Study: Sell CHOLAFIN when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50 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 RSI is below 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: 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
14179.3674357.142091.456327.52-1395.48-3327.791.520.046597.05
2-4198.4275271.431556.323497.5-5990.02-11980.030.260.65-0.026-599.77
38708.8175271.434564.7910492.51-7057.57-12312.810.651.620.041244.12
419292.7974357.146886.8710920.77-2751.56-7653.912.53.340.0982756.11
5-299.1873442.868593.5911705.92-6519.99-10316.141.320.99-0.0011-42.74
611587.4474357.147498.8115979.21-6135.93-9650.581.221.630.0421655.35
712923.3973442.869403.0815459.56-3821.46-6557.382.461.850.0521846.2
819588.5273442.8612353.6121695.36-4368.08-9650.582.832.120.0562798.36
911117.6872528.5719141.4323579.08-5433.04-12978.373.521.410.0271588.24
1021886.8472528.5724836.0931114-5557.07-14642.264.471.790.0443126.69
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=4, Profit Factor:3.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017129 May 2017 (-0.3%)
2011103 Nov 2011 (2.21%)
2007107 Feb 2007 (5.46%)
2006102 Nov 2006 (1.56%)
2004127 Oct 2004 (4.55%)
2000114 Nov 2000 (-3.83%)
1998106 Aug 1998 (-0.0%)

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
atrtrail-1744702.372528.5731998.4238730.54-3858.91-6382.18.293.320.0796386.04
atrtrail35.7135272.2672528.5727283.4127598.67-3858.91-6382.17.072.830.0745038.89
50trail-13.8241789.37113827.2721687.5932748.04-2909.18-3954.17.452.80.0593799.03
atrtrail25.1417083.3272528.5718188.9418399.11-3858.91-6382.14.711.890.052440.47
atrnil36.2920972.5272528.5727283.4127598.67-6718.86-7362.684.061.620.042996.07
atrnil25.712783.5972528.5718188.9418399.11-6718.86-7362.682.711.080.0073397.66
50nil21.5-1360.62124833.335864.816348.19-3102.48-3954.11.890.95-0.0055-113.38
50trail21.5-1360.62124833.335864.816348.19-3102.48-3954.11.890.95-0.0055-113.38
50trail32-5326.33113827.275982.369522.29-2909.18-3954.12.060.77-0.022-484.21
50nil32.09-9434.47112918.188709.759522.29-2983.78-3954.12.920.65-0.039-857.68

In the table above, row 1 shows the best exit criterion. Profit factor is 3.32. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 3.19%, which is very good. Sharpe Ratio is 0.079, 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:3.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017129 May 2017 (-0.25%)
2011103 Nov 2011 (12.63%)
2007107 Feb 2007 (19.37%)
2006102 Nov 2006 (-1.71%)
2004127 Oct 2004 (-1.98%)
2000114 Nov 2000 (-3.19%)
1998106 Aug 1998 (-2.51%)



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