Study: Sell ASIANPAINT when there is Dead Cross (50 DMA < 200 DMA)

home > technical-strategy > asianpaint > 49

In this study, we evaluate the performance of strategy "Sell ASIANPAINT when there is Dead Cross (50 DMA < 200 DMA)" 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
1-14518.6520713354593.2916831.03-3590.13-14473.211.280.69-0.024-725.93
2-18948.1120713355039.4314376.51-4171.08-13757.331.210.65-0.032-947.41
3-11206.5720812403505.847232.62-3271.11-10416.671.070.71-0.027-560.33
4-20737.220812404176.119271.15-4512.18-10645.160.930.62-0.041-1036.86
5-27709.6920911454427.2513180.68-6141.36-18517.670.720.59-0.038-1385.48
6-19945.0120812406105.5317527.86-5732.44-22645.381.070.71-0.024-997.25
7-20101.9320713358064.4224909.24-5888.68-21710.381.370.74-0.021-1005.1
8-22591.3120713358510.0728595.36-6320.14-21345.51.350.73-0.023-1129.57
94774.8620812409132.737028.76-5690.56-17947.551.61.070.0044238.74
10-12764.72201010507582.0436107.23-8858.51-18836.940.860.86-0.011-638.24
Although, strategy looks good but profit factor on day 5 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
atrnil25.9622207.832381534.7815578.0139240.32-6827.75-10050.722.281.220.016965.56
atrtrail24.74-9320.472371630.4311954.3322845.37-5812.55-10050.722.060.9-0.0092-405.24
atrtrail-15.91-24674.342361726.0911611.7731292.22-5549.7-10050.722.090.74-0.024-1072.8
atrtrail35.17-35775.472361726.099761.5818642.66-5549.7-10050.721.760.62-0.042-1555.46
atrnil322.86-81121.022241818.1814377.4118642.66-7701.7-19620.161.870.41-0.081-3687.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 34.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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.
ASIANPAINT Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018231 Jan 2018 (-1.9%), 01 Feb 2018 (3.83%)
2016121 Dec 2016 (-3.04%)
2013112 Sep 2013 (-4.29%)
2011211 Mar 2011 (-2.79%), 27 Dec 2011 (-3.2%)
2008304 Sep 2008 (5.39%), 20 Oct 2008 (-5.02%), 21 Oct 2008 (-5.03%)
2006117 Jul 2006 (-4.31%)
2004128 Oct 2004 (-2.33%)
2003202 Jan 2003 (-2.14%), 06 Oct 2003 (-2.82%)
2001112 Jul 2001 (-3.46%)
2000107 Aug 2000 (19.62%)
1999209 Feb 1999 (-4.16%), 10 Feb 1999 (8.27%)
1998219 Jun 1998 (11.42%), 07 Dec 1998 (3.46%)
1997107 Nov 1997 (6.21%)
1996209 Jan 1996 (-2.95%), 23 Sep 1996 (4.1%)
1995113 Dec 1995 (-3.78%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play