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

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In this study, we evaluate the performance of strategy "Sell INDIACEM when below 200 SMA and near 50 SMA and below 50 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 INDIACEM 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
142629.341210283.335612.3811993.52-6747.25-8662.280.834.160.123552.44
246833.711293759754.5930794.17-13652.52-34210.530.712.140.0543902.81
371531.1212937511480.9734289.53-10599.2-23684.211.083.250.0835960.93
468687.312937512027.1829619.75-13185.78-250000.912.740.0855723.94
527951.6128466.679883.2922148.1-12778.68-29385.960.771.550.0352329.3
625783.17128466.679014.8121614.41-11583.82-25328.950.781.560.0362148.6
748070.1112937510422.5634823.22-15244.32-24122.810.682.050.0544005.84
870106.92128466.6712618.6538825.88-7710.57-16995.611.643.270.085842.24
988164.8912937514423.0344931.51-13880.79-20614.041.043.120.0837347.07
1097569.4512937514284.6453041.1-10330.77-16337.721.384.150.0978130.79

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.16. Strategy is very good and impressively bearish. Percentage of profitable trades is 83.33%, which is excellent. Average return per trade is 1.78%, 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.
INDIACEM Performance, X=1, Profit Factor:4.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Apr 2018 (1.77%)
2015110 Feb 2015 (-4.33%)
2013211 Mar 2013 (1.05%), 10 Apr 2013 (1.07%)
2010120 Oct 2010 (-2.42%)
2009216 Mar 2009 (5.51%), 03 Dec 2009 (0.68%)
2001129 Aug 2001 (0.15%)
1999118 Jan 1999 (2.1%)
1998207 Jan 1998 (4.47%), 27 Feb 1998 (6.0%)
1997120 Jan 1997 (5.26%)

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-1142629.341210283.335612.3811993.52-6747.25-8662.280.834.160.123552.44
50trail32.4732080.281569409177.9810074.72-2554.18-3573.153.592.40.0762138.69
50nil32.5328168.681569409177.9810074.72-2988.8-3573.153.072.050.0641877.91
50trail2221565.95157846.676234.886932.21-2759.77-3573.152.261.980.0651437.73
50trail-13.6721721.871569407451.5822121.41-2554.18-3573.152.921.940.0431448.12
50nil2220211.03157846.676234.886932.21-2929.14-3573.152.131.860.061347.4
atrnil39.3637893.82114736.3626350.0733170.18-9643.78-15842.882.731.560.043444.89
atrnil26.3811782.6135838.4617187.4922113.46-9269.36-15842.881.851.160.014906.35
atrtrail34.69-9394.48134930.779857.1125775.51-5424.77-15842.881.820.81-0.016-722.65
atrtrail-14.77-10458.83134930.779591.0224711.15-5424.77-15842.881.770.79-0.018-804.53
atrtrail24.62-17986.31134930.777709.1517183.67-5424.77-15842.881.420.63-0.036-1383.56

In the table above, row 1 shows the best exit criterion. Profit factor is 4.16. Strategy is very good and impressively bearish. Percentage of profitable trades is 83.33%, which is excellent. Average return per trade is 1.78%, 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.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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