Study: Buy CONCOR when near 200 SMA and above 200 SMA and RSI is above 50 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 RSI is above 50 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
14137.94137653.853044.645241.44-2862.42-7707.131.061.240.02318.3
2-23144.67137653.851893.254388.84-6066.23-10057.80.310.36-0.088-1780.36
3-49390.01135838.462422.315003.84-7687.69-20439.030.320.2-0.11-3799.23
4-45105135838.465428.4813448.94-9030.92-25899.280.60.38-0.079-3469.62
5-60630.12134930.774285.326937.84-8641.27-29072.130.50.22-0.11-4663.86
6-59094.72135838.465964.7812666.03-11114.83-32761.480.540.34-0.09-4545.75
7-35595.56136746.158521.9124927.82-12389.58-28481.830.690.59-0.047-2738.12
8-44448.68136746.157115.6523715.11-12448.94-26305.110.570.49-0.061-3419.13
9-40434.2137653.858141.1431068.33-16237.03-28112.890.50.58-0.046-3110.32
10-28488.2136746.1511167.8738132.82-13642.21-30510.980.820.7-0.03-2191.4

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.24. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-114137.94137653.853044.645241.44-2862.42-7707.131.061.240.02318.3
200nil32.57-12186.752141719.059915.6411864.04-3049.96-3949.863.250.76-0.025-580.32
200trail-13.1-12152.622141719.059005.2418686.57-2833.74-3762.053.180.75-0.023-578.7
200nil22.05-14290.442151623.816770.637909.36-3008.97-3949.862.250.7-0.036-680.5
200trail21.95-15372.572251722.736560.27909.36-2833.74-3762.052.320.68-0.039-698.75
200trail32.41-18252.852251722.735984.159489.46-2833.74-3762.052.110.62-0.046-829.68
atrnil312.15-43814.621321115.3822354.0326341.04-8047.52-12542.292.780.51-0.068-3370.36
atrtrail35.6-39785.33153122012648.7519070.3-6477.63-12542.291.950.49-0.068-2652.36
atrtrail-15.73-41832.81153122011966.2617022.82-6477.63-12542.291.850.46-0.075-2788.85
atrtrail24.67-44862.85153122010956.2417560.7-6477.63-12542.291.690.42-0.084-2990.86
atrnil210.92-58717.31321115.3814902.6817560.7-8047.52-12542.291.850.34-0.12-4516.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Apr 2019 (0.54%), 12 Sep 2019 (2.46%)
2018105 Nov 2018 (2.62%)
2017110 Feb 2017 (-1.72%)
2012321 Feb 2012 (2.05%), 03 Apr 2012 (-0.52%), 10 Jul 2012 (-0.77%)
2011115 Apr 2011 (-1.43%)
2008113 Aug 2008 (1.35%)
2004210 Aug 2004 (0.12%), 24 Aug 2004 (1.52%)
2002113 Dec 2002 (-0.3%)
2000121 Jan 2000 (-3.85%)



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