Study: Sell ASIANPAINT 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 ASIANPAINT 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 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
1-20533.633151845.453035.038320.37-3669.95-15743.070.830.69-0.027-622.23
2830.6333161748.484277.0915695.32-3976.64-12569.271.081.010.0009625.17
3-32475.4433141942.424239.7611072.06-4833.26-13652.390.880.65-0.035-984.1
4-67513.3833122136.364582.0412507.32-5833.23-15768.260.790.45-0.064-2045.86
5-83498.9433112233.335149.4512507.32-6370.13-31168.830.810.4-0.064-2530.27
6-1154063392427.275517.812448.74-6877.77-23902.410.80.3-0.093-3497.16
7-1374443372621.216720.9712390.16-7095.79-20011.570.950.26-0.11-4164.96
8-1475833382524.245895.2212770.77-7789.79-21967.510.760.24-0.11-4472.21
9-1835273392427.274449.3112331.58-9315.46-29686.10.480.18-0.13-5561.43
10-2022163372621.214712.4711862.92-9046.26-24156.540.520.14-0.14-6127.74
Although, strategy looks good but profit factor on day 1 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
200trail32.79-6925.5143103323.268044.7511710.82-2647.67-3823.073.040.92-0.0067-161.06
200nil33.02-10907.914193221.958903.6111710.82-2845.01-3823.073.130.88-0.011-266.05
atrtrail25.35-18619.1137102727.0310139.8115355.09-4445.08-13664.362.280.84-0.014-503.22
200trail22.42-14981.8845133228.895441.637807.21-2678.84-3823.072.030.83-0.017-332.93
200nil22.63-17940.7643123127.915868.857807.21-2850.55-3823.072.060.8-0.021-417.23
atrnil26.33-62301.06369272511564.4815355.09-6162.27-13664.361.880.63-0.044-1730.59
atrtrail35.81-67289.053792824.326451.5712294.07-4476.9-13664.361.440.46-0.067-1818.62
200trail-13.26-51287.0843103323.263608.597059.46-2647.67-3823.071.360.41-0.08-1192.72
atrtrail-15.92-73861.153792824.325721.3412294.07-4476.9-13664.361.280.41-0.078-1996.25
atrnil38.78-153938322306.2515872.9120201.24-6189.45-13664.362.560.17-0.17-4810.55

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 23.26%, which is not acceptable. Avoid this strategy. Average return per trade is -0.081%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASIANPAINT Performance, Profit Factor:0.921

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 May 2019 (-1.7%), 12 Jul 2019 (-1.36%)
2018219 Oct 2018 (5.8%), 02 Nov 2018 (-1.14%)
2017322 Feb 2017 (-0.83%), 02 Mar 2017 (-0.83%), 10 Mar 2017 (-1.06%)
2015310 Jun 2015 (5.86%), 22 Jun 2015 (-1.36%), 17 Nov 2015 (-1.84%)
2012302 Feb 2012 (-1.07%), 08 Feb 2012 (-1.79%), 20 Mar 2012 (-1.61%)
2011216 Feb 2011 (-1.23%), 13 Apr 2011 (0.16%)
2009114 May 2009 (-1.84%)
2008223 Jul 2008 (-1.79%), 25 Jul 2008 (-1.38%)
2007107 Mar 2007 (-1.78%)
2004405 Jan 2004 (3.51%), 09 Jan 2004 (-1.44%), 16 Jan 2004 (4.04%), 27 Jan 2004 (-1.02%)
2003603 Jan 2003 (-1.54%), 15 Jan 2003 (-1.4%), 29 Jan 2003 (3.86%), 10 Mar 2003 (-1.73%), 17 Mar 2003 (-1.27%), 28 Mar 2003 (3.07%)
2002126 Dec 2002 (-0.81%)
2001420 Apr 2001 (5.17%), 27 Jul 2001 (-1.4%), 09 Aug 2001 (-1.05%), 18 Sep 2001 (-1.0%)
2000123 May 2000 (-1.44%)
1998301 Jan 1998 (5.7%), 04 Aug 1998 (3.06%), 06 Nov 1998 (-1.01%)
1996423 Jul 1996 (-1.91%), 30 Jul 1996 (-1.89%), 06 Aug 1996 (-1.05%), 02 Sep 1996 (-1.07%)
1995113 Dec 1995 (-0.02%)



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