Study: Buy RELIANCE 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 RELIANCE 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 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
1-5470.3924101441.673133.637105.11-2629.05-7366.791.190.85-0.014-227.93
21483.1724131154.173643.6111059.37-4171.25-13822.710.871.030.002561.8
3-4656.17241212504646.559923.66-5034.56-25541.960.920.92-0.0056-194.01
4-12214.2524101441.675941.6213859.94-5116.46-12337.661.160.83-0.015-508.93
55471.3424131154.174903.910129.82-5298.13-12466.210.931.090.0077227.97
614198.7124131154.175093.5512689.71-4728.85-8661.951.081.270.02591.61
710919.2124141058.335735.511544.43-6937.78-16584.510.831.160.012454.97
851401.072415962.57442.9615913.09-6693.7-21370.651.111.850.052141.71
946408.352416866.677063.4715502.52-8325.9-22030.530.851.70.0451933.68
1054838.612415962.58564.5317013.77-8181.04-28056.921.051.740.0462284.94
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil312.1213162224101441.6723301.651279.45-7242.42-16623.253.222.30.0655484.26
atrnil28.1790629.2124111345.8316345.1634186.3-6859.04-16623.252.382.020.0593776.22
atrtrail25.6221073.1926121446.158915.1234186.3-6136.3-16623.251.451.250.016810.51
200nil33.7513463.042882028.579281.4111354.87-3039.41-3951.883.051.220.017480.82
atrtrail36.510602.4426121446.158042.5623944.72-6136.3-16623.251.311.120.0092407.79
atrtrail-16.696208.0426121446.157676.3623944.72-6136.3-16623.251.251.070.0056238.77
200trail-13.83-1794.1530921306612.912579.16-2919.54-3951.882.270.97-0.0025-59.81
200trail33.17-2447.6930921306540.2811311.88-2919.54-3951.882.240.96-0.0035-81.59
200nil22.9-3869.742992031.036324.287569.91-3039.41-3951.882.080.94-0.0061-133.44
200trail22.6-9162.0930921305794.247569.91-2919.54-3951.881.980.85-0.015-305.4

In the table above, row 1 shows the best exit criterion. Profit factor is 2.3. 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 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 2.74%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELIANCE Performance, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019122 Aug 2019 (-2.72%)
2018125 Oct 2018 (12.63%)
2017120 Jan 2017 (5.13%)
2016415 Feb 2016 (9.92%), 05 May 2016 (-1.98%), 30 May 2016 (-1.78%), 08 Dec 2016 (5.34%)
2012215 Feb 2012 (-2.72%), 16 Nov 2012 (6.23%)
2010120 Sep 2010 (-2.03%)
2008228 Mar 2008 (15.71%), 26 May 2008 (-3.69%)
2006125 Jan 2006 (16.47%)
2004217 Sep 2004 (-2.13%), 13 Dec 2004 (-3.6%)
2002120 Nov 2002 (8.75%)
2001123 Apr 2001 (-6.11%)
2000208 Mar 2000 (-8.31%), 16 Mar 2000 (25.64%)
1999213 Jan 1999 (-3.46%), 27 Jan 1999 (-3.83%)
1998212 Mar 1998 (10.7%), 13 May 1998 (-3.63%)
1997126 Nov 1997 (-4.71%)



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