Study: Sell CANFINHOME when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell CANFINHOME when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CANFINHOME 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
136617.5653252847.174088.2312755.1-2342.44-6680.581.751.560.036690.9
213079.5753242945.284683.3826086.96-3424.88-8362.031.371.130.0087246.78
32623.453213239.626318.529800-4064.53-15401.071.551.020.001449.5
4-11526.2253193435.857358.524749.16-4451.11-22673.81.650.92-0.0057-217.48
5-32509.9753213239.626598.120855.61-5345.94-19306.931.230.81-0.016-613.4
6-39314.7453233043.46018.6120792.88-5924.76-24425.891.020.78-0.019-741.79
7-84459.4353233043.46609.9722459.89-7882.96-24634.660.840.64-0.035-1593.57
8-57424.2653233043.48763.2726402.64-8632.65-23893.811.020.78-0.021-1083.48
9-46665.7453213239.629786.3431683.17-7880.59-38405.81.240.81-0.016-880.49
10-75394.1153223141.5110250.3838546.07-9706.53-37158.471.060.75-0.022-1422.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.56. 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 47.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, 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.

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-1136617.5653252847.174088.2312755.1-2342.44-6680.581.751.560.036690.9
atrnil27.28-58051.2158154325.8617635.5532760.63-7501.97-21083.742.350.82-0.018-1000.88
200nil31.88-70080.8792167617.399159.5611912.6-2850.45-3928.943.210.68-0.035-761.75
200trail21.51-70276.8498237523.475870.17941.73-2737.19-3892.262.140.66-0.041-717.11
200trail31.72-79316.6694177718.097620.3611775.51-2712.5-3892.262.810.62-0.043-843.79
200nil21.6-82421.9896227422.925931.957941.73-2877.36-3928.942.060.61-0.048-858.56
atrnil311.34-1436295394416.9822965.9332501.79-7961.86-21083.742.880.59-0.047-2709.97
atrtrail24.42-12044172145819.4411091.8932760.63-4753.93-10341.392.330.56-0.045-1672.8
atrtrail34.73-14758171135818.319857.4825785.13-4753.93-10341.392.070.46-0.063-2078.6
atrtrail-14.83-16544370125817.149024.4422709.43-4719.6-10341.391.910.4-0.078-2363.48
200trail-12.04-13548392137914.135639.6418666.67-2643.02-3892.262.130.35-0.089-1472.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 47.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, 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.
CANFINHOME Performance, X=1, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Mar 2019 (1.41%)
2018115 Mar 2018 (-1.5%)
2013229 Jul 2013 (3.89%), 14 Oct 2013 (1.22%)
2012518 Jan 2012 (-0.63%), 02 Feb 2012 (-2.55%), 04 Jun 2012 (-0.34%), 26 Jul 2012 (3.27%), 11 Sep 2012 (-1.43%)
2011224 Jan 2011 (3.36%), 15 Apr 2011 (1.44%)
2010208 Dec 2010 (6.38%), 29 Dec 2010 (0.67%)
2009121 Apr 2009 (-2.83%)
2008111 Sep 2008 (-0.0%)
2007614 Mar 2007 (-0.52%), 02 Apr 2007 (1.46%), 09 May 2007 (0.84%), 12 Sep 2007 (1.0%), 26 Sep 2007 (0.41%), 11 Oct 2007 (1.17%)
2006322 Mar 2006 (1.44%), 05 Jun 2006 (2.3%), 11 Sep 2006 (0.3%)
2005626 Jul 2005 (-0.33%), 11 Aug 2005 (-3.24%), 26 Aug 2005 (-0.96%), 18 Oct 2005 (3.01%), 01 Nov 2005 (0.62%), 23 Dec 2005 (-3.34%)
2004409 Mar 2004 (-1.24%), 29 Mar 2004 (-1.36%), 20 May 2004 (-0.97%), 08 Nov 2004 (-0.65%)
2003303 Jan 2003 (0.19%), 20 Jan 2003 (-1.12%), 05 Feb 2003 (-0.0%)
2002301 Nov 2002 (-0.56%), 03 Dec 2002 (-0.93%), 19 Dec 2002 (1.3%)
2001112 Jul 2001 (2.37%)
2000310 Feb 2000 (-0.55%), 02 Mar 2000 (0.8%), 22 Nov 2000 (-1.16%)
1999408 Feb 1999 (-1.0%), 10 Mar 1999 (5.02%), 01 Apr 1999 (4.07%), 30 Apr 1999 (-0.34%)
1998331 Mar 1998 (-2.9%), 30 Nov 1998 (-1.03%), 14 Dec 1998 (-0.0%)
1997108 Jul 1997 (-1.32%)
1996119 Aug 1996 (3.17%)



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