Study: Buy RELCAPITAL when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL when above 200 SMA and near 50 SMA and above 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: buy 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. 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
1-3221064603407.037882.17-5191.04-11239.760.660.98-0.0012-32.2
228476.141073708857.4822271.86-11175.41-19645.880.791.850.0522847.61
330877.6110646013092.7328531.37-11919.7-21247.441.11.650.0423087.76
440227.9210464020092.5238162.09-6690.36-13026.07320.0544022.79
518643.810464016856.328015.32-8130.23-22421.922.071.380.0271864.38
6-2325.0910464014495.4223867.26-10051.13-21518.231.440.96-0.0034-232.51
7-13233.2910464017314.627823.87-13748.61-34142.261.260.84-0.015-1323.33
822781.8410464024801.8149521.38-12737.56-31065.281.951.30.0212278.18
910937.1210646014172.639693.68-18524.62-29832.020.771.150.0111093.71
10-33790.5310555015794.2741289.09-22552.37-38766.210.70.7-0.03-3379.05
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
RELCAPITAL Performance, X=4, Profit Factor:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016107 Jan 2016 (-0.77%)
2014111 Jul 2014 (7.4%)
2013104 Feb 2013 (-5.65%)
2012105 Nov 2012 (-1.14%)
2007113 Aug 2007 (-6.51%)
2006121 Dec 2006 (4.55%)
2005221 Mar 2005 (19.08%), 27 Apr 2005 (-3.9%)
2004203 May 2004 (9.15%), 22 Jul 2004 (-2.11%)

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
atrtrail34.166047.3810555019400.730012.93-6191.22-11325.393.133.130.0866604.74
atrtrail-14.839206.4610555014032.5225023.84-6191.22-11325.392.272.270.0663920.65
atrtrail23.936950.8410555013581.3920008.62-6191.22-11325.392.192.190.0653695.08
atrnil39.355657.8710464027391.3430012.93-8984.58-11575.463.052.030.0635565.79
atrnil2919136.0810464018260.8920008.62-8984.58-11575.462.031.350.0291913.61
50trail31.334876.16124833.337035.647884.17-2908.3-3893.532.421.210.017406.35
50nil21.173242.92125741.675075.276614.65-3161.92-3893.531.611.150.013270.24
50trail21.173242.92125741.675075.276614.65-3161.92-3893.531.611.150.013270.24
50nil31.332701.8124833.337035.647884.17-3180.1-3893.532.211.110.0094225.15
50trail-12.08-1543.731239257386.8113753.94-2633.8-3893.532.80.93-0.0051-128.64

In the table above, row 1 shows the best exit criterion. Profit factor is 3.13. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 3.3%, which is very good. Sharpe Ratio is 0.086, 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:3.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016107 Jan 2016 (-1.52%)
2014111 Jul 2014 (4.68%)
2013104 Feb 2013 (-3.09%)
2012105 Nov 2012 (-0.68%)
2007113 Aug 2007 (-4.53%)
2006121 Dec 2006 (15.01%)
2005221 Mar 2005 (14.36%), 27 Apr 2005 (-5.66%)
2004203 May 2004 (14.27%), 22 Jul 2004 (0.17%)



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