Study: Sell ARVIND 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 ARVIND 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 ARVIND 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
111596.591811761.113543.038711.89-3910.96-7749.950.911.420.031644.26
2-4389.171811761.113947.318321.38-6829.94-12867.850.580.91-0.0082-243.84
330281.71810855.567599.0223529.41-5713.56-15291.261.331.660.0371682.32
445664.751813572.228581.2431850.79-13178.27-19377.990.651.690.0422536.93
514799.381811761.118981.1723529.41-11999.06-20893.140.751.180.014822.19
64551.571810855.569758.4628120.52-11629.13-20752.430.841.050.0041252.86
721439.881811761.1111261.0133859.4-14633.04-20796.10.771.210.0161191.1
8-37556.191899509688.6826111.91-13861.59-25265.390.70.7-0.03-2086.45
9-38238.661810855.569557.4924390.24-16726.7-31651.380.570.71-0.028-2124.37
10-47558.271871138.8913405.3127546.63-12854.13-27064.221.040.66-0.035-2642.13
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
atrtrail24.814546.05209114510159.9426552.43-6990.31-14585.761.451.190.014727.3
atrnil26.83539.721861233.3319107.6726552.43-9508.86-195042.0110.0004429.98
atrtrail35.55-1231.5620911458406.8723483.09-6990.31-14585.761.20.98-0.0013-61.58
200trail31.52-4913.52772025.937240.519648.31-2779.85-3887.562.60.91-0.008-181.98
atrtrail-15.65-7048.420911457760.5521970.13-6990.31-14585.761.110.91-0.0077-352.42
200nil31.52-11924.652762122.228214.959648.31-2914.97-3887.562.820.81-0.019-441.65
200trail21.33-15425.542772025.935738.797311.76-2779.85-3887.562.060.72-0.031-571.32
200nil21.33-17386.912772025.935738.797311.76-2877.92-3887.561.990.7-0.034-643.96
atrnil38.67-63293.191831516.6727034.0428932.58-9626.35-195042.810.56-0.051-3516.29
200trail-12.35-28804.932671926.923541.7411108.78-2820.9-3887.561.260.46-0.068-1107.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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.
ARVIND Performance, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018209 Feb 2018 (-0.02%), 21 Feb 2018 (-2.27%)
2016105 Feb 2016 (0.18%)
2015116 Sep 2015 (-4.75%)
2013225 Feb 2013 (-0.15%), 15 Mar 2013 (9.03%)
2012311 Jan 2012 (-3.43%), 28 Feb 2012 (-6.72%), 05 Oct 2012 (2.0%)
2010229 Jun 2010 (0.98%), 15 Jul 2010 (1.68%)
2007119 Jul 2007 (2.77%)
2004104 Feb 2004 (-7.29%)
2003207 Apr 2003 (-3.39%), 10 Apr 2003 (-4.09%)
1999128 Jul 1999 (13.28%)
1997103 Feb 1997 (-3.41%)
1996202 Aug 1996 (7.83%), 26 Dec 1996 (-2.91%)
1995122 Nov 1995 (7.98%)



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