Study: Sell CADILAHC 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 CADILAHC 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 CADILAHC 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
1-10323.0652242846.152024.665083.21-2104.11-7154.130.960.82-0.018-198.52
2-18064.6352272551.922661.3112782.28-3596.8-15516.950.740.8-0.018-347.4
3-38033.7552282453.853342.6414230.93-5484.49-25704.170.610.71-0.027-731.42
4-49737.151282354.93586.7814443.97-6529-15786.810.550.67-0.034-975.24
5-54144.9951262550.984218.5218108.87-6553.06-20205.770.640.67-0.034-1061.67
6-66190.4951252649.025110.8318001.87-7460.05-19429.920.690.66-0.036-1297.85
7-95757.4551242747.065559.1717511.72-8488.05-20253.860.650.58-0.048-1877.6
8-87627.2451232845.17032.2917977.19-8906.07-25152.320.790.65-0.039-1718.18
9-99921.2751222943.148099.4134452.8-9589.94-31682.550.840.64-0.038-1959.24
10-95600.8351213041.189018.1635121.14-9499.4-32307.450.950.66-0.035-1874.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.82. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is -0.099%, we advise you not to use this strategy.

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-11-10323.0652242846.152024.665083.21-2104.11-7154.130.960.82-0.018-198.52
50trail-13.43-42127.3588177119.328597.9845373.99-2652.01-3974.693.240.78-0.017-478.72
atrnil39.56-70481.965010402019679.5627520.24-6681.94-11798.042.950.74-0.03-1409.64
50trail32.62-65798.8988187020.456725.611513.46-2669.42-3974.692.520.65-0.041-747.71
atrtrail35.38-89990.21641648259280.1323874.51-4968.17-11070.091.870.62-0.043-1406.1
atrtrail-15.73-90451.19641648259251.3244192.09-4968.17-11070.091.860.62-0.039-1413.3
50nil33.01-82611.182146817.079011.6511513.46-3070.21-3974.692.940.6-0.05-1007.45
50trail22.33-75601.2989216823.65314.097675.64-2752.9-3974.691.930.6-0.053-849.45
50nil22.59-81364.9983196422.896076.077675.64-3075.16-3974.691.980.59-0.057-980.3
atrnil27.25-11443153124122.6413051.218346.83-6610.87-11798.041.970.58-0.058-2159.08
atrtrail24.98-101388641648258567.7918346.83-4968.17-11070.091.720.57-0.052-1584.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is -0.099%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, X=1, Profit Factor:0.825

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Jan 2019 (0.94%), 05 Mar 2019 (0.29%), 23 Apr 2019 (-0.24%), 08 Aug 2019 (1.85%), 11 Oct 2019 (-1.13%)
2018905 Jan 2018 (-2.68%), 23 Jan 2018 (1.44%), 12 Feb 2018 (0.96%), 04 May 2018 (-0.48%), 12 Jun 2018 (-3.58%), 06 Jul 2018 (-1.68%), 24 Jul 2018 (2.01%), 07 Aug 2018 (-0.49%), 04 Oct 2018 (1.28%)
2016723 Feb 2016 (2.54%), 23 Mar 2016 (0.52%), 08 Apr 2016 (1.23%), 02 May 2016 (1.39%), 19 May 2016 (0.97%), 02 Jun 2016 (1.46%), 27 Jun 2016 (-0.28%)
2013617 Apr 2013 (-1.52%), 06 Jun 2013 (0.11%), 21 Jun 2013 (1.03%), 12 Jul 2013 (0.08%), 01 Oct 2013 (-0.18%), 24 Oct 2013 (0.12%)
2012203 Feb 2012 (0.67%), 23 May 2012 (-0.88%)
2009313 Jan 2009 (-1.25%), 29 Jan 2009 (1.27%), 24 Mar 2009 (-0.67%)
2008308 Jan 2008 (-0.23%), 01 Apr 2008 (0.12%), 19 Dec 2008 (-2.59%)
2007624 Apr 2007 (1.49%), 14 May 2007 (-0.68%), 28 May 2007 (-1.39%), 24 Oct 2007 (-0.02%), 19 Nov 2007 (1.67%), 11 Dec 2007 (-2.26%)
2006131 Jul 2006 (-0.33%)
2005311 May 2005 (-1.35%), 21 Jun 2005 (-1.51%), 21 Dec 2005 (-1.65%)
2003703 Feb 2003 (-0.42%), 19 Feb 2003 (-0.21%), 06 Mar 2003 (0.12%), 22 Mar 2003 (0.74%), 25 Apr 2003 (-0.7%), 15 May 2003 (-0.58%), 29 May 2003 (-0.5%)



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