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

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In this study, we evaluate the performance of strategy "Sell JUBLFOOD when near 200 SMA and below 200 SMA and RSI is below 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: sell JUBLFOOD 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
13061.4564266.674148.245783.25-6765.76-11577.690.611.230.028510.24
2-21384.3365183.332107.046666.13-31919.53-31919.530.0660.33-0.09-3564.05
3-31887.1662433.3313065.8726000.32-14504.73-53274.250.90.45-0.073-5314.53
4-40475.1761516.6729005.3529005.35-13896.1-53302.382.090.42-0.091-6745.86
5-35100.862433.3311696.122865.71-14623.25-44819.580.80.4-0.095-5850.13
6-41710.8461516.6727466.3927466.39-13835.45-52697.471.990.4-0.096-6951.81
7-45916.8761516.6724477.5624477.56-14078.89-49321.241.740.35-0.11-7652.81
8-42941.0662433.3312793.621083.75-17132.06-51980.020.750.37-0.1-7156.84
9-29202.462433.3315642.0525028.35-15121.62-41499.611.030.52-0.079-4867.07
10-8927.646335013321.4429564.23-16297.32-34493.920.820.82-0.025-1487.94

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.23. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-113061.4564266.674148.245783.25-6765.76-11577.690.611.230.028510.24
200trail-122883.8791811.1123049.5723049.57-2520.71-3922.499.141.140.013320.43
atrtrail33.14-4096.1471614.2931266.6531266.65-5893.8-14568.695.310.88-0.014-585.16
200nil21.62-2936.4826256815.237844.06-2761.14-3922.492.470.82-0.028-367.05
atrnil35-10194.0861516.6731266.6531266.65-8292.15-14568.693.770.75-0.037-1699.01
200trail21.44-4528.9192722.226815.237844.06-2594.2-3922.492.630.75-0.041-503.21
atrtrail23-14518.3671614.2920844.4420844.44-5893.8-14568.693.540.59-0.066-2074.05
atrnil24.83-20616.361516.6720844.4420844.44-8292.15-14568.692.510.5-0.099-3436.05
atrtrail-13.71-18230.0371614.2917132.7617132.76-5893.8-14568.692.910.48-0.094-2604.29
200trail31.56-11486.0991811.118679.618679.61-2520.71-3922.493.440.43-0.12-1276.23
200nil31.75-11809.2881712.58679.618679.61-2926.98-3922.492.970.42-0.12-1476.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JUBLFOOD Performance, X=1, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 May 2019 (1.29%)
2018122 Oct 2018 (2.89%)
2017113 Apr 2017 (2.43%)
2015121 Sep 2015 (1.68%)
2014115 Jan 2014 (-0.98%)
2011107 Oct 2011 (-5.79%)



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