Study: Buy INDIACEM when near 200 SMA and above 200 SMA and RSI is above 50 and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy INDIACEM when near 200 SMA and above 200 SMA and RSI is above 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: buy 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. sell 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
1-11625.34114736.364382.6710377.36-4165.14-7680.951.050.6-0.044-1056.85
2-46083.05115645.453313.6610291.6-10441.89-30818.970.320.26-0.086-4189.37
3-14518.21114736.367990.9318586.53-6640.27-21336.211.20.69-0.028-1319.84
4-3247.32113827.2715853.7230829.16-6351.06-18965.522.50.94-0.0048-295.21
510168.75114736.3617928.4126933.78-8792.13-32112.072.041.170.012924.43
6-14223.62115645.4511617.8320478.58-12052.13-27801.720.960.8-0.019-1293.06
73981.97116554.5510525.824930.44-11834.57-24784.480.891.070.0051362
830469.92115645.4517072.8529674.1-9149.06-26939.661.871.560.0342769.99
958892.4115645.4523940.9443750-10135.39-25215.522.361.970.055353.85
1074095.83116554.5522799.0550306.07-12539.69-26077.591.822.180.0626735.98
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
INDIACEM Performance, X=10, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Mar 2019 (6.65%)
2016130 Dec 2016 (12.86%)
2015216 Feb 2015 (4.97%), 06 Jul 2015 (-10.73%)
2013127 Feb 2013 (-1.34%)
2010305 Jan 2010 (-1.18%), 29 Sep 2010 (0.3%), 14 Oct 2010 (-5.07%)
2003119 May 2003 (18.47%)
2001125 Apr 2001 (-13.04%)
1997126 Jun 1997 (25.15%)

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
200trail-12.815500.26153122015739.1624320.75-2643.1-3871.045.951.490.0241033.35
200trail21.472296.711761135.295469.97407.53-2774.79-3871.041.971.080.0069135.1
atrtrail-14.82412.931521313.3347765.3572742.73-7162.91-15741.696.671.030.0016160.86
200nil21.47-482.961761135.295469.97407.53-3027.49-3871.041.810.99-0.0014-28.41
200trail31.8-5141.291541126.676290.6211111.3-2754.89-3871.042.280.83-0.016-342.75
200nil31.8-10031.715312208278.911111.3-2905.7-3871.042.850.71-0.03-668.78
atrtrail33.2-47183.431521313.3322967.1724322.73-7162.91-15741.693.210.49-0.06-3145.56
atrnil33.86-60712.111421214.2922967.1724322.73-8887.21-15741.692.580.43-0.078-4336.58
atrtrail22.87-62494.881521313.3315311.4516215.15-7162.91-15741.692.140.33-0.1-4166.33
atrnil23.5-76023.561421214.2915311.4516215.15-8887.21-15741.691.720.29-0.13-5430.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 20%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
INDIACEM Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Mar 2019 (-1.72%), 20 Mar 2019 (-1.71%)
2016130 Dec 2016 (12.16%)
2015216 Feb 2015 (-1.34%), 06 Jul 2015 (-1.82%)
2013227 Feb 2013 (-1.0%), 08 Mar 2013 (-1.37%)
2010505 Jan 2010 (-0.53%), 13 Jan 2010 (0.16%), 29 Sep 2010 (-1.94%), 05 Oct 2010 (-0.71%), 12 Oct 2010 (-1.04%)
2003119 May 2003 (-1.64%)
2001125 Apr 2001 (-1.05%)
1997126 Jun 1997 (11.29%)



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