Study: Sell CANFINHOME when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell CANFINHOME when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
1-6599.2746222447.834081.1217508.42-4016-12418.31.020.93-0.0059-143.46
2-79611.246212545.653970.6418181.82-6519.78-37091.680.610.51-0.045-1730.68
3-74748.9146222447.834369.3824915.82-7119.8-34351.950.610.56-0.039-1624.98
4-57690.9746222447.835499.5122222.22-7445.01-26765.020.740.68-0.03-1254.15
5-54641.146222447.836325.2618855.22-8074.87-25309.490.780.72-0.026-1187.85
6-46690.2546202643.488203.4824915.82-8106.15-31256.181.010.78-0.019-1015.01
7-29270.1246192741.38774.724915.82-7258.87-24634.661.210.85-0.013-636.31
8-80795.2746182839.137623.8822592.26-7786.61-21725.240.980.63-0.039-1756.42
9-13926646182839.137076.3218991.9-9522.86-35690.240.740.48-0.058-3027.53
10-15312946182839.138052.7717731.77-10645.67-84848.480.760.49-0.045-3328.89

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.93. 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 47.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.072%, 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-11-6599.2746222447.834081.1217508.42-4016-12418.31.020.93-0.0059-143.46
50nil32.63-40296.28701456209432.9411954.55-3077.81-3998.023.060.77-0.024-575.66
50trail21.73-37285.8477225528.575476.717882.35-2868.61-3998.021.910.76-0.026-484.23
50nil21.82-39680.2974205427.036340.717969.7-3083.23-3998.022.060.76-0.027-536.22
50trail32.11-40088.6376185823.686901.9711781.82-2833.18-3998.022.440.76-0.024-527.48
atrnil26.37-69939.0846123426.0914066.6723341.77-7021.74-12338.7520.71-0.034-1520.41
50trail-12.63-51616.1676175922.376752.5516181.82-2820.5-3998.022.390.69-0.031-679.16
atrnil38.93-1185374373616.2819324.0822653.67-7050.16-12338.752.740.53-0.059-2756.68
atrtrail24.11-11298555134223.649210.315102.45-5540.93-12338.751.660.51-0.06-2054.27
atrtrail34.62-12291355134223.648446.622653.67-5540.93-12338.751.520.47-0.066-2234.78
atrtrail-14.73-14122955134223.647037.6815237.6-5540.93-12338.751.270.39-0.086-2567.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 47.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.072%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, X=1, Profit Factor:0.932

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Jan 2019 (1.75%)
2018317 Jan 2018 (1.83%), 19 Nov 2018 (3.34%), 12 Dec 2018 (-4.74%)
2017128 Dec 2017 (0.41%)
2011304 May 2011 (-0.89%), 20 May 2011 (0.97%), 28 Jul 2011 (1.44%)
2009405 Feb 2009 (-1.98%), 20 Feb 2009 (1.6%), 09 Mar 2009 (-0.79%), 01 Apr 2009 (-2.87%)
2007309 May 2007 (0.84%), 20 Jul 2007 (2.46%), 14 Aug 2007 (2.16%)
2005322 Aug 2005 (1.7%), 23 Sep 2005 (-4.95%), 23 Dec 2005 (-3.34%)
2004310 Aug 2004 (0.69%), 01 Sep 2004 (0.71%), 25 Oct 2004 (-0.69%)
2003310 Jan 2003 (-2.63%), 03 Feb 2003 (-1.31%), 18 Feb 2003 (-0.74%)
2002120 Dec 2002 (-1.51%)
2001124 Sep 2001 (3.68%)
2000503 Jul 2000 (1.47%), 20 Jul 2000 (-0.89%), 30 Aug 2000 (0.6%), 15 Sep 2000 (0.3%), 05 Oct 2000 (-1.21%)
1999201 Feb 1999 (-2.69%), 17 Feb 1999 (8.75%)
1998327 Jan 1998 (-1.12%), 16 Dec 1998 (-1.37%), 31 Dec 1998 (-2.05%)
1997721 Jan 1997 (-6.21%), 13 Feb 1997 (0.99%), 27 Feb 1997 (-2.33%), 25 Mar 1997 (-1.64%), 17 Sep 1997 (-0.36%), 27 Oct 1997 (3.2%), 13 Nov 1997 (-0.36%)
1996312 Sep 1996 (-1.52%), 11 Nov 1996 (3.13%), 28 Nov 1996 (2.85%)



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