Study: Buy CANFINHOME when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy CANFINHOME when above 200 SMA and near 50 SMA and above 50 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: buy 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. sell 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
114690.0834151944.123486.9316482.92-1979.68-5770.581.761.390.022432.06
2-1082.6934151944.125651.1818903.59-4518.44-10652.531.250.99-0.001-31.84
38086.4134161847.066902.7920604.91-5686.57-15925.431.211.080.006237.84
4-36802.2934142041.187411.9517623.33-7028.48-527381.050.74-0.02-1082.42
512933.4834122235.2910972.5130171.07-5397.12-37712.582.031.110.0071380.4
634760.234151944.1210286.7632659.41-6291.64-39682.081.631.290.0181022.36
739314.9834151944.1211413.7528304.82-6941.65-24241.721.641.30.0211156.32
835413.373417175011407.8333408.07-9324.69-28806.871.221.220.0171041.57
931521.53417175010549.4329820.63-8695.22-22568.231.211.210.016927.1
1019079.0634151944.121214232287-8581.63-25055.931.411.120.0093561.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.12%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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
atrtrail24.8967656.5837122532.4318706.8627156.5-6273.03-10899.632.981.430.0311828.56
nilnil-1114690.0834151944.123486.9316482.92-1979.68-5770.581.761.390.022432.06
atrnil26.570438.1136142238.8918262.7327156.5-8420.01-12811.272.171.380.0311956.61
50trail-12.7333299.8551123923.5312166.7733096.99-2889.78-3948.154.211.30.017652.94
atrtrail-16.5144368.3837112629.7319645.779095.2-6605.17-10899.632.971.260.0151199.15
atrnil39.2736086.13392427.2727085.9440734.75-8653.64-12853.123.131.170.0141093.52
atrtrail35.7322319.7237112629.7317641.2840734.75-6605.17-10899.632.671.130.0099603.24
50trail21.45-16501.0555163929.095938.117712.23-2859.25-3948.152.080.85-0.016-300.02
50trail31.73-18352.9651123923.537829.3110548.2-2879.61-3948.152.720.84-0.016-359.86
50nil21.48-18742.2954163829.635938.117712.23-2993.47-3948.151.980.84-0.018-347.08
50nil31.78-25575.41501139228427.810548.2-3032.85-3948.152.780.78-0.023-511.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 32.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017113 Oct 2017 (-3.2%)
2016302 Feb 2016 (-1.37%), 08 Nov 2016 (-3.08%), 30 Nov 2016 (-4.63%)
2015308 May 2015 (13.27%), 12 Aug 2015 (7.53%), 31 Aug 2015 (-4.7%)
2014230 Jan 2014 (6.12%), 07 Aug 2014 (-5.45%)
2012124 Jul 2012 (-3.38%)
2010322 Jan 2010 (-3.42%), 25 May 2010 (-4.58%), 31 May 2010 (10.65%)
2009129 Oct 2009 (-3.9%)
2008402 Jul 2008 (-4.34%), 10 Jul 2008 (-3.85%), 21 Jul 2008 (-3.68%), 19 Aug 2008 (-2.92%)
2006118 Oct 2006 (5.68%)
2005620 Jan 2005 (13.58%), 21 Feb 2005 (11.27%), 07 Mar 2005 (-1.9%), 02 May 2005 (7.36%), 27 May 2005 (7.57%), 10 Jun 2005 (-2.58%)
2003530 Jan 2003 (-2.14%), 19 Feb 2003 (5.4%), 13 Jun 2003 (10.96%), 04 Aug 2003 (12.85%), 21 Aug 2003 (-5.09%)
2002317 Jul 2002 (-0.61%), 18 Dec 2002 (-2.38%), 23 Dec 2002 (-1.83%)
1999227 Jul 1999 (-3.46%), 02 Sep 1999 (-2.49%)
1998208 Jun 1998 (-1.59%), 24 Sep 1998 (-1.85%)



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