Study: Sell ADANIPOWER 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 ADANIPOWER 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 ADANIPOWER 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
123301.3226151157.694162.7211625.62-3558.14-10660.491.171.60.059896.2
213851.2326151157.695379.3611428.57-6076.29-17333.330.891.210.025532.74
343719.1326161061.546656.0826009.85-6277.82-17666.671.061.70.0621681.5
478312.152619773.087774.4124630.54-9914.51-230000.782.130.093012.01
537096.012617965.388842.6724827.59-12581.04-35225.960.71.330.0341426.77
616883.7226161061.549105.1736453.2-12879.91-37079.950.711.130.014649.37
7-27854.1926141253.859152.1237832.51-12998.65-36363.640.70.82-0.022-1071.32
8-20022.126121446.1513425.6944334.98-12937.88-44727.691.040.89-0.013-770.08
9-13504.1326141253.8513849.2342561.58-17282.78-48484.850.80.93-0.0078-519.39
10-540.126141253.8513618.6844137.93-15933.47-40324.450.851-0.00035-20.77
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ADANIPOWER Performance, X=4, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017316 Aug 2017 (6.09%), 06 Oct 2017 (2.26%), 24 Oct 2017 (-11.5%)
2016314 Jul 2016 (2.55%), 19 Sep 2016 (-0.54%), 19 Oct 2016 (4.62%)
2015209 Jan 2015 (-2.68%), 13 Mar 2015 (3.9%)
2014507 Jan 2014 (3.47%), 19 Feb 2014 (0.84%), 05 Nov 2014 (2.73%), 26 Nov 2014 (3.58%), 10 Dec 2014 (10.47%)
2013418 Apr 2013 (-2.73%), 12 Jun 2013 (12.32%), 12 Nov 2013 (-3.1%), 27 Nov 2013 (-5.57%)
2012307 Feb 2012 (6.46%), 05 Mar 2012 (1.05%), 14 Sep 2012 (-8.57%)
2011615 Apr 2011 (0.47%), 17 May 2011 (0.75%), 03 Jun 2011 (0.97%), 07 Jul 2011 (0.41%), 20 Oct 2011 (1.28%), 09 Nov 2011 (9.63%)

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
atrnil312.5713899123101343.4824771.3543829.32-8363.29-12294.12.962.280.116043.07
50trail-13.4965152.6943152834.889339.838400-2676.58-3861.153.491.870.0581515.18
atrnil26.7495457.0727131448.1515939.8829219.55-7982.96-12294.121.850.0883535.45
atrtrail35.585331.173417175010910.7641078.85-5891.28-9827.071.851.850.0692509.74
atrtrail24.8561261.96341717509494.9227385.9-5891.28-9827.071.611.610.061801.82
50nil32.7649644.4142142833.339442.0511985.82-2948.01-3868.843.21.60.0631182.01
50trail32.4542469.6944162836.367338.3811985.82-2676.58-3861.152.741.570.058965.22
atrtrail-16.2155921.35341717509180.7731278.75-5891.28-9827.071.561.560.0531644.75
50trail21.7832028.95451827405948.27990.54-2779.21-3861.152.141.430.05711.75
50nil21.8427075.2644172738.646328.637990.54-2981.91-3868.842.121.340.042615.35

In the table above, row 1 shows the best exit criterion. Profit factor is 2.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 43.48%, which is not acceptable. Avoid this strategy. Average return per trade is 3.02%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPOWER Performance, Profit Factor:2.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017216 Aug 2017 (-5.16%), 06 Oct 2017 (-4.03%)
2016414 Jul 2016 (9.07%), 19 Sep 2016 (9.05%), 19 Oct 2016 (-3.07%), 24 Oct 2016 (9.45%)
2015209 Jan 2015 (-3.35%), 13 Mar 2015 (16.05%)
2014307 Jan 2014 (-4.26%), 25 Feb 2014 (-3.93%), 05 Nov 2014 (11.1%)
2013418 Apr 2013 (-4.91%), 12 Jun 2013 (20.54%), 12 Nov 2013 (-4.66%), 27 Nov 2013 (-4.37%)
2012307 Feb 2012 (-6.15%), 05 Mar 2012 (21.91%), 14 Sep 2012 (-3.68%)
2011515 Apr 2011 (7.5%), 17 May 2011 (-2.5%), 03 Jun 2011 (7.56%), 20 Oct 2011 (-4.3%), 09 Nov 2011 (11.63%)



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