Study: Sell BALRAMCHIN when near 200 SMA and below 200 SMA and ADX is Trending

home > technical-strategy > balramchin > 3

In this study, we evaluate the performance of strategy "Sell BALRAMCHIN 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 BALRAMCHIN 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
1-11198.45251213485719.7711776.06-6141.21-26242.040.930.86-0.012-447.94
217400.38251510607328.4516816.14-9252.64-30063.690.791.190.014696.02
34298.43251312528858.321859.71-9238.29-29808.920.961.040.0029171.94
456555.972514115611229.4227079.93-9150.54-26846.311.231.560.0372262.24
537939.522514115611654.1935236.54-11383.56-39720.561.021.30.0211517.58
6370442515106013096.3629363.78-15940.13-49900.20.821.230.0181481.76
768886.332513125216288.9336052.2-11905.81-39421.161.371.480.0332755.45
894804.22514115618252.4740538.34-14611.86-30271.521.251.590.0413792.17
946808.582512134823184.0853262.64-17800.03-37675.351.31.20.0171872.34
1053310.422513125223159.5763132.14-20647-46492.991.121.220.0172132.42
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
200trail-13.1776578.623592625.7116301.262619.65-2697.39-3886.16.042.090.0362187.96
atrnil310.3270675.463192229.0331496.0264613.96-9672.22-29964.443.261.330.0232279.85
atrnil24.940486.8731112035.4821076.5943075.98-9567.78-29964.442.21.210.0171306.03
atrtrail34.5220735.7131112035.4816691.7639646.73-8143.68-29964.442.051.130.0094668.89
atrtrail-15.034465.4731112035.4815212.6541581.85-8143.68-29964.441.871.030.0022144.05
200nil31.63-3985.353592625.718042.2611450.65-2937.14-3886.12.740.95-0.0049-113.87
200trail31.6-7265.643592625.716985.1711450.65-2697.39-3886.12.590.9-0.0096-207.59
atrtrail24-26763.3231112035.4812373.6726431.15-8143.68-29964.441.520.84-0.015-863.33
200nil21.43-17050.0235102528.575562.837633.77-2907.13-3886.11.910.77-0.026-487.14
200trail21.4-20403.8135102528.574934.767633.77-2790.06-3886.11.770.71-0.033-582.97

In the table above, row 1 shows the best exit criterion. Profit factor is 2.09. 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 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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.
BALRAMCHIN Performance, Profit Factor:2.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015211 Aug 2015 (-1.94%), 21 Sep 2015 (-0.19%)
2014121 Nov 2014 (-1.16%)
2013103 Nov 2013 (-1.92%)
2012216 Feb 2012 (-1.59%), 22 Feb 2012 (0.26%)
2010311 Feb 2010 (-0.61%), 06 Oct 2010 (4.36%), 12 Nov 2010 (11.91%)
2008301 Feb 2008 (-1.46%), 19 Jun 2008 (3.03%), 13 Aug 2008 (-1.31%)
2006122 Jun 2006 (6.13%)
2003213 May 2003 (-1.32%), 20 May 2003 (-1.71%)
2002530 Jan 2002 (-1.3%), 10 Dec 2002 (-1.48%), 12 Dec 2002 (-1.74%), 13 Dec 2002 (-1.46%), 16 Dec 2002 (1.95%)
2001209 May 2001 (-1.14%), 10 May 2001 (-1.21%)
2000512 Jul 2000 (0.09%), 17 Jul 2000 (-1.34%), 21 Aug 2000 (-1.33%), 29 Aug 2000 (-1.12%), 26 Dec 2000 (-1.81%)
1999215 Jan 1999 (14.32%), 19 May 1999 (-1.31%)
1998120 Mar 1998 (-1.62%)
1997319 Feb 1997 (-1.57%), 25 Feb 1997 (-1.25%), 14 Oct 1997 (-1.18%)
1996227 Jun 1996 (-1.0%), 28 Jun 1996 (31.31%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play