Study: Sell ALBK when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > albk > 17

In this study, we evaluate the performance of strategy "Sell ALBK 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 ALBK 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
122559.0439231658.973177.8116258.35-3158.16-10024.751.011.450.032578.44
224537.9739241561.543752.4314922.05-4368.02-11030.860.861.370.031629.18
3-2534.4539201951.284116.1216481.07-4466.15-13930.350.920.97-0.0028-64.99
4-23924.7639192048.724842.2717594.65-5796.4-24145.790.840.79-0.021-613.46
5-39681.7439221756.415883.2613808.46-9947.85-380410.590.77-0.025-1017.48
6-25961.139221756.417729.0921536.6-11529.48-26001.310.670.87-0.015-665.67
7-10696.6639211853.859479.2123230.49-11653.34-43507.970.810.95-0.0051-274.27
827925.8739211853.8510727.6827707.2-10964.19-42824.60.981.140.013716.05
915418.1639201951.2812200.9135692.68-12031.58-38724.371.011.070.0065395.34
1011545.9439201951.2812223.8537265.58-12259.53-36531.3711.050.0046296.05

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 58.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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-1122559.0439231658.973177.8116258.35-3158.16-10024.751.011.450.032578.44
atrtrail-15.6428849.825018323611581.5745022.06-5613.08-11706.462.061.160.012577
atrnil38.9732774.7937102727.0324798.7130684.45-7970.83-11706.463.111.150.015885.81
50nil32.2420581.2963174626.989214.4211600-2957.91-3822.953.121.150.015326.69
atrtrail35.1622951.655018323611253.8931164.04-5613.08-11706.4621.130.011459.03
atrtrail24.317995.075018323610978.5320776.03-5613.08-11706.461.961.10.0097359.9
50trail32.098927.1465164924.628763.4611600-2679.35-3822.953.271.070.0067137.34
atrnil27.034394.4739132633.331645120776.03-8056.48-11706.462.041.020.0024112.68
50nil21.77531.1264214332.816084.977733.33-2959.38-3822.952.0610.000488.3
50trail21.72-2745.3365204530.776134.517733.33-2787.46-3822.952.20.98-0.0025-42.24
50trail-12.88-3270.8564135120.319982.2740032.32-2608.63-3822.953.830.98-0.0018-51.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 58.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
ALBK Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018412 Apr 2018 (0.19%), 08 Jun 2018 (1.19%), 22 Jun 2018 (8.13%), 17 Jul 2018 (2.73%)
2017316 Jan 2017 (0.08%), 10 Mar 2017 (-1.99%), 31 Aug 2017 (-0.07%)
2016314 Mar 2016 (-0.1%), 12 May 2016 (1.41%), 09 Jun 2016 (1.66%)
2015530 Apr 2015 (-0.63%), 20 May 2015 (1.08%), 31 Jul 2015 (-1.63%), 11 Nov 2015 (2.08%), 27 Nov 2015 (-1.85%)
2014121 Mar 2014 (-0.31%)
2013325 Apr 2013 (1.83%), 11 Sep 2013 (-1.71%), 16 Dec 2013 (3.03%)
2012327 Jun 2012 (1.18%), 12 Jul 2012 (0.87%), 16 Nov 2012 (2.26%)
2011303 Mar 2011 (0.61%), 30 Jun 2011 (1.09%), 28 Nov 2011 (-0.36%)
2009323 Jan 2009 (-0.5%), 11 Feb 2009 (0.4%), 02 Apr 2009 (-0.11%)
2008327 May 2008 (-2.96%), 28 Aug 2008 (-4.23%), 30 Sep 2008 (0.56%)
2007319 Apr 2007 (0.2%), 11 Jun 2007 (2.6%), 25 Jun 2007 (0.19%)
2006501 Feb 2006 (-1.72%), 22 Feb 2006 (2.65%), 20 Mar 2006 (0.55%), 03 Apr 2006 (-2.09%), 25 May 2006 (-5.01%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play