Study: Sell RELINFRA when below 200 SMA and near 50 SMA and below 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell RELINFRA when below 200 SMA and near 50 SMA and below 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: sell RELINFRA 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
1-825.93115645.452780.273898.51-2454.54-4220.491.130.94-0.0053-75.08
225526.02116554.557724.7218777.07-4164.46-6618.361.852.230.0632320.55
322056.42116554.557411.3520207.51-4482.34-13188.411.651.980.052005.13
441267.8116554.5512613.7926150.9-6882.98-13285.021.832.20.0633751.62
542916.9116554.5512687.4326291.93-6641.53-10144.931.912.290.0693901.54
631186.1117463.6410320.3222685.41-10264.04-16811.591.011.760.0472835.1
721346.75116554.5511204.0337227.34-9175.48-22173.911.221.470.0271940.61
8-7260.92116554.559621.4921909.84-12997.97-19993.470.740.89-0.01-660.08
9-38465.79114736.3613320.0623800.29-13106.58-30186.211.020.58-0.048-3496.89
10-39214.45115645.4511725.5322588.46-16307.02-35151.910.720.6-0.043-3564.95
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
RELINFRA Performance, X=5, Profit Factor:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018131 Jan 2018 (13.15%)
2017111 Dec 2017 (3.29%)
2013103 May 2013 (-3.98%)
2012104 Dec 2012 (-3.81%)
2010124 May 2010 (-1.81%)
2008123 Jul 2008 (4.48%)
2006131 Jul 2006 (-1.93%)
2004103 Nov 2004 (0.81%)
2002110 Dec 2002 (-5.07%)
2000112 Sep 2000 (6.75%)
1997117 Oct 1997 (9.6%)

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
atrtrail3536382.7412665014329.8426431.98-8266.05-15610.991.731.730.0473031.9
atrtrail-16.1732864.1612665013743.4230130.31-8266.05-15610.991.661.660.0422738.68
atrtrail24.1723565.512665012193.6417621.32-8266.05-15610.991.481.480.0371963.79
50trail-12.2713769.84153122014521.2122723.7-2482.82-3774.745.851.460.023917.99
50nil31.611852.411541126.6710781.9111868.02-2843.2-3774.743.791.380.026790.16
atrnil36.1817374.67114736.3620030.2226431.98-8963.74-16095.22.231.280.0221579.52
atrnil25.2711683.16115645.4513484.8417621.32-9290.17-16095.21.451.210.0181062.11
50nil21.245141.971761135.296419.087912.01-3033.86-3774.742.121.150.013302.47
50trail21.245141.971761135.296419.087912.01-3033.86-3774.742.121.150.013302.47
50trail31.44-1908.451631318.7510453.211868.02-2559.08-3774.744.080.94-0.0047-119.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, 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.
RELINFRA Performance, Profit Factor:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018131 Jan 2018 (13.22%)
2017111 Dec 2017 (0.06%)
2013103 May 2013 (-4.94%)
2012104 Dec 2012 (-2.69%)
2010124 May 2010 (-2.8%)
2008223 Jul 2008 (2.87%), 31 Jul 2008 (-7.81%)
2006131 Jul 2006 (-3.5%)
2004103 Nov 2004 (7.54%)
2002110 Dec 2002 (-3.07%)
2000112 Sep 2000 (10.16%)
1997117 Oct 1997 (9.14%)



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