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

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In this study, we evaluate the performance of strategy "Sell IDFCFIRSTB 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 IDFCFIRSTB 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
118912.88139469.232774.795990.78-1515.06-3325.421.834.120.311454.84
230849.131311284.623621.47401.18-4493.12-6492.480.814.430.342373.01
326781.451310376.924634.0610428.93-6519.72-10292.950.712.370.182060.11
453436.51310376.928080.8318119.07-9123.95-15518.610.892.950.234110.5
567614.371311284.628386.2817256.26-12317.34-14726.840.683.740.35201.11
687360.991311284.6210364.6922950.82-13325.29-15360.250.784.280.336720.08
782758.261310376.9211522.6421507.06-10822.73-19477.431.063.550.296366.02
873404.811310376.9211433.919780.22-13644.74-27395.090.842.790.235646.52
979472.481310376.9212521.8918031.09-15248.81-31670.630.822.740.236113.27
1073889.341310376.9213244.9720565.15-19520.12-43230.40.682.260.175683.8

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 4.43. Strategy is very good and impressively bearish. Percentage of profitable trades is 84.62%, which is excellent. Average return per trade is 1.19%, which is not very high, but percentage of profitable trades compensates for it. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
IDFCFIRSTB Performance, X=2, Profit Factor:4.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 May 2019 (3.11%), 05 Jul 2019 (1.04%), 31 Oct 2019 (2.13%)
2018229 Jan 2018 (1.98%), 29 Aug 2018 (1.35%)
2017702 Mar 2017 (-1.25%), 24 Mar 2017 (0.74%), 15 May 2017 (0.47%), 12 Jul 2017 (1.72%), 15 Sep 2017 (0.91%), 09 Oct 2017 (2.77%), 02 Nov 2017 (3.7%)
2016112 Sep 2016 (-3.25%)

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-19.21113765149564.2914645.0242223.64-3607.98-6157.354.067.310.318126.09
atrnil39.25124551128466.6718364.224880.64-5590.54-7916.343.286.570.4510379.29
atrtrail24.8798162.41511473.3310542.4216587.09-4451.06-6157.352.376.510.426544.16
atrtrail36.5795624.22149564.2912629.3524880.64-3607.98-6157.353.56.30.346830.3
atrnil25.7790563.27139469.2312547.2716587.09-5590.54-7916.342.245.050.416966.41
nilnil-1230849.131311284.623621.47401.18-4493.12-6492.480.814.430.342373.01
200trail-15.3372724.7718995010564.0528054.82-2483.52-3173.444.254.250.234040.27
200trail22.1647894.51911857.896219.67922.49-2565.14-3173.442.423.330.282520.76
200trail32.6146924.421899507697.3411013.57-2483.52-3173.443.13.10.222606.91
200nil22.3945653.11810855.566776.437922.49-2763.9-3590.652.453.060.272536.28
200nil33.0651826.62178947.069736.7511013.57-2896.38-3956.223.362.990.243048.62

In the table above, row 1 shows the best exit criterion. Profit factor is 7.31. Strategy is very good and impressively bearish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 4.06%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDFCFIRSTB Performance, Profit Factor:7.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 May 2019 (-2.25%), 05 Jul 2019 (-0.12%)
2018229 Jan 2018 (7.29%), 29 Aug 2018 (21.11%)
2017902 Mar 2017 (-1.54%), 14 Mar 2017 (-2.03%), 24 Mar 2017 (0.92%), 15 May 2017 (8.33%), 12 Jul 2017 (14.0%), 15 Sep 2017 (5.08%), 09 Oct 2017 (0.2%), 12 Oct 2017 (2.74%), 02 Nov 2017 (6.22%)
2016112 Sep 2016 (-3.08%)



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