Study: Sell LUPIN 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 LUPIN 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 LUPIN 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
18961.1496366.673457.359607.57-3927.66-7827.360.881.760.051995.68
2126.6594544.446196.719442.93-4932.04-9387.21.261.010.0005414.07
3-4127.1395455.563334.477201.09-5199.87-11841.580.640.8-0.021-458.57
4413.194544.444187.336774.08-3267.24-11937.211.281.030.002245.9
5-13714.6496366.673804.299645.1-12180.13-27922.540.310.62-0.035-1523.85
6-40885.7793633.337022.9111322.15-10325.75-28448.480.680.34-0.095-4542.86
7-21529.6393633.338463.1116199.84-7819.83-21165.031.080.54-0.054-2392.18
8-8734.4594544.448887.0127329.84-8856.5-21627.2210.8-0.018-970.49
9-9430.6793633.3312951.9325068.36-8047.74-20336.281.610.8-0.019-1047.85
103019.1692722.2225113.0532547.48-6743.85-19969.723.721.060.0054335.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.76. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 66.67%, which is good. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study. 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-118961.1496366.673457.359607.57-3927.66-7827.360.881.760.051995.68
200trail31.929927.09134930.778904.1411759.23-2854.39-3919.813.121.390.033763.62
200nil31.928972.65134930.778904.1411759.23-2960.43-3977.243.011.340.029690.2
atrtrail24.53174.6810464010967.1517427.72-6782.32-14448.041.621.080.0077317.47
200trail21.77-1945.1134930.775936.097839.49-2854.39-3919.812.080.92-0.0086-149.62
200nil21.77-2899.54134930.775936.097839.49-2960.43-3977.242.010.89-0.013-223.04
atrnil25.5-18638.6710373013732.8217427.72-8548.16-14448.041.610.69-0.042-1863.87
atrnil312.5-32894.8810282017828.0519630.91-8568.87-14448.042.080.52-0.073-3289.49
atrtrail35-21901.711046404698.069355.81-6782.32-14448.040.690.46-0.078-2190.17
atrtrail-15-21901.711046404698.069355.81-6782.32-14448.040.690.46-0.078-2190.17
200trail-13-15178.141321115.385427.365846.56-2366.62-3919.812.290.42-0.092-1167.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 66.67%, which is good. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study. 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.
LUPIN Performance, X=1, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015329 Jul 2015 (0.81%), 16 Nov 2015 (0.53%), 03 Dec 2015 (0.93%)
2011211 Feb 2011 (-3.91%), 22 Dec 2011 (3.1%)
2008124 Oct 2008 (-0.71%)
2005105 Jan 2005 (4.8%)
2004101 Nov 2004 (0.2%)
2002126 Jun 2002 (-1.27%)



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