Study: Sell CHOLAFIN when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > cholafin > 17

In this study, we evaluate the performance of strategy "Sell CHOLAFIN when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
115925.261313050.823538.1811764.71-3125.28-13898.791.131.170.011261.07
2-62198.0361322952.463461.579610.98-5964.42-20565.830.580.64-0.034-1019.64
3-31222.961342755.744216.088923.08-6465.54-200000.650.82-0.016-511.85
45120.8161352657.384717.8516475.97-6153.99-16813.620.771.030.002683.95
5-8394.1961303149.185721.6614889.34-5807.87-17567.040.990.95-0.0039-137.61
6-8045.9961342755.745599.3518181.82-7349.04-22774.970.760.96-0.0032-131.9
72477.5861313050.826962.8618181.82-7112.37-23396.810.981.010.0009240.62
82515.1161322952.466837.1223454.55-7457.68-232000.921.010.000941.23
915083.4661313050.828193.4525454.55-7963.78-29148.851.031.060.0049247.27
1060114.6361332854.19508.1631114-9059.09-30314.811.051.240.017985.49
Although, strategy looks good but profit factor on day 2 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
50trail21.9327214.05108406837.045185.877818.49-2650.31-3996.161.961.150.013251.98
50trail32.3819638.451003367335910.5611234.81-2618.06-3996.162.261.110.0088196.38
50nil22.2216584.37103366734.956097.027939.67-3028.49-3969.22.011.080.0075161.01
50trail-12.982170.299316831.315737.2232748.04-2583.58-3996.162.221.010.0007721.92
atrnil312.52-30293.4452124023.0823959.637440.73-7945.22-16241.853.020.9-0.0087-582.57
50nil32.72-32952.0494217322.348934.3111909.51-3021.54-3969.22.960.85-0.014-350.55
atrtrail24.84-49937.54802852358634.4824960.49-5609.67-15866.731.540.83-0.015-624.22
atrnil28.31-57737.7961184329.5115484.1824960.49-7824.49-16241.851.980.83-0.018-946.52
atrtrail-15.38-86931.1279275234.187584.1538730.54-5609.67-15866.731.350.7-0.027-1100.39
atrtrail35.24-88956.5979275234.187509.1327598.67-5609.67-15866.731.340.7-0.029-1126.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Jan 2019 (2.18%), 01 Feb 2019 (-1.34%), 11 Feb 2019 (-1.28%), 13 Feb 2019 (2.73%), 22 Feb 2019 (-1.98%)
2018519 Nov 2018 (-1.09%), 06 Dec 2018 (-1.43%), 07 Dec 2018 (3.46%), 14 Dec 2018 (-0.92%), 28 Dec 2018 (-1.47%)
2017710 Jan 2017 (2.32%), 13 Jan 2017 (-1.68%), 27 Feb 2017 (3.74%), 06 Apr 2017 (-1.76%), 29 May 2017 (2.79%), 31 May 2017 (-1.94%), 02 Jun 2017 (-1.47%)
2013323 Sep 2013 (-0.07%), 14 Oct 2013 (-1.36%), 21 Oct 2013 (-1.62%)
2012111 Jan 2012 (3.55%)
20111227 Apr 2011 (-1.04%), 16 Jun 2011 (3.75%), 21 Jun 2011 (-1.23%), 28 Jun 2011 (-1.57%), 12 Sep 2011 (-1.19%), 20 Sep 2011 (2.99%), 17 Oct 2011 (-1.55%), 21 Oct 2011 (-1.53%), 25 Oct 2011 (-1.92%), 03 Nov 2011 (-1.22%), 04 Nov 2011 (-1.8%), 08 Nov 2011 (3.17%)
2008121 Apr 2008 (-1.45%)
2007224 Jan 2007 (-1.7%), 07 Feb 2007 (2.63%)
2006302 Nov 2006 (3.13%), 06 Nov 2006 (-0.04%), 22 Nov 2006 (-0.35%)
2004427 Jul 2004 (2.47%), 02 Aug 2004 (-0.25%), 19 Aug 2004 (-0.72%), 27 Oct 2004 (-1.53%)
2002114 Jan 2002 (-1.39%)
2001604 Apr 2001 (3.32%), 16 Apr 2001 (0.06%), 20 Apr 2001 (-1.64%), 04 Sep 2001 (3.71%), 13 Dec 2001 (-1.55%), 20 Dec 2001 (0.06%)
2000913 Jun 2000 (-1.87%), 26 Jun 2000 (-1.47%), 24 Jul 2000 (-1.54%), 18 Aug 2000 (0.16%), 05 Sep 2000 (-1.07%), 06 Sep 2000 (-1.05%), 21 Sep 2000 (3.91%), 25 Oct 2000 (2.03%), 14 Nov 2000 (-1.09%)
19991702 Feb 1999 (3.53%), 03 Feb 1999 (1.48%), 05 Feb 1999 (0.34%), 15 Feb 1999 (-2.0%), 22 Feb 1999 (-1.39%), 03 Mar 1999 (-1.71%), 10 Mar 1999 (3.25%), 11 Mar 1999 (-1.0%), 16 Apr 1999 (2.92%), 23 Apr 1999 (2.39%), 28 Apr 1999 (-1.56%), 04 May 1999 (-0.4%), 12 May 1999 (-1.35%), 13 May 1999 (-1.0%), 08 Jun 1999 (-1.64%), 18 Jun 1999 (-1.61%), 22 Jun 1999 (-1.13%)
19981306 Jan 1998 (-1.3%), 13 Jan 1998 (1.12%), 21 Jan 1998 (2.67%), 25 Feb 1998 (-0.33%), 10 Mar 1998 (-0.66%), 18 Mar 1998 (-1.47%), 30 Apr 1998 (-1.11%), 18 May 1998 (-1.0%), 02 Jun 1998 (2.66%), 14 Jul 1998 (-1.27%), 04 Aug 1998 (-1.56%), 07 Aug 1998 (-1.48%), 12 Aug 1998 (-1.37%)
19971320 Jan 1997 (3.64%), 29 Jan 1997 (2.81%), 31 Jan 1997 (-1.9%), 02 Apr 1997 (-1.54%), 07 Apr 1997 (-1.82%), 11 Apr 1997 (2.46%), 17 Apr 1997 (3.64%), 02 Jun 1997 (-1.57%), 03 Jun 1997 (3.53%), 02 Jul 1997 (0.44%), 25 Jul 1997 (-1.57%), 28 Jul 1997 (3.4%), 12 Dec 1997 (2.67%)
1996623 Aug 1996 (-1.92%), 26 Aug 1996 (3.04%), 30 Aug 1996 (3.39%), 13 Sep 1996 (2.16%), 18 Sep 1996 (-1.0%), 07 Nov 1996 (-1.25%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play