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

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In this study, we evaluate the performance of strategy "Buy CONCOR when near 200 SMA and above 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: buy CONCOR 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
118831.932315865.222705.578052.71-2718.96-7707.1311.870.056818.78
2-28271.7923121152.171615.484388.84-4332.5-10057.80.370.41-0.074-1229.21
3-44012.5123101343.48380110321.74-6309.42-20439.030.60.46-0.061-1913.59
4-33939.1823101343.485179.1213448.94-6594.64-25899.280.790.6-0.04-1475.62
5-50637.9523101343.484355.039107.78-7245.25-29072.130.60.46-0.059-2201.65
6-57638.3123101343.485524.2312666.03-8683.12-32761.480.640.49-0.058-2506.01
7-57679.3223101343.486716.2424927.82-9603.21-28481.830.70.54-0.053-2507.8
8-73830.523111247.836155.723715.11-11795.27-26666.670.520.48-0.062-3210.02
9-87612.5923101343.487511.2331068.33-12517.3-28233.330.60.46-0.064-3809.24
10-84769.1823101343.488238.9638132.82-12858.37-30510.980.640.49-0.059-3685.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.87. 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 65.22%, which is good. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1118831.932315865.222705.578052.71-2718.96-7707.1311.870.056818.78
200trail21.94-4726.6136112530.565976.177909.36-2818.58-3969.112.120.93-0.0072-131.29
200nil22.03-6000.135112431.436071.827909.36-3032.92-3969.1120.92-0.009-171.43
200nil32.5-10354.93482623.538685.3111864.04-3070.67-3969.112.830.87-0.014-304.56
200trail32.37-14065.383592625.716637.869489.46-2838.7-3969.112.340.81-0.021-401.87
200trail-13.06-27787.783372621.216574.0418686.57-2838.7-3969.112.320.62-0.039-842.05
atrnil310.81-86296.192131814.2921920.9926341.04-8447.73-17811.022.590.43-0.083-4109.34
atrtrail24.81-74298.852662023.088485.1717560.7-6260.49-12884.841.360.41-0.086-2857.65
atrnil29.62-87774.62141719.0514367.5917560.7-8543.82-17811.021.680.4-0.099-4179.74
atrtrail35.38-80775.772662023.087405.6919070.3-6260.49-12884.841.180.35-0.096-3106.76
atrtrail-15.46-82823.252662023.087064.4417022.82-6260.49-12884.841.130.34-0.1-3185.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.87. 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 65.22%, which is good. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:1.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Apr 2019 (0.54%), 26 Jul 2019 (-0.7%), 12 Sep 2019 (2.46%)
2018105 Nov 2018 (2.62%)
2017110 Feb 2017 (-1.72%)
2013107 Oct 2013 (0.06%)
2012421 Feb 2012 (2.05%), 03 Apr 2012 (-0.52%), 10 Jul 2012 (-0.77%), 21 Nov 2012 (1.29%)
2011115 Apr 2011 (-1.43%)
2010201 Oct 2010 (0.49%), 15 Oct 2010 (-1.59%)
2008213 Aug 2008 (1.35%), 15 Sep 2008 (1.83%)
2007202 Aug 2007 (0.27%), 27 Sep 2007 (0.92%)
2004419 May 2004 (0.75%), 04 Jun 2004 (4.03%), 10 Aug 2004 (0.12%), 24 Aug 2004 (1.52%)
2002113 Dec 2002 (-0.3%)
2000121 Jan 2000 (-3.85%)



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