Study: Sell CHOLAFIN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN when near 200 SMA and below 200 SMA and below 50 SMA and below 20 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
13521.821881044.443148.247242.8-2166.41-4573.61.451.160.012195.66
2-15494.211871138.892847.858724.28-3220.83-12543.380.880.56-0.04-860.79
3-11214.811881044.445905.6412510.29-5845.99-23202.781.010.81-0.016-623.04
4-44894.261871138.899567.2718239.17-10169.56-49060.40.940.6-0.034-2494.13
5-54135.31881044.448551.7318447.14-12254.92-43489.930.70.56-0.043-3007.52
6-77212.791881044.446191.5416353.55-12674.51-48322.150.490.39-0.061-4289.6
7-95505.91871138.897518.1417393.41-13466.63-48322.150.560.36-0.075-5305.88
8-1134591861233.3312403.9817606.87-15656.9-85771.810.790.4-0.059-6303.27
9-1186981861233.3314336.5921980.68-17059.77-77449.660.840.42-0.062-6594.32
10-1006811861233.3313953.5523140.38-15366.86-69261.740.910.45-0.058-5593.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.16. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.098%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study.

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-113521.821881044.443148.247242.8-2166.41-4573.61.451.160.012195.66
atrnil37.56-34180.41841422.2222570.126087.01-8890.06-16935.392.540.73-0.029-1898.91
atrtrail34.48-45308.612351821.7414921.9826087.01-6662.14-16935.392.240.62-0.038-1969.94
atrtrail-15.26-59038.792351821.7412175.9528682.96-6662.14-16935.391.830.51-0.055-2566.9
atrnil27.11-64273.871841422.2215046.7317391.34-8890.06-16935.391.690.48-0.071-3570.77
200trail21.26-43257.463462817.656060.377685.81-2843.56-3743.422.130.46-0.076-1272.28
200nil21.29-46028.053462817.656060.377685.81-2942.51-3802.682.060.44-0.08-1353.77
atrtrail24.3-67900.532351821.7410403.617391.34-6662.14-16935.391.560.43-0.073-2952.2
200nil31.56-48159.013242812.58418.3310019.55-2922.58-3802.682.880.41-0.082-1504.97
200trail-11.75-50814.87323299.389265.0414223.02-2710.69-3743.423.420.35-0.089-1587.96
200trail31.5-54956.22323299.387884.599853.41-2710.69-3743.422.910.3-0.11-1717.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.098%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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, X=1, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 May 2019 (1.72%)
2018202 Aug 2018 (-0.71%), 05 Sep 2018 (2.83%)
2017129 May 2017 (3.16%)
2016313 Jan 2016 (-0.21%), 28 Jan 2016 (-1.0%), 25 Feb 2016 (-0.78%)
2015220 Oct 2015 (-0.55%), 10 Nov 2015 (-2.29%)
2014112 Feb 2014 (0.15%)
2013112 Jun 2013 (0.57%)
2008114 Feb 2008 (-1.19%)
2007119 Oct 2007 (0.3%)
2004219 Mar 2004 (3.62%), 08 Nov 2004 (-0.58%)
2003112 Mar 2003 (0.24%)
2002114 Jan 2002 (-1.55%)
2001120 Feb 2001 (-1.97%)



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