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

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN when near 200 SMA and below 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: 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
1-8964.31145935.713572.446327.52-2980.72-7943.431.20.67-0.036-640.31
2-49571.881431121.432657.825664.83-5231.4-14886.410.510.14-0.14-3540.85
3-59033.821441028.572904.974878.05-7065.37-23202.780.410.16-0.11-4216.7
4-48849.981441028.575112.468700.32-6929.98-28408.530.740.3-0.078-3489.28
5-83528.18146842.862338.785350.12-12195.11-29400.10.190.14-0.11-5966.3
6-54133.191477503897.449807.98-11630.75-24739.710.340.34-0.076-3866.66
7-70803.57146842.863778.2710930.58-11684.15-21368.370.320.24-0.11-5057.4
8-94171.22145935.714861.8712821.27-13164.51-23225.810.370.21-0.13-6726.52
9-1049071441028.575669.1510989.66-12758.36-25161.290.440.18-0.14-7493.36
10-1050411421214.2911947.5212998.52-10744.7-23870.971.110.19-0.15-7502.95

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.67. This strategy is not profitable and we advice you not to use it.

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
nilnil-11-8964.31145935.713572.446327.52-2980.72-7943.431.20.67-0.036-640.31
atrnil28.31-33280.081331023.0816693.3418635.99-8336.01-16935.3920.6-0.048-2560.01
atrtrail35.11-58081.461831516.6711810.5927953.99-6234.22-16935.391.890.38-0.075-3226.75
atrtrail24.56-59685.551831516.6711275.8918635.99-6234.22-16935.391.810.36-0.086-3315.86
atrtrail-15.5-65689.11831516.679274.7120346.35-6234.22-16935.391.490.3-0.1-3649.39
atrnil310.31-71128.1131127.6927953.9927953.99-8256.84-16935.393.390.28-0.11-5471.39
200trail21.44-50383.682732411.116519.497406.99-2914.26-3911.92.240.28-0.13-1866.06
200nil21.62-52155.842632311.546519.497406.99-3118.01-3911.92.090.27-0.13-2005.99
200trail31.65-60464.5261253.8511110.4911110.49-2863-3911.93.880.16-0.17-2325.56
200nil31.84-63007.8825124411110.4911110.49-3088.27-3911.93.60.15-0.18-2520.32
200trail-11.77-62745.01261253.858829.988829.98-2863-3911.93.080.12-0.21-2413.27

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, X=1, Profit Factor:0.666

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Mar 2019 (-3.97%), 07 May 2019 (1.72%)
2017129 May 2017 (3.16%)
2013226 Nov 2013 (-0.61%), 18 Dec 2013 (1.99%)
2011207 Mar 2011 (-1.01%), 28 Jul 2011 (-0.47%)
2008114 Feb 2008 (-1.19%)
2004213 Sep 2004 (1.65%), 06 Oct 2004 (0.4%)
2003126 May 2003 (-1.35%)
2000127 Nov 2000 (-0.78%)
1998114 Aug 1998 (-1.61%)
1997121 Aug 1997 (-2.42%)



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