Study: Buy RELIANCE 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 RELIANCE 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 RELIANCE 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
125591.520128604378.0315814.72-3368.11-6534.61.31.950.0451279.57
233348.8520119556941.133085.19-4778.14-12288.891.451.780.0371667.44
34183.76201010508066.4441224.15-7648.06-27280.041.051.050.0034209.19
4-22827.4520911457495.0334077.75-8207.52-36609.30.910.75-0.018-1141.37
5-26434.2120911456565.3923622.83-7774.79-44104.870.840.69-0.021-1321.71
6-49272.7201010504517.1516203.81-9444.42-50120.640.480.48-0.039-2463.63
7-51974.7920911456693.2817382.83-10201.3-51182.240.660.54-0.037-2598.74
8-63758.3201010505832.4919690.29-12208.32-60479.330.480.48-0.04-3187.92
9-68878.9520812408034.3220428.67-11096.12-69261.70.720.48-0.04-3443.95
10-27956.33209114510755.2824418.01-11341.26-58967.350.950.78-0.017-1397.82

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.95. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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-1125591.520128604378.0315814.72-3368.11-6534.61.31.950.0451279.57
atrnil311.6467876.862271531.8222635.7342683.9-6038.22-9930.643.751.750.0423085.31
atrnil27.2732152.042281436.3614628.528455.93-6062.57-9930.642.411.380.0271461.46
atrtrail34.915696.362381534.788731.2142683.9-4276.89-9452.242.041.090.0048247.67
atrtrail24.7-4098.712381534.787506.8328455.93-4276.89-9452.241.760.94-0.0043-178.2
50trail-12.85-7316.652671926.926461.0835503.72-2765.49-3873.562.340.86-0.0077-281.41
atrtrail-15-10598.422381534.786694.3626389.13-4276.89-9452.241.570.83-0.012-460.8
50nil32.92-11382.122662023.088133.9310330.09-3009.29-3955.62.70.81-0.019-437.77
50nil22.54-27649.992662023.085422.626886.73-3009.29-3955.61.80.54-0.06-1063.46
50trail32.5-27509.882671926.923576.347506.88-2765.49-3873.561.290.48-0.066-1058.07
50trail22.35-31905.212671926.922948.435107.61-2765.49-3873.561.070.39-0.088-1227.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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.
RELIANCE Performance, X=1, Profit Factor:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018127 Jun 2018 (-2.16%)
2017217 Jan 2017 (-0.84%), 08 May 2017 (0.68%)
2016113 Dec 2016 (1.89%)
2014120 Jun 2014 (0.14%)
2013208 Feb 2013 (0.56%), 08 Nov 2013 (-1.38%)
2012116 Oct 2012 (-0.9%)
2009101 Jul 2009 (-2.3%)
2006122 Jun 2006 (3.77%)
2005222 Mar 2005 (1.48%), 19 Oct 2005 (0.11%)
2004315 Apr 2004 (0.14%), 22 Nov 2004 (-3.27%), 29 Dec 2004 (-1.58%)
2000429 Feb 2000 (1.91%), 05 Apr 2000 (7.91%), 27 Jul 2000 (-1.05%), 20 Sep 2000 (0.12%)
1999101 Nov 1999 (7.55%)



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