Study: Buy COLPAL when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy COLPAL when above 200 SMA and near 50 SMA and above 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: buy 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. sell 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
14934.8524131154.172486.516656.06-2489.98-4297.6811.180.02205.62
215737.882415962.53821.0811513.3-4619.82-9454.890.831.380.037655.74
3-1911.4624131154.173603.5611287.36-4432.52-7685.770.810.96-0.0049-79.64
410542.4624141058.333644.3416631.88-4047.82-10447.270.91.260.023439.27
524178.662416866.674059.6915829.95-5097.05-9107.410.81.590.0521007.44
611972.5124141058.334370.3620465.78-4921.25-11482.810.891.240.023498.85
735516.272415962.55210.7425486.1-4738.32-10154.971.11.830.061479.84
827251.28241212506250.9822421.18-3980.04-11181.071.571.570.0491135.47
920219.2824131154.175649.5319323.3-4838.6-9892.971.171.380.038842.47
1046551.8924141058.33610321630.23-3889.02-13173.741.572.20.0861939.66
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
COLPAL Performance, X=10, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018306 Feb 2018 (-1.77%), 03 Apr 2018 (1.29%), 21 Jun 2018 (-2.4%)
2017308 May 2017 (1.77%), 22 May 2017 (1.71%), 22 Sep 2017 (-0.96%)
2016223 Aug 2016 (5.79%), 15 Sep 2016 (1.18%)
2015305 Feb 2015 (3.4%), 24 Jun 2015 (2.07%), 16 Sep 2015 (-2.78%)
2014112 Dec 2014 (-1.2%)
2013117 Jan 2013 (-6.59%)
2012303 Feb 2012 (1.12%), 22 Feb 2012 (3.26%), 20 Sep 2012 (3.8%)
2011423 Jun 2011 (10.82%), 05 Aug 2011 (-1.12%), 25 Aug 2011 (2.48%), 14 Sep 2011 (-1.18%)
2010304 Jan 2010 (2.91%), 25 Mar 2010 (1.13%), 12 Nov 2010 (-0.46%)
2009114 May 2009 (-0.99%)

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
50trail33.7930251.1429111837.936857.0211728.81-2509.78-3872.662.731.670.0591043.14
50trail23.124855.4429111837.936366.57819.2-2509.78-3872.662.541.550.057857.08
50nil23.5420540.728111739.296354.517687.32-2903.46-3894.512.191.420.047733.6
50nil34.6519272.572681830.779108.6111167.66-2977.57-3894.513.061.360.038741.25
50trail-14.5515338.2629101934.486142.0119468.31-2425.36-3872.662.531.330.03528.91
atrtrail24.5521745.6229111837.938571.612591.27-4030.11-6661.992.131.30.033749.85
atrnil25.523581.3426101638.4610523.2215471.29-5103.18-6661.992.061.290.034906.97
atrnil39.682205.232261627.2714469.4817551.51-5288.23-7735.642.741.030.0033100.24
atrtrail35.24-910.5229111837.936511.9617551.51-4030.11-6661.991.620.99-0.0015-31.4
atrtrail-15.52-8950.2829111837.935781.0718764.64-4030.11-6661.991.430.88-0.016-308.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.059, 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:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018406 Feb 2018 (-1.15%), 03 Apr 2018 (4.16%), 21 Jun 2018 (-0.81%), 29 Jun 2018 (-1.41%)
2017408 May 2017 (1.09%), 15 May 2017 (-1.29%), 22 May 2017 (-1.38%), 22 Sep 2017 (-1.73%)
2016223 Aug 2016 (5.09%), 15 Sep 2016 (-0.39%)
2015405 Feb 2015 (-0.87%), 12 Feb 2015 (1.35%), 24 Jun 2015 (-1.44%), 16 Sep 2015 (-1.32%)
2014112 Dec 2014 (-1.16%)
2013117 Jan 2013 (1.82%)
2012503 Feb 2012 (0.56%), 09 Feb 2012 (-0.44%), 22 Feb 2012 (5.86%), 20 Sep 2012 (-1.94%), 26 Sep 2012 (5.58%)
2011423 Jun 2011 (5.44%), 05 Aug 2011 (-1.87%), 25 Aug 2011 (-1.24%), 14 Sep 2011 (3.37%)
2010304 Jan 2010 (-1.46%), 25 Mar 2010 (-1.62%), 12 Nov 2010 (-1.07%)
2009114 May 2009 (3.39%)



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