Study: Sell IDEA when near 200 SMA and below 200 SMA and RSI is below 50 and ADX is Trending

home > technical-strategy > idea > 4

In this study, we evaluate the performance of strategy "Sell IDEA when near 200 SMA and below 200 SMA and RSI is below 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: sell IDEA 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
18568.3864266.674562.847103.49-4841.49-8505.750.941.880.0771428.06
2795.46633504192.926861.64-3927.77-8735.631.071.070.0076132.58
33414.2765183.333142.628548.93-12298.85-12298.850.261.280.025569.04
416530.7365183.333463.510595.16-786.78-786.784.422.010.212755.12
530741.9665183.336516.2117920.21-1839.08-1839.083.5417.720.235123.66
629259.2464266.677827.7917004.58-1025.97-1592.167.6315.260.214876.54
719290.286335010037.2116285.15-3607.12-7277.142.782.780.113215.05
89175.42633509179.0214791.5-6120.55-12128.561.51.50.0461529.24
923800.56335014373.1221557.83-6439.62-16737.422.232.230.0893966.75
1031776.4764266.6710890.0529583.01-5891.86-9824.141.853.70.125296.08
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
IDEA Performance, X=4, Profit Factor:22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017229 Mar 2017 (1.29%), 09 May 2017 (1.09%)
2014121 Jan 2014 (5.3%)
2012105 Jan 2012 (0.42%)
2011122 Dec 2011 (0.55%)
2009112 Oct 2009 (-0.39%)

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
atrnil21747311.914317519357.5725507.9-10760.79-10760.791.85.40.2511827.98
200trail-13.734458.8810464012057.2726020.38-2295.04-3192.595.253.50.113445.89
200trail21.526041.11127558.335659.996922.38-2715.76-3950.322.082.920.142170.09
atrtrail38.2937101.7373442.8618866.925856.34-4874.74-7233.983.872.90.125300.25
200nil21.7522907.69127558.335659.996922.38-3342.45-3950.321.692.370.121908.97
atrtrail-19.2922338.173442.8613945.6921910.56-4874.74-7233.982.862.150.093191.16
atrtrail28.1421496.8473442.8613665.2717237.56-4874.74-7233.982.82.10.0923070.98
atrnil32725332.464225024423.627888.86-11757.37-12753.952.082.080.0986333.11
200trail32.612999.181046406692.358567.4-2295.04-3192.592.921.940.0811299.92
200nil35.225814.4593633.338323.1510383.58-3192.5-3908.432.611.30.033646.05

In the table above, row 1 shows the best exit criterion. Profit factor is 5.4. Number of signals (total trades) generated is small and can't conculde anything from this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDEA Performance, Profit Factor:5.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017129 Mar 2017 (12.75%)
2014121 Jan 2014 (6.99%)
2011122 Dec 2011 (-5.38%)
2009112 Oct 2009 (9.3%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play