.85%)
2010403 May 2010 (-3.77%), 17 Jun 2010 (2.13%), 02 Sep 2010 (8.15%), 20 Oct 2010 (-2.94%)
2009309 Nov 2009 (3.01%), 27 Nov 2009 (7.06%), 18 Dec 2009 (11.32%)

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-11021478439251464.112063.1936389.33-6199.69-234241.953.470.145507.29
50trail-13.611598557243342.118378.423392.69-2578.7-3914.863.252.360.0872034.82
50trail32.411450357243342.118316.6811834.86-2578.7-3914.863.232.350.12008.83
50nil32.7412288754233142.599358.9611834.86-2979.64-3914.863.142.330.112275.69
50trail21.6799381603030506037.277889.91-2724.57-3914.862.222.220.111656.35
50nil21.8199057.3457292850.886281.037889.91-2967.59-3914.862.122.190.111737.85
atrtrail34.8485302.551232845.19839.7925584.24-5036.17-9916.091.951.60.0531672.6
atrnil38.1596478.5441142734.1520216.431363.46-6909.3-9916.092.931.520.0522353.14
atrtrail-15.6371052.4651232845.19220.2328707.01-5036.17-9916.091.831.50.0461393.19
atrtrail24.266911.6651232845.19040.1918248.35-5036.17-9916.091.81.470.0471311.99
atrnil25.8173379.7243182541.8613670.6320908.98-6907.66-9916.091.981.420.0481706.51

In the table above, row 1 shows the best exit criterion. Profit factor is 3.47. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.1%, which is good. Average return per trade is 2.75%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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