Study: Sell COLPAL when near 200 SMA and below 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell COLPAL 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
18720.7235191654.292745.717958.43-2715.49-6487.781.011.20.021249.16
218174.0135201557.143407.2512078.15-3331.4-13810.721.021.360.031519.26
326290.2235221362.863907.9412006.69-4591.11-14792.930.851.440.04751.15
433254.0535201557.144272.716403.81-3479.99-13095.431.231.640.052950.12
557903.135231265.714628.9817370.45-4046.95-9408.91.142.190.0921654.37
648136.7435221362.864753.2911636.02-4341.2-9251.691.091.850.0751375.34
727811.7935221362.864552.0814494.09-5564.15-14946.540.821.380.038794.62
844488.9535241168.574460.1611690.22-5686.81-14438.470.781.710.0651271.11
932809.09352114604703.5313153.57-4711.78-13694.111.50.048937.4
1025791.4535201557.144963.8514139.26-4899.03-11815.441.011.350.036736.9
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=5, Profit Factor:2.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 May 2019 (3.69%), 18 Jul 2019 (5.01%), 06 Aug 2019 (0.62%), 28 Aug 2019 (-2.27%)
2018419 Feb 2018 (1.84%), 27 Jul 2018 (-1.85%), 17 Sep 2018 (1.53%), 22 Oct 2018 (2.02%)
2017416 Jan 2017 (0.82%), 17 Feb 2017 (2.38%), 08 Nov 2017 (-1.94%), 30 Nov 2017 (-1.36%)
2016122 Dec 2016 (1.4%)
2015528 Aug 2015 (3.18%), 15 Sep 2015 (3.44%), 28 Oct 2015 (3.93%), 02 Dec 2015 (2.03%), 23 Dec 2015 (1.25%)
2014409 Jan 2014 (0.65%), 23 Jan 2014 (2.03%), 06 Feb 2014 (0.76%), 20 Feb 2014 (-0.3%)
2013428 Feb 2013 (-4.7%), 25 Mar 2013 (-2.72%), 28 Jun 2013 (-2.28%), 31 Jul 2013 (8.69%)
2012112 Jan 2012 (-0.89%)
2011419 Jan 2011 (-1.89%), 11 Feb 2011 (0.95%), 10 Mar 2011 (0.42%), 07 Apr 2011 (-4.02%)
2009106 Jan 2009 (-0.05%)
2008306 Oct 2008 (3.25%), 17 Nov 2008 (2.38%), 03 Dec 2008 (0.97%)

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
atrtrail24.9113083.7945162935.566216.3117313.73-2978.52-5613.722.091.150.015290.75
200trail23.0911378.1954203437.044657.517547.13-2405.06-3920.681.941.140.016210.71
200trail33.737172.6451163531.375094.1311320.7-2123.81-3630.122.41.10.01140.64
200nil23.476391.8351183335.295770.897547.13-2954.07-3994.631.951.070.0086125.33
atrtrail35.475108.8545162935.565717.8819786-2978.52-5613.721.921.060.0058113.53
atrnil27.74-12883.3735112431.439582.9717313.73-4929-8631.941.940.89-0.015-368.1
200nil34.73-17897.245103522.228342.0311320.7-2894.78-3981.822.880.82-0.024-397.72
200trail-14.37-14720.4651153629.414011.0613018.97-2080.18-3630.121.930.8-0.022-288.64
atrtrail-15.78-17935.3945162935.564277.6111976.71-2978.52-5613.721.440.79-0.026-398.56
atrnil310.62-27988.43272521.8813507.4319786-4901.62-8656.872.760.77-0.033-874.64

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 35.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
COLPAL Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019502 May 2019 (3.83%), 18 Jul 2019 (4.36%), 06 Aug 2019 (-1.74%), 13 Aug 2019 (-0.33%), 28 Aug 2019 (-2.0%)
2018519 Feb 2018 (0.8%), 27 Jul 2018 (-2.48%), 17 Sep 2018 (4.85%), 22 Oct 2018 (-1.24%), 31 Oct 2018 (-0.11%)
2017616 Jan 2017 (-0.01%), 17 Feb 2017 (-1.81%), 21 Feb 2017 (0.74%), 08 Nov 2017 (-2.21%), 30 Nov 2017 (-1.2%), 06 Dec 2017 (-1.94%)
2016222 Dec 2016 (3.84%), 30 Dec 2016 (-0.02%)
2015828 Aug 2015 (4.61%), 15 Sep 2015 (-2.45%), 18 Sep 2015 (-2.54%), 28 Oct 2015 (4.69%), 02 Dec 2015 (-1.16%), 08 Dec 2015 (0.27%), 14 Dec 2015 (-2.06%), 23 Dec 2015 (3.81%)
2014309 Jan 2014 (-1.4%), 22 Jan 2014 (-0.1%), 04 Feb 2014 (-1.06%)
2013528 Feb 2013 (-2.61%), 25 Mar 2013 (0.12%), 28 Jun 2013 (-0.14%), 04 Jul 2013 (-2.81%), 31 Jul 2013 (6.6%)
2012212 Jan 2012 (-0.55%), 18 Jan 2012 (-2.29%)
2011519 Jan 2011 (-2.37%), 11 Feb 2011 (0.27%), 10 Mar 2011 (-2.5%), 17 Mar 2011 (1.1%), 07 Apr 2011 (-2.25%)
2009206 Jan 2009 (1.19%), 14 Jan 2009 (-0.67%)
2008206 Oct 2008 (8.66%), 17 Nov 2008 (-1.14%)



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