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

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In this study, we evaluate the performance of strategy "Buy ADANIPORTS when near 200 SMA and above 200 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
144082.0632221068.753740.1715891.78-3820.18-8719.350.982.150.0841377.56
251760.8532201262.54730.1419837.97-3570.16-8514.991.322.210.0761617.53
385507.0932211165.626135.4518259.24-3939.76-9625.41.562.970.122672.1
478056.732201262.57470.8222476.11-5946.64-11772.531.262.090.0822439.27
511848032221068.758608.7323898.94-7091.18-16760.891.212.670.113702.51
61506913225778.128904.2924445.2-10273.82-20393.810.873.10.134709.08
72108733223971.8812206.9925093.48-7765.32-23084.781.574.020.176589.78
8200926322487511466.5329813.66-9283.82-27988.751.243.710.156278.95
9211766322487512147.0454950.68-9970.33-26511.951.223.650.146617.7
1017553232211165.6213846.4457581.29-10476.63-25879.041.322.520.15485.39

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 4.02. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.88%, which is good. Average return per trade is 3.29%, 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=7, Profit Factor:4.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Mar 2019 (-0.08%), 09 May 2019 (9.95%), 29 Jul 2019 (-0.43%), 20 Sep 2019 (6.13%)
2018619 Feb 2018 (3.68%), 27 Apr 2018 (2.71%), 16 May 2018 (-5.76%), 25 Jul 2018 (0.2%), 04 Dec 2018 (-0.74%), 18 Dec 2018 (3.89%)
2015409 Jun 2015 (1.45%), 30 Jun 2015 (2.35%), 27 Jul 2015 (8.25%), 07 Sep 2015 (3.58%)
2014210 Jan 2014 (-0.44%), 07 Feb 2014 (8.24%)
2013408 Aug 2013 (-10.9%), 04 Oct 2013 (5.88%), 25 Oct 2013 (5.16%), 13 Nov 2013 (11.02%)
2012423 Jan 2012 (2.9%), 01 Mar 2012 (-11.54%), 26 Oct 2012 (6.18%), 26 Nov 2012 (7.74%)
2011518 Apr 2011 (-3.66%), 23 May 2011 (9.41%), 23 Jun 2011 (7.13%), 24 Aug 2011 (4.94%), 22 Sep 2011 (4.54%)
2010102 Dec 2010 (-1.4%)
2009205 May 2009 (12.52%), 03 Nov 2009 (12.55%)

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-172108733223971.8812206.9925093.48-7765.32-23084.781.574.020.176589.78
200nil32.1566497.0654203437.048936.1111803.66-3300.74-3996.862.711.590.0591231.43
atrnil26.1679884.8337162143.2415427.0720860.92-7949.92-11950.441.941.480.0532159.05
200trail31.9651544.6757193833.338665.7111803.66-2976.42-3996.862.911.460.047904.29
200trail21.6432279.6258233539.665983.777869.11-3009.92-3996.861.991.310.036556.55
200nil21.7531278.3255233241.825983.777869.11-3323.39-3996.861.81.290.035568.7
atrtrail24.2240037.2645172837.7810495.6318505.72-4942.44-11213.912.121.290.03889.72
atrtrail34.8439296.3545172837.7810452.0427758.58-4942.44-11213.912.111.280.027873.25
200trail-13.1118824.4156154126.799068.7617190.34-2858.71-3996.863.171.160.017336.15
atrnil310.1119974.8735102528.5722147.1627114.02-8059.87-11950.442.751.10.012570.71
atrtrail-15.3810932.5845172837.788783.5920605.41-4942.44-11213.911.781.080.009242.95

In the table above, row 1 shows the best exit criterion. Profit factor is 4.02. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.88%, which is good. Average return per trade is 3.29%, 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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