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

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In this study, we evaluate the performance of strategy "Buy CANFINHOME when near 200 SMA and above 200 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
1-1848.111910952.633639.911096.99-4249.68-13214.950.860.95-0.0037-97.27
2-4449.261991047.374700.3715586.62-4675.26-10126.581.010.9-0.0081-234.17
311665.141911857.895924.0515897.44-6687.42-21319.80.891.220.015613.95
436697.011991047.378734.4222711.27-4191.27-13197.972.081.880.0471931.42
516631.951911857.894256.2716923.08-3773.37-16243.651.131.550.029875.37
642887.61911857.896552.8618119.49-3649.23-11167.511.82.470.0682257.24
752580.581991047.378671.2734769.83-2546.08-7106.63.413.070.0652767.4
839377.781912763.166700.7934769.83-5861.66-14213.21.141.960.0442072.51
935807.211981142.1110450.339862.88-4345.02-13197.972.411.750.0371884.59
1063533.991910952.639688.6338491.67-3705.81-9137.062.612.90.0683343.89
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CANFINHOME Performance, X=7, Profit Factor:3.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Mar 2018 (-0.5%)
2012319 Jan 2012 (-0.39%), 28 Feb 2012 (17.38%), 01 Aug 2012 (-3.1%)
2010129 Nov 2010 (-0.38%)
2009127 Apr 2009 (2.29%)
2007308 Mar 2007 (-1.63%), 28 Mar 2007 (2.49%), 11 Sep 2007 (-0.9%)
2005230 Nov 2005 (0.31%), 14 Dec 2005 (-1.54%)
2004112 Nov 2004 (5.0%)
2003314 Jan 2003 (3.49%), 28 Jan 2003 (-0.37%), 17 Feb 2003 (-0.37%)
2002118 Dec 2002 (0.56%)
2001312 Sep 2001 (-3.55%), 05 Oct 2001 (0.76%), 25 Oct 2001 (6.75%)

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
atrnil311.5926152.561761135.2919431.6825046.63-8221.59-14020.142.361.290.0241538.39
atrtrail24.8719742.542391439.139970.918254.48-4999.69-8475.991.991.280.022858.37
atrnil210.5914670.921771041.1813711.618254.48-8131.03-14020.141.691.180.017863
200nil21.946398.5335122334.296028.617845-2867.16-3899.22.11.10.009182.82
200trail21.814059.9136122433.335620.697769.96-2641.18-3878.92.131.060.006112.78
200nil32.31952.9932824258850.8411767.5-2910.57-3899.23.041.010.001229.78
200trail32.12169.933392427.277062.0310897.44-2641.18-3878.92.6710.000245.15
atrtrail35.17-694.452381534.789037.6817760.7-4866.39-8475.991.860.99-0.00082-30.19
200trail-12.67-20743.393382524.245590.1613738.46-2618.59-3878.92.130.68-0.03-628.59
atrtrail-15.43-25690.392381534.785913.1912315.78-4866.39-8475.991.220.65-0.04-1116.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Mar 2018 (-3.76%)
2012319 Jan 2012 (8.49%), 28 Feb 2012 (12.52%), 01 Aug 2012 (-3.42%)
2010129 Nov 2010 (-7.01%)
2009127 Apr 2009 (-4.24%)
2007308 Mar 2007 (-4.71%), 11 Sep 2007 (-4.04%), 21 Sep 2007 (-4.1%)
2005130 Nov 2005 (-2.78%)
2004112 Nov 2004 (8.88%)
2003128 Jan 2003 (9.89%)
2002218 Dec 2002 (-2.38%), 23 Dec 2002 (8.06%)
2001312 Sep 2001 (-4.56%), 05 Oct 2001 (-4.22%), 25 Oct 2001 (10.45%)



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