Study: Sell ASIANPAINT 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 ASIANPAINT 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 ASIANPAINT 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
15201.9740211952.51837.827798.51-1757.48-13347.891.051.160.0088130.05
2-45507.46401426352997.649701.49-3364.4-18384.880.890.48-0.046-1137.69
3-19563.4340192147.53368.1412587.12-3978.95-14020.620.850.77-0.019-489.09
44814.53402218554239.5418669.48-4914.19-16872.850.861.050.0039120.36
5-38140.07401822454186.4714487.86-5158.93-17265.470.810.66-0.03-953.5
6-78659.2240192147.53695.2613059.7-7089-18608.940.520.47-0.056-1966.48
7-93040.11402020503966.513492.06-8618.51-23128.910.460.46-0.06-2326
8-119237401822454377.8614047.62-9001.75-20050.280.490.4-0.072-2980.93
9-12078140192147.54293.1213432.84-9635.73-27291.010.450.4-0.07-3019.53
10-135211401822455239.9519642.86-10433.18-30747.960.50.41-0.068-3380.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.16. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.065%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0088, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-115201.9740211952.51837.827798.51-1757.48-13347.891.051.160.0088130.05
50nil33.17-80957.2265105515.389269.1711912.36-3157.25-3960.542.940.53-0.055-1245.5
50nil22.77-90969.45701456206099.697941.57-3149.38-3960.541.940.48-0.07-1299.56
50trail32.91-86933.9970115915.717305.8111912.36-2835.56-3960.542.580.48-0.062-1241.91
atrnil26.15-1144304693719.5711346.0418595.68-5852.55-9200.471.940.47-0.069-2487.6
atrtrail24.68-99050.6453114220.757553.8818595.68-4336.75-9146.951.740.46-0.065-1868.88
50trail22.67-92460.6272145819.445207.837941.57-2851.21-3960.541.830.44-0.076-1284.18
atrtrail34.96-13002653104318.875745.3510994.44-4359.98-9146.951.320.31-0.11-2453.32
50trail-13.3-12233869105914.494537.910208.56-2842.66-3960.541.60.27-0.12-1773.01
atrtrail-15.04-13741853104318.875006.0910846.9-4359.98-9146.951.150.27-0.12-2592.8
atrnil37.98-185667423397.1414247.2424161.57-5856.63-9297.842.430.19-0.15-4420.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 52.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.065%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0088, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASIANPAINT Performance, X=1, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Jul 2019 (0.65%)
2018424 Jan 2018 (0.05%), 12 Feb 2018 (0.46%), 13 Mar 2018 (0.29%), 27 Mar 2018 (0.95%)
2011218 Mar 2011 (0.89%), 01 Apr 2011 (-0.36%)
2009130 Mar 2009 (1.15%)
2006114 Jul 2006 (0.39%)
2004622 Jan 2004 (-6.67%), 27 Apr 2004 (0.75%), 15 Jun 2004 (1.29%), 23 Aug 2004 (0.59%), 15 Sep 2004 (0.05%), 30 Nov 2004 (0.83%)
2003502 Jan 2003 (-0.17%), 29 Jan 2003 (-0.18%), 12 Feb 2003 (0.73%), 01 Apr 2003 (-0.3%), 23 Apr 2003 (-0.46%)
2001729 Jan 2001 (-0.77%), 22 Feb 2001 (1.87%), 27 Apr 2001 (-2.27%), 15 May 2001 (-0.34%), 30 May 2001 (-0.58%), 16 Jul 2001 (0.02%), 17 Sep 2001 (-1.14%)
2000321 Jun 2000 (-0.1%), 05 Jul 2000 (-0.2%), 07 Nov 2000 (0.76%)
1999303 Mar 1999 (3.9%), 30 Mar 1999 (2.78%), 11 May 1999 (-0.21%)
1998404 Feb 1998 (-0.34%), 23 Mar 1998 (-0.24%), 14 Jul 1998 (0.37%), 06 Nov 1998 (-0.05%)
1997307 Jan 1997 (-1.19%), 05 Jun 1997 (0.52%), 17 Dec 1997 (-1.12%)



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