Study: Buy CHOLAFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CHOLAFIN 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
1848.751991047.372882.3710037.17-2509.26-9784.411.151.030.002444.67
2-14888.221951426.327524.1120594.8-3750.63-10304.452.010.72-0.023-783.59
3-20031971236.848598.5128698.88-5182.72-106251.660.97-0.0024-105.42
423704.991971236.8410982.6421635.69-4431.13-9121.062.481.450.0291247.63
524818.371911857.898441.2320966.54-8504.39-20140.520.991.360.0251306.23
625992.931991047.371155526542.75-7800.21-28415.31.481.330.0231368.05
740748.421912763.168436.5323048.33-8641.42-19672.130.981.670.0422144.65
862888.971910952.6310909.7526751.59-5134.29-11553.472.122.360.0653309.95
949391.751911857.8910041.4728535.03-7633.05-22857.141.321.810.0452599.57
1071353.551991047.3713512.7327777.78-5026.11-19828.262.692.420.0643755.45
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CHOLAFIN Performance, X=10, Profit Factor:2.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017318 Jan 2017 (4.42%), 09 Feb 2017 (0.07%), 20 Apr 2017 (5.52%)
2013228 Nov 2013 (-0.26%), 12 Dec 2013 (-1.0%)
2012101 Feb 2012 (7.88%)
2011114 Jul 2011 (-1.86%)
2007131 May 2007 (12.75%)
2004207 May 2004 (-9.91%), 29 Sep 2004 (-2.06%)
2002104 Jan 2002 (0.85%)
2001204 May 2001 (-0.83%), 11 Dec 2001 (-1.85%)
2000128 Nov 2000 (2.95%)
1999125 Jun 1999 (13.89%)
1998116 Jul 1998 (-3.13%)
1997126 Aug 1997 (12.48%)
1996227 Aug 1996 (-0.91%), 11 Sep 1996 (-3.33%)

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
atrnil37.8272085.322281436.3622929.9433487.5-7953.87-11210.682.881.650.0453276.61
atrnil25.5725164.732391439.1315173.5922325-7956.97-11210.681.911.230.021094.12
200nil31.912389.4232824258938.7111953.03-2880.01-3936.133.11.030.00374.67
200nil21.61-1777.733112233.335707.17968.69-2934.36-3936.131.940.97-0.0027-53.87
200trail31.75-3921.9932824257554.4111953.03-2681.55-3936.132.820.94-0.0054-122.56
200trail21.48-7448.533102330.35521.527968.69-2724.51-3936.132.030.88-0.012-225.71
200trail-12.73-13243.863072323.337278.1116401.49-2790.9-3936.132.610.79-0.018-441.46
atrtrail34.88-35037.67257182811645.8420083.01-6475.47-11210.681.80.7-0.031-1401.51
atrtrail24.36-36809.47257182811392.7222325-6475.47-11210.681.760.68-0.034-1472.38
atrtrail-15.04-55363.1625718288742.221085.92-6475.47-11210.681.350.53-0.057-2214.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
CHOLAFIN Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017218 Jan 2017 (-3.57%), 20 Apr 2017 (9.9%)
2013128 Nov 2013 (-3.37%)
2012101 Feb 2012 (16.74%)
2011114 Jul 2011 (-4.14%)
2007131 May 2007 (10.04%)
2004307 May 2004 (-4.13%), 29 Sep 2004 (-3.71%), 08 Oct 2004 (-3.36%)
2002104 Jan 2002 (10.16%)
2001404 May 2001 (-4.44%), 11 May 2001 (-4.09%), 17 May 2001 (11.42%), 11 Dec 2001 (-3.0%)
2000228 Nov 2000 (-3.05%), 30 Nov 2000 (9.4%)
1999125 Jun 1999 (11.96%)
1998116 Jul 1998 (-3.18%)
1997126 Aug 1997 (12.09%)
1996327 Aug 1996 (-5.61%), 11 Sep 1996 (-5.4%), 23 Sep 1996 (-4.63%)



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