Study: Sell NIFTY 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 NIFTY 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 NIFTY 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
14388.9495455.561534.83288.55-821.26-2022.811.872.340.1487.66
27802.3496366.671818.473511.59-1036.16-1246.61.763.510.17866.93
36702.8896366.6723106677.02-2385.7-3394.710.971.940.084744.76
418262.2697277.783544.286148.85-3273.86-3385.771.083.790.22029.14
53449.195455.563103.294695.03-3016.84-6760.821.031.290.034383.23
69153.5596366.674005.977442.5-4960.75-8594.920.811.620.0681017.06
72519.6595455.563917.787433.58-4267.31-8684.30.921.150.019279.96
8-1689.2193633.336318.7210411.65-3440.89-11523.061.840.92-0.01-187.69
93718.2294544.445076.6712517.17-3317.69-9919.561.531.220.023413.14
103373.4994544.445083.1513507.49-3391.82-11086.881.51.20.02374.83

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 3.79. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 77.78%, which is excellent. Average return per trade is 1.01%, which is not very high, but percentage of profitable trades compensates for it.
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.
NIFTY Performance, X=4, Profit Factor:3.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Jul 2019 (2.01%), 27 Aug 2019 (2.77%)
2018119 Mar 2018 (0.95%)
2016315 Nov 2016 (2.21%), 29 Nov 2016 (0.16%), 14 Dec 2016 (1.22%)
2015113 May 2015 (-1.58%)
2013111 Apr 2013 (-1.69%)
2011127 Jan 2011 (3.07%)

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-1418262.2697277.783544.286148.85-3273.86-3385.771.083.790.22029.14
atrtrail24.1511918.26137653.853572.87041.8-2181.9-3058.091.641.910.085916.79
atrnil25.2711402.25115645.455693.187041.8-2843.94-3374.5121.670.0781036.57
200trail24.627177.64136746.153498.216061.31-1973.09-3111.671.771.520.056552.13
200nil27.15512.681046406077.027511.06-3132.56-3984.711.941.290.039551.27
atrtrail34.8596.23137653.851883.944254.43-2181.9-3058.090.861.010.0017.4
atrtrail-14.8596.23137653.851883.944254.43-2181.9-3058.090.861.010.0017.4
200trail35.38-2012.43136746.151966.532962.98-1973.09-3111.6710.85-0.023-154.8
200trail-15.38-2012.43136746.151966.532962.98-1973.09-3111.6710.85-0.023-154.8
atrnil38.9-5005.141028208799.7410562.7-2825.58-3374.513.110.78-0.034-500.51
200nil310-16899.8491811.117720.547720.54-3077.55-3984.712.510.31-0.18-1877.76

In the table above, row 1 shows the best exit criterion. Profit factor is 3.79. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 77.78%, which is excellent. Average return per trade is 1.01%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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