Study: Sell BIOCON when near 200 SMA and below 200 SMA and RSI is below 50 and ADX is Trending

home > technical-strategy > biocon > 4

In this study, we evaluate the performance of strategy "Sell BIOCON when near 200 SMA and below 200 SMA and RSI is below 50 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 BIOCON 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
1-1839.961055502517.395007.15-2885.39-10013.430.870.87-0.012-184
213034.171064605216.177408.94-4565.7-8777.431.141.710.0621303.42
310166.971064606824.5417779.14-7695.07-10085.090.891.330.0321016.7
412351.621073705480.589348.85-8670.81-9133.470.631.470.0461235.16
53535.431073705804.818205.76-12366.07-17182.750.471.10.01353.54
6-1596.931064606341.113390.56-9910.88-21404.520.640.96-0.0043-159.69
723589.531064607287.917310.44-5034.46-7276.791.452.170.0842358.95
811490.681064606861.2520915.59-7419.21-11893.220.921.390.0321149.07
913792.611055506820.2113762.52-4061.69-6778.81.681.680.0571379.26
10-2268.641064602166.46604.07-3816.76-6479.760.570.85-0.016-226.86
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BIOCON Performance, X=7, Profit Factor:2.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018226 Jul 2018 (-2.74%), 11 Oct 2018 (-2.78%)
2017419 May 2017 (3.8%), 05 Jun 2017 (-3.64%), 09 Aug 2017 (3.44%), 29 Aug 2017 (2.28%)
2016109 Feb 2016 (-0.91%)
2015116 Sep 2015 (1.81%)
2011131 Jan 2011 (8.66%)
2005118 Jan 2005 (1.89%)

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
200trail31.691173.7816412258537.4511950.21-2748-3353.593.111.040.003773.36
atrtrail35.091136.95113827.2711529.0122977.5-4181.26-8822.132.761.030.003103.36
atrnil315.75197.128262522940.4922977.5-7613.98-9807.823.0110.0004824.64
200nil32.06-105.1216412258537.4511950.21-2854.58-3989.112.991-0.00033-6.57
200trail21.5-148.721651131.255894.747966.81-2692.95-3349.522.190.99-0.00058-9.29
atrnil210.67-674.7293633.3314930.8315318.34-7577.87-9807.821.970.99-0.0018-74.97
200nil21.88-1427.611651131.255894.747966.81-2809.21-3989.112.10.95-0.0055-89.23
atrtrail24.91-2535.49113827.2710304.8615318.34-4181.26-8822.132.460.92-0.0077-230.5
200trail-12.44-6661.0116412256578.7513373.96-2748-3353.592.390.8-0.023-416.31
atrtrail-15.18-8378.08113827.278357.3313462.47-4181.26-8822.1320.75-0.029-761.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.037%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0037, 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.
BIOCON Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018326 Jul 2018 (-1.34%), 11 Oct 2018 (-1.22%), 12 Oct 2018 (-1.67%)
2017619 May 2017 (-1.39%), 22 May 2017 (3.4%), 05 Jun 2017 (-1.62%), 09 Aug 2017 (-1.68%), 11 Aug 2017 (-1.27%), 29 Aug 2017 (-1.15%)
2016209 Feb 2016 (4.7%), 15 Feb 2016 (-1.67%)
2015216 Sep 2015 (-1.13%), 18 Sep 2015 (-1.36%)
2011131 Jan 2011 (5.98%)
2005218 Jan 2005 (-1.0%), 19 Jan 2005 (3.0%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play