Study: Buy CANFINHOME when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50 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 RSI is above 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: 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
1-18230.62113827.27312.7625-2396.09-5770.580.130.049-0.19-1657.33
2484.95114736.367424.9718903.59-4173.56-9927.351.781.020.001344.09
35451.63114736.368794.5620604.91-4246.66-6755.812.071.180.014495.6
4-6016.51114736.366216.4717202.27-4411.77-9734.461.410.81-0.017-546.96
53008.55113827.2711157.4426275.99-3807.97-8885.752.931.10.0064273.5
69748.91114736.369045.0922117.2-3775.92-8474.252.41.370.023886.26
7-18731.64115645.457002.9920226.84-8957.77-19919.460.780.65-0.035-1702.88
8-26393.66115645.459602.3418081.18-12400.9-28806.870.770.65-0.037-2399.42
9-11766.74114736.3613038.2316635.16-9131.38-22568.231.430.82-0.018-1069.7
10-15907.44114736.3614025.3218903.59-10286.96-25055.931.360.78-0.023-1446.13
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
50nil31.59-11929.041731417.659639.2110548.2-2917.62-3948.153.30.71-0.031-701.71
50trail31.59-11929.041731417.659639.2110548.2-2917.62-3948.153.30.71-0.031-701.71
50trail-12.12-12876.211731417.659323.4914281.66-2917.62-3948.153.20.68-0.031-757.42
atrnil25.77-26697.78134930.7711909.5214715.09-8259.54-11666.271.440.64-0.046-2053.68
atrtrail35.38-25234.281331023.0813788.0717051.45-6659.85-9409.852.070.62-0.046-1941.1
50nil21.44-15965.311841422.226220.347032.14-2917.62-3948.152.130.61-0.049-886.96
50trail21.44-15965.311841422.226220.347032.14-2917.62-3948.152.130.61-0.049-886.96
atrnil38.46-32308.931331023.0816461.4917051.45-8169.34-11666.272.020.6-0.05-2485.3
atrtrail24.77-29709.191331023.0812296.4314715.09-6659.85-9409.851.850.55-0.059-2285.32
atrtrail-15.62-32123.371331023.0811491.7114056.44-6659.85-9409.851.730.52-0.066-2471.03

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:0.708

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017113 Oct 2017 (-1.04%)
2016402 Feb 2016 (-1.29%), 30 Nov 2016 (-1.5%), 01 Dec 2016 (-1.52%), 09 Dec 2016 (-1.4%)
2015131 Aug 2015 (-1.03%)
2008402 Jul 2008 (-1.41%), 10 Jul 2008 (-1.47%), 21 Jul 2008 (-1.45%), 23 Jul 2008 (-1.41%)
2006118 Oct 2006 (5.27%)
2005102 May 2005 (5.24%)
2003119 Feb 2003 (3.94%)
2002218 Dec 2002 (-1.97%), 23 Dec 2002 (-1.9%)
1999208 Sep 1999 (-1.92%), 15 Sep 1999 (-1.11%)



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