Study: Buy MOTHERSUMI when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy MOTHERSUMI 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
1-23955.45826251453.732581.37-4477.15-11034.480.320.11-0.16-2994.43
2-40923.16826253974.546734.01-8145.37-13793.10.490.16-0.17-5115.4
3-31528.87826254997.595499.44-6920.68-23448.280.720.24-0.099-3941.11
4-40166.29826256888.68505.47-8990.58-27448.280.770.26-0.1-5020.79
5-50126.2283537.56383.3716524.91-13855.26-24137.930.460.28-0.11-6265.78
6-72061.1483537.53756.229234.51-16665.96-31655.170.230.14-0.14-9007.64
7-45839.1583537.511775.422478.74-16233.07-42686.060.730.44-0.068-5729.89
8-41949.118262512686.3921263.67-11220.31-46022.241.130.38-0.064-5243.64
9-43800.49844509100.8421385.18-20050.96-46022.240.450.45-0.062-5475.06
10-29746.7183537.511368.520170.11-12770.44-37040.210.890.53-0.051-3718.34
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil34.2-38726.210282023020.6125571.27-10595.93-16124.012.170.54-0.061-3872.62
atrnil24-54073.2710282015347.0717047.51-10595.93-16124.011.450.36-0.11-5407.33
atrtrail33-52444.8710191025571.2725571.27-8668.46-16124.012.950.33-0.1-5244.49
atrtrail22.8-60968.6310191017047.5117047.51-8668.46-16124.011.970.22-0.15-6096.86
atrtrail-13.1-65638.3710191012377.7712377.77-8668.46-16124.011.430.16-0.19-6563.84

In the table above, row 1 shows the best exit criterion. Profit factor is 0.54. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:0.543

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012121 Aug 2012 (10.23%)
2009119 May 2009 (-8.06%)
2006117 Oct 2006 (-3.87%)
2005129 Aug 2005 (12.79%)
2004101 Dec 2004 (-5.46%)
2003120 May 2003 (-7.05%)
2002216 Jul 2002 (-4.87%), 17 Jul 2002 (-4.94%)
2000224 Jul 2000 (-3.81%), 25 Jul 2000 (-4.32%)



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