Study: Sell ENGINERSIN when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell ENGINERSIN when near 200 SMA and below 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: sell ENGINERSIN 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
16707.531913668.423125.395878.51-5653.77-17126.060.551.20.014353.03
228583.621913668.423989.227261.56-3879.38-18118.341.032.230.0611504.4
3-8033.931911857.893643.378198.68-6013.87-17089.310.610.83-0.015-422.84
43018.351912763.165698.5313753.31-9337.72-16139.930.611.050.0043158.86
516602.571910952.637812.0414901.26-6835.31-21109.121.141.270.021873.82
630840.751910952.639377.5619914.1-6992.76-13945.091.341.490.0371623.2
740601.741911857.899521.7924014.06-8017.24-17531.311.191.630.0442136.93
829222.661981142.1113058.3825400.23-6840.4-19919.151.911.390.0291538.03
929069.921991047.3712090.8829141.62-7974.8-16795.31.521.360.0271530
1043410.191991047.3713050.0632253.03-7404.03-20194.791.761.590.0392284.75
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ENGINERSIN Performance, X=2, Profit Factor:2.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Apr 2019 (0.88%), 16 Apr 2019 (3.32%)
2018405 Feb 2018 (-0.42%), 20 Feb 2018 (2.78%), 13 Mar 2018 (0.75%), 05 Apr 2018 (2.31%)
2017118 Aug 2017 (2.16%)
2016121 Jan 2016 (-0.91%)
2013317 Jan 2013 (0.83%), 25 Sep 2013 (2.19%), 17 Oct 2013 (-0.32%)
2012323 Feb 2012 (-0.76%), 18 Sep 2012 (2.76%), 19 Oct 2012 (0.52%)
2010108 Oct 2010 (0.23%)
2009120 Feb 2009 (-0.17%)
2007104 Jul 2007 (3.59%)
2003227 May 2003 (3.63%), 30 Jul 2003 (-9.06%)

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
atrtrail-17.140262.892181338.113424.9345696.97-5164.35-12778.022.61.60.0341917.28
atrtrail36.6238012.812181338.113143.6734407.97-5164.35-12778.022.551.570.0351810.13
atrtrail25.7610499.962181338.19704.5722938.65-5164.35-12778.021.881.160.013500
200trail32.355426.952662023.089641.6611997.3-2621.15-3416.233.681.10.0088208.73
atrnil311.729301.211851327.7822460.3934407.97-7923.13-14613.982.831.090.0082516.73
200nil32.354656.522662023.089641.6611997.3-2659.67-3416.233.631.090.0075179.1
200trail21.89-2017.172882028.576227.497998.2-2591.85-3616.192.40.96-0.0039-72.04
200nil21.89-5094.192882028.576227.497998.2-2745.7-3731.062.270.91-0.0098-181.94
atrnil28.16-18698.771961331.5814050.3322938.65-7923.13-14613.981.770.82-0.021-984.15
200trail-13.38-11191.322652119.238707.0416479.23-2606.02-3416.233.340.8-0.018-430.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
ENGINERSIN Performance, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Apr 2019 (0.24%), 16 Apr 2019 (8.0%)
2018405 Feb 2018 (-2.56%), 19 Feb 2018 (-1.17%), 13 Mar 2018 (6.37%), 05 Apr 2018 (5.78%)
2017218 Aug 2017 (-0.49%), 28 Aug 2017 (-3.11%)
2016121 Jan 2016 (22.85%)
2013317 Jan 2013 (7.41%), 25 Sep 2013 (-1.37%), 07 Oct 2013 (-2.02%)
2012323 Feb 2012 (-4.21%), 18 Sep 2012 (-0.33%), 19 Oct 2012 (2.8%)
2010208 Oct 2010 (-2.19%), 18 Oct 2010 (-2.77%)
2009120 Feb 2009 (-6.39%)
2007104 Jul 2007 (0.25%)
2003227 May 2003 (-2.11%), 30 Jul 2003 (-4.85%)



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