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

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL when near 200 SMA and below 200 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
138950.39251312526661.0718984.87-3970.3-8922.261.681.820.0471558.02
2-35325.07251411565538.814374.76-10260.75-29004.550.540.69-0.028-1413
3-34528.44251114448211.5721459.23-8918.27-26348.080.920.72-0.025-1381.14
4-57760.312510154010534.5627649.89-10873.73-33711.110.970.65-0.034-2310.41
5-89151.492510154010240.516959.29-12770.43-41890.320.80.53-0.049-3566.06
6-15903625817329330.8420805.59-13746.03-40684.330.680.32-0.086-6361.43
7-21911625817329212.7321504.66-17224.59-64935.820.530.25-0.095-8764.65
8-167491259163612642.827996.01-17579.79-94690.780.720.4-0.057-6699.65
9-1480802510154014212.1336077.51-19346.74-1042880.730.49-0.046-5923.2
10-1917942510154015378.4247753-23038.56-95099.180.670.45-0.055-7671.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.82. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, which is low, don't trade solely on the basis of this study.

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-1138950.39251312526661.0718984.87-3970.3-8922.261.681.820.0471558.02
200trail-12.5729822.49357282015940.2867563.58-2919.98-3906.335.461.360.014852.07
atrnil38.629989.66257182827438.6533455.19-9004.49-17123.533.051.190.0141199.59
atrtrail-14.7915789.962992031.0316897.0263361.5-6814.16-17123.532.481.120.0073544.48
atrnil26-17103.83258173217416.7222303.46-9202.21-17123.531.890.89-0.011-684.15
atrtrail23.9-15576.52992031.0313411.8622303.46-6814.16-17123.531.970.89-0.01-537.12
200trail31.41-14331.033792824.327826.9311566.08-3027.62-3906.332.590.83-0.016-387.33
200trail21.22-15402.0537112629.735788.737710.72-3041.46-3906.331.90.81-0.021-416.27
200nil21.22-15476.7537112629.735788.737710.72-3044.34-3906.331.90.8-0.021-418.29
200nil31.46-17507.73782921.628764.0311566.08-3021.38-3906.332.90.8-0.019-473.18
atrtrail34.24-32480.912992031.0311533.5929224.73-6814.16-17123.531.690.76-0.023-1120.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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, X=1, Profit Factor:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Aug 2018 (-0.81%)
2017128 Sep 2017 (2.28%)
2016329 Jan 2016 (3.3%), 25 Nov 2016 (0.56%), 13 Dec 2016 (1.12%)
2015320 Oct 2015 (-3.25%), 18 Nov 2015 (-2.11%), 11 Dec 2015 (-0.5%)
2014307 May 2014 (-1.2%), 13 Oct 2014 (1.24%), 30 Oct 2014 (-3.92%)
2013127 Feb 2013 (8.23%)
2012124 Feb 2012 (9.49%)
2011125 Jul 2011 (1.91%)
2010126 Jul 2010 (-1.11%)
2009103 Nov 2009 (-4.46%)
2004218 Jun 2004 (3.49%), 23 Dec 2004 (-0.48%)
2002127 Nov 2002 (-0.98%)
2000105 Jun 2000 (-4.14%)
1999111 Jun 1999 (3.99%)
1998130 Mar 1998 (2.65%)
1997212 Mar 1997 (1.63%), 31 Dec 1997 (-0.88%)
1995122 Nov 1995 (3.4%)



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