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

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL when near 200 SMA and above 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: 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
145075.52251213487076.4920557.34-3064.8-7722.622.312.130.0571803.02
236797.02259163610906.1525196.51-3834.9-8695.652.841.60.0341471.88
394193.592511144414356.5246277.16-4552.01-8459.963.152.480.063767.74
4132977251696411536.1757355.94-5733.52-12256.732.013.580.0745319.08
51654122515106014620.4956699.88-5389.51-8198.762.714.070.0876616.49
61955552515106017234.7868651.36-6296.65-14045.172.744.110.0827822.2
7177502251696415135.3691207.84-7184.82-15830.152.113.750.0687100.1
81599572512134820915.83100692-7002.57-28796.882.992.760.0536398.26
91402992514115617362.8691611.42-9343.75-39522.631.862.370.0495611.95
101656412515106018048.32106832-10508.35-29968.271.722.580.0526625.65

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 4.11. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.91%, which is very good. Sharpe Ratio is 0.082, which is low, 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=6, Profit Factor:4.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018208 Jan 2018 (-5.94%), 23 Aug 2018 (6.03%)
2016309 Mar 2016 (-3.36%), 17 Nov 2016 (-0.98%), 09 Dec 2016 (3.37%)
2015216 Oct 2015 (3.2%), 16 Dec 2015 (7.23%)
2014308 May 2014 (30.9%), 30 Sep 2014 (-0.49%), 27 Oct 2014 (5.16%)
2012107 Mar 2012 (-2.19%)
2010223 Jul 2010 (-0.57%), 06 Aug 2010 (-4.48%)
2008111 Feb 2008 (34.33%)
2006226 May 2006 (6.42%), 21 Jun 2006 (3.75%)
2004330 Jun 2004 (-7.02%), 22 Jul 2004 (-1.19%), 24 Dec 2004 (4.06%)
2002201 Jan 2002 (1.04%), 28 Nov 2002 (7.84%)
2000126 Jun 2000 (-5.26%)
1998218 Mar 1998 (1.33%), 01 Apr 1998 (14.13%)
1997129 Dec 1997 (0.47%)

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-161955552515106017234.7868651.36-6296.65-14045.172.744.110.0827822.2
200trail-12.8813664333102330.319977.1105362-2744.68-3906.117.283.160.0444140.71
atrtrail-15.7113173328151353.5714705.2987783.39-6834.32-14391.322.152.480.0474704.76
atrtrail24.7576774.3328151353.5711041.3649912.8-6834.32-14391.321.621.860.0442741.94
atrtrail35.3256661.8328151353.579700.5343887.67-6834.32-14391.321.421.640.0342023.64
200trail21.4425482.3536142238.896348.977646.51-2881.97-3906.112.21.40.031707.84
200trail31.7924580.8234112332.357973.511469.77-2744.68-3906.112.911.390.027722.97
200nil21.4423097.3536142238.896348.977646.51-2990.38-3914.482.121.350.028641.59
200nil31.8820701.6534102429.419371.5111469.77-3042.23-3906.113.081.280.021608.87
atrnil28.1525143.8827101737.0419250.2249912.8-9844.61-20441.151.961.150.012931.25
atrnil39.81-40501.532772025.9323904.4139270.06-10391.62-24956.42.30.81-0.019-1500.06

In the table above, row 1 shows the best exit criterion. Profit factor is 4.11. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.91%, which is very good. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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