Study: Sell IDFC when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell IDFC when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell IDFC 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
18145.2228151353.573700.798023.26-3643.59-8381.841.021.170.018290.9
220474.828161257.144893.313947.37-4818.17-15366.711.021.350.031731.24
335796.1328151353.577963.620328.95-6435.22-18393.481.241.430.041278.43
44766.67281414507758.4917410.71-7418.02-19726.481.051.050.0049170.24
524656.5928161257.148142.2419810.27-8801.61-17157.070.931.230.024880.59
622513.428151353.578881.9221933.96-8516.56-20389.561.041.20.02804.05
731846.13281414509779.6725000-7504.94-22378.781.31.30.0291137.36
843202.7728161257.1410648.6927845.98-10598.02-20730.7411.340.0341542.96
928728.5828161257.1410117.6326841.52-11096.12-34312.950.911.220.0211026.02
1037726.8528151353.5711738.0628662.79-10641.85-34710.091.11.270.0271347.39
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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-16.7911047934161847.0612991.6755254.99-5410.42-8703.372.42.130.063249.38
atrtrail24.7473066.1134161847.0610653.3621253.02-5410.42-8703.371.971.750.0632149
atrnil267712531131841.9415765.8128137.45-7101.7-9243.462.221.60.0582487.9
atrtrail35.6848500.7434161847.069118.0231879.53-5410.42-8703.371.691.50.0411426.49
atrnil39.54579772882028.5725064.3442206.18-7126.89-9121.783.521.410.0372070.61
200trail32.058381.2441113026.838015.311974.05-2659.57-3697.883.011.110.011204.42
200nil32.326781.8841103124.399856.4111974.05-2960.72-3984.43.331.070.008165.41
200trail-12.853115.9741113026.837536.6324320.87-2659.57-3697.882.831.040.003476
200trail21.71-14397.3842123028.575420.247982.7-2648.01-3697.882.050.82-0.024-342.79
200nil21.95-19204.1442113126.196511.087982.7-2929.87-3984.42.220.79-0.029-457.24

In the table above, row 1 shows the best exit criterion. Profit factor is 2.13. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.06, 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.
IDFC Performance, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Mar 2019 (-3.85%), 24 Apr 2019 (14.02%)
2018202 May 2018 (3.81%), 30 Aug 2018 (3.86%)
2017906 Feb 2017 (-3.17%), 06 Apr 2017 (-2.33%), 20 Apr 2017 (-2.58%), 23 May 2017 (-0.9%), 29 May 2017 (0.75%), 27 Jul 2017 (-3.54%), 04 Aug 2017 (3.42%), 16 Aug 2017 (1.86%), 18 Dec 2017 (-3.01%)
2016211 Jul 2016 (-3.36%), 30 Dec 2016 (-3.79%)
2015213 May 2015 (5.46%), 16 Jul 2015 (0.13%)
2013528 Feb 2013 (-0.49%), 18 Mar 2013 (6.0%), 30 Apr 2013 (-3.7%), 07 May 2013 (-0.3%), 24 May 2013 (3.42%)
2012602 May 2012 (1.57%), 11 May 2012 (0.97%), 21 May 2012 (-3.19%), 30 May 2012 (-4.17%), 01 Jun 2012 (-4.35%), 05 Sep 2012 (-2.03%)
2011104 Jan 2011 (27.63%)
2010320 May 2010 (3.35%), 27 May 2010 (-2.47%), 21 Dec 2010 (-1.47%)
2008109 May 2008 (26.36%)
2006122 Jun 2006 (1.34%)



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