Study: Sell ADANIPOWER when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell ADANIPOWER when near 200 SMA and below 200 SMA and ADX is Trending" 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
1-21870.0296366.673083.386150.79-13456.76-17083.950.230.46-0.093-2430
2-30264.5694544.443540.816182.38-8885.56-18851.250.40.32-0.13-3362.73
3-36531.0994544.449402.0614026.6-14827.87-31811.490.630.51-0.084-4059.01
4-57836.9494544.448313.8316468.25-18218.45-35468.90.460.37-0.13-6426.33
5-63945.9893633.3311048.3118849.21-16181.82-34911.790.680.34-0.14-7105.11
6-85994.7292722.2215237.7125396.83-16638.59-32989.690.920.26-0.17-9554.97
7-63498.8893633.3313916.1336507.94-17541.21-32989.690.790.4-0.11-7055.43
8-96337.0492722.2223890.0243452.38-20588.16-35097.491.160.33-0.14-10704.12
9-99609.2692722.2224321.3542460.32-21178.85-38291.611.150.33-0.14-11067.7
10-14375194544.4415954.6444246.03-41513.92-74815.910.380.31-0.14-15972.34
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail-13.532877.1610464011760.5340484.13-2360.83-3148.734.983.320.0823287.72
200nil21.519068.11055506459.247437.4-2645.62-3148.732.442.440.131906.81
200trail21.519068.11055506459.247437.4-2645.62-3148.732.442.440.131906.81
200trail32.212269.781046406608.6911106.15-2360.83-3148.732.81.870.0751226.98
atrnil34.89-816.9492722.2233978.5938552.14-9824.88-17636.23.460.99-0.0015-90.77
200nil32.4-667.2310282010765.8711106.15-2774.87-3718.73.880.97-0.0039-66.72
atrtrail-14.22-11450.2692722.2218421.8934584.31-6899.15-17636.22.670.76-0.029-1272.25
atrnil24.56-23469.3392722.2222652.425701.43-9824.88-17636.22.310.66-0.059-2607.7
atrtrail33.67-16629.5292722.2215832.2629405.04-6899.15-17636.22.290.66-0.048-1847.72
atrtrail23.44-26431.2192722.2210931.4119603.36-6899.15-17636.21.580.45-0.097-2936.8

In the table above, row 1 shows the best exit criterion. Profit factor is 3.32. Strategy is very good and impressively bearish. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPOWER Performance, Profit Factor:3.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019312 Feb 2019 (-1.31%), 08 May 2019 (-1.57%), 10 May 2019 (0.83%)
2018116 Feb 2018 (1.19%)
2017109 May 2017 (1.27%)
2016220 May 2016 (-0.47%), 28 Dec 2016 (-1.39%)
2013112 Mar 2013 (20.24%)
2012105 Dec 2012 (-1.01%)
2010124 Dec 2010 (-1.33%)



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