Study: Sell INDIACEM 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 INDIACEM 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 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
132709.2920146705854.1524678.11-8208.14-27325.580.711.660.0351635.46
252651.6920128608369.1745064.38-5972.3-21511.631.42.10.0432632.58
316561.1720119557325.8920600.86-7113.73-18457.651.031.260.018828.06
4-4563.34201010508314.6215719.65-8770.96-250000.950.95-0.0045-228.17
5-23933.91201010507636.120560.75-10029.49-49418.60.760.76-0.018-1196.7
6-11542.0120137657249.7315665.24-15112.63-42441.860.480.89-0.0083-577.1
739963.562010105014918.7729902.49-10922.41-38372.091.371.370.0241998.18
822588.58201195513465.8425982.48-13948.41-61046.510.971.180.0121129.43
98693.69201195514772.3731188.99-17089.15-65697.670.861.060.0041434.68
1028691.34201286016974.4441702.13-21875.25-72093.020.781.160.0111434.57

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.1. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, which is low, don't trade solely on the basis of this study.
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=2, Profit Factor:2.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Mar 2019 (-0.0%)
2016105 Dec 2016 (0.04%)
2015206 Feb 2015 (9.93%), 02 Jul 2015 (-0.62%)
2014201 Jan 2014 (4.6%), 01 Dec 2014 (-0.32%)
2013325 Feb 2013 (-1.06%), 11 Mar 2013 (1.05%), 16 Apr 2013 (2.25%)
2012315 May 2012 (1.31%), 15 Jun 2012 (0.61%), 03 Dec 2012 (0.73%)
2010304 Jan 2010 (-1.23%), 24 Sep 2010 (-2.7%), 25 Oct 2010 (1.51%)
2007119 Feb 2007 (1.75%)
2003123 May 2003 (-10.76%)
2001309 Mar 2001 (22.53%), 18 Apr 2001 (3.9%), 20 Nov 2001 (-7.21%)

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
atrtrail25.461830392412125020664.643366.63-5411.32-8879.093.823.820.17626.64
atrtrail36.421558642412125018400.0265049.94-5411.32-8879.093.43.40.086494.35
atrtrail-17.4212187924111345.8317640.444724.43-5551.16-8879.093.182.690.075078.31
atrnil26.641492552211115023161.5243366.63-9592.9-14865.952.412.410.0786784.31
atrnil312.111266491971236.8434387.1357620.56-9505.06-14865.953.622.110.0616665.74
nilnil-1252651.6920128608369.1745064.38-5972.3-21511.631.42.10.0432632.58
200nil31.66-9646.592962320.699708.9511553.27-2952.19-3944.223.290.86-0.013-332.64
200trail31.62-21815.432952417.249340.0911317.6-2854.83-3944.223.270.68-0.033-752.26
200nil21.34-22620.52972224.146161.697702.18-2988.74-3944.222.060.66-0.04-780.02
200trail21.34-22620.52972224.146161.697702.18-2988.74-3944.222.060.66-0.04-780.02
200trail-12.14-32253.012942513.799084.5222274.68-2743.64-3944.223.310.53-0.045-1112.17

In the table above, row 1 shows the best exit criterion. Profit factor is 3.82. Strategy is very good and impressively bearish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 3.81%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, Profit Factor:3.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Mar 2019 (-0.68%), 26 Mar 2019 (-4.17%)
2016105 Dec 2016 (-0.45%)
2015306 Feb 2015 (2.79%), 13 Feb 2015 (-1.32%), 02 Jul 2015 (8.35%)
2014201 Jan 2014 (7.5%), 01 Dec 2014 (11.47%)
2013325 Feb 2013 (-2.15%), 11 Mar 2013 (0.95%), 16 Apr 2013 (7.08%)
2012315 May 2012 (11.24%), 15 Jun 2012 (-3.7%), 03 Dec 2012 (-2.64%)
2010404 Jan 2010 (-3.16%), 24 Sep 2010 (-2.9%), 04 Oct 2010 (7.23%), 25 Oct 2010 (-2.59%)
2007119 Feb 2007 (10.4%)
2003123 May 2003 (-4.44%)
2001409 Mar 2001 (19.21%), 15 Mar 2001 (21.68%), 18 Apr 2001 (16.08%), 20 Nov 2001 (-4.28%)



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