Study: Sell CHOLAFIN when below 200 SMA and near 50 SMA and below 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN when below 200 SMA and near 50 SMA and below 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: 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
114693.8137653.853963.1811034.48-2174.75-48001.822.130.0551130.29
2-11260.59137653.852365.947153.97-4637.03-11980.030.510.6-0.04-866.2
315580.51139469.234754.9110492.51-6803.42-12312.810.71.570.041198.5
424150.29138561.546253.4310920.77-5175.43-9286.91.211.930.0611857.71
521064.71137653.857330.8311819.6-5041.86-10316.141.451.70.0491620.36
625183.1139469.235396.5615979.21-5846.49-9650.580.922.080.0581937.16
741361.27138561.547658.715459.56-3981.67-6301.821.923.080.13181.64
852475.67138561.549075.8921695.36-4026.28-9650.582.253.610.0974036.59
946880.25138561.548840.8523579.08-4769.3-12978.371.852.970.0823606.17
1068066.53138561.5411365.0631114-4570.79-14642.262.493.980.15235.89
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
CHOLAFIN Performance, X=10, Profit Factor:3.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (2.38%)
2017129 May 2017 (-0.99%)
2011103 Nov 2011 (15.56%)
2007107 Feb 2007 (9.28%)
2006102 Nov 2006 (-2.3%)
2004127 Oct 2004 (-0.0%)
2001104 Apr 2001 (1.55%)
2000205 Sep 2000 (5.31%), 14 Nov 2000 (-7.32%)
1998214 Jul 1998 (3.68%), 04 Aug 1998 (-0.81%)
1997202 Apr 1997 (3.82%), 12 Dec 1997 (3.89%)

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
50trail-1331433.441841422.2217100.8432748.04-2640.71-3603.136.481.850.0331746.3
atrtrail-14.7919612.191441028.5716907.8338730.54-4801.91-8909.33.521.410.0221400.87
atrtrail34.1410182.161441028.5714550.3227598.67-4801.91-8909.33.031.210.013727.3
50trail31.78944.411851327.787182.879951.72-2689.99-3603.132.671.030.002352.47
atrnil36.46-1355.461331023.0823167.627598.67-7085.83-9458.233.270.98-0.0017-104.27
50nil21.47-1078.961961331.585906.246634.48-2808.95-3888.992.10.97-0.0029-56.79
50trail21.47-1078.961961331.585906.246634.48-2808.95-3888.992.10.97-0.0029-56.79
50nil31.83-3163.731841422.228846.79951.72-2753.61-3603.133.210.92-0.0075-175.76
atrtrail23.86-8006.781441028.5710003.0918399.11-4801.91-8909.32.080.83-0.014-571.91
atrnil25.46-24523.061331023.0815445.0718399.11-7085.83-9458.232.180.65-0.04-1886.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is 0.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (-1.34%)
2017129 May 2017 (-1.17%)
2011303 Nov 2011 (-1.22%), 04 Nov 2011 (-1.8%), 08 Nov 2011 (15.89%)
2007107 Feb 2007 (16.37%)
2006102 Nov 2006 (0.26%)
2004127 Oct 2004 (-1.53%)
2001104 Apr 2001 (-1.0%)
2000305 Sep 2000 (-1.07%), 06 Sep 2000 (-1.05%), 14 Nov 2000 (-1.09%)
1998414 Jul 1998 (-1.27%), 04 Aug 1998 (-1.56%), 07 Aug 1998 (-1.48%), 12 Aug 1998 (-1.37%)
1997202 Apr 1997 (-1.54%), 12 Dec 1997 (1.67%)



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