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

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL when below 200 SMA and near 50 SMA and below 50 SMA 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 RELCAPITAL 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
132475.3127558.336273.7314123.22-2288.16-4243.012.743.840.12706.28
236043127558.337947.0817156.4-3917.31-7907.432.032.840.0823003.58
31887.12127558.338039.4913263.46-10877.86-16586.310.741.030.003157.26
421356.2128466.6710291.4421702.2-15243.84-28997.670.681.350.0261779.68
558278.14128466.6715018.4134712.69-15467.29-29743.590.971.940.0564856.51
664114.43127558.3317171.638398.99-11217.35-22191.141.532.140.0645342.87
734114.5912665018833.4337784.6-13147.66-23742.451.431.430.0312842.88
824232.92127558.3312883.1434242.86-13189.81-24144.870.981.370.0252019.41
938173.34127558.3314162.541922.66-12192.83-19580.421.161.630.0383181.11
1021083.7212665017211.4251463.68-13697.47-22377.621.261.260.0181756.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.84. Strategy is very good and impressively bearish. Percentage of profitable trades is 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study.
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.
RELCAPITAL Performance, X=1, Profit Factor:3.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Jan 2019 (3.73%)
2015202 Feb 2015 (1.47%), 14 Sep 2015 (2.55%)
2014107 Mar 2014 (-1.62%)
2011214 Jun 2011 (-0.18%), 01 Aug 2011 (2.73%)
2010118 Mar 2010 (0.49%)
2006110 Aug 2006 (-0.44%)
2001126 Dec 2001 (3.92%)
2000229 Aug 2000 (-1.35%), 15 Sep 2000 (7.06%)
1997117 Jun 1997 (-2.12%)

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
50trail-14.5894955.1712665018333.4256220.09-2507.56-3488.237.317.310.0987912.93
50nil3352637.35127558.339499.3711821.23-2771.65-3488.233.434.80.144386.45
nilnil-1132475.3127558.336273.7314123.22-2288.16-4243.012.743.840.12706.28
50trail32.3334227.031266508212.0710796.87-2507.56-3488.233.273.270.112852.25
50nil21.6730472.15127558.336332.917880.82-2771.65-3488.232.283.20.112539.35
50trail21.6730472.15127558.336332.917880.82-2771.65-3488.232.283.20.112539.35
atrtrail-16.6763041.34127558.3314311.4951658.09-7427.82-10165.121.932.70.0655253.45
atrtrail24.0847277.65127558.3312059.5423218.23-7427.82-10165.121.622.270.0733939.8
atrtrail35.535349.43127558.3310355.5119758.62-7427.82-10165.121.391.950.0582945.79
atrnil37.8352269.89125741.6722979.0834827.34-8946.5-13472.122.571.830.0544355.82
atrnil24.9233745.112665014963.2323218.23-9339.05-13472.121.61.60.0452812.09

In the table above, row 1 shows the best exit criterion. Profit factor is 7.31. Strategy is very good and impressively bearish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 3.96%, which is very good. Sharpe Ratio is 0.098, 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.
RELCAPITAL Performance, Profit Factor:7.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Jan 2019 (4.3%)
2015202 Feb 2015 (7.34%), 14 Sep 2015 (1.24%)
2014107 Mar 2014 (-1.74%)
2011214 Jun 2011 (-1.07%), 01 Aug 2011 (28.11%)
2010118 Mar 2010 (3.03%)
2006110 Aug 2006 (-1.64%)
2001126 Dec 2001 (-0.59%)
2000229 Aug 2000 (-1.08%), 15 Sep 2000 (10.97%)
1997117 Jun 1997 (-1.39%)



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