Study: Sell RELINFRA 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 RELINFRA 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 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
1-33142.8131131841.944930.6820135.8-5402.31-17042.490.910.66-0.03-1069.12
2-23051.3331141745.166802.0428569.03-6957.64-17366.30.980.81-0.016-743.59
3-56225.5331102132.269214.4327663.68-7065.23-21966.651.30.62-0.036-1813.73
4-76421.231102132.268529.7822350.32-7700.9-25693.181.110.53-0.048-2465.2
5-42438.7931141745.167822.2429492.27-8938.24-25934.550.880.72-0.024-1368.99
6-73362.4931121938.71850621633.55-9233.4-30861.630.920.58-0.04-2366.53
7-1500113192229.039954.2724105.96-10890.9-37112.390.910.37-0.073-4839.08
8-16228331121938.718511.3731523.18-13916.82-52678.020.610.39-0.066-5234.94
9-1745963192229.0312055.4938101.55-12867.97-48486.330.940.38-0.069-5632.13
10-1279663192229.0317830.4748653.42-13110.9-47358.741.360.56-0.044-4127.92
Although, strategy looks good but profit factor on day 1 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
200trail21.56-19721.539102925.646263.27779.89-2839.77-3949.42.210.76-0.025-505.68
200trail31.85-21170.783993023.086904.7111483.77-2777.11-3949.42.490.75-0.024-542.84
200nil21.56-22856.4439102925.646263.27779.89-2947.88-3949.42.120.73-0.029-586.06
200nil31.95-27743.663973217.959542.2211483.77-2954.35-3949.43.230.71-0.03-711.38
200trail-12.24-36094.383883021.055663.6415424.6-2713.45-3949.42.090.56-0.046-949.85
atrnil25.47-1137633272521.8815697.1718951.14-8945.71-20538.291.750.49-0.067-3555.08
atrnil36.26-1253763152616.1321599.4125737.92-8975.88-20538.292.410.46-0.07-4044.38
atrtrail23.63-105844357282012139.5618951.14-6815.02-13351.111.780.45-0.069-3024.1
atrtrail33.88-1266353462817.6510705.1725737.92-6816.65-13351.111.570.34-0.091-3724.57
atrtrail-14.06-1552603352815.157355.7915505.06-6858.53-13351.111.070.19-0.15-4704.84

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25.64%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELINFRA Performance, Profit Factor:0.761

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Jan 2018 (-1.12%)
2017213 Feb 2017 (-1.25%), 21 Dec 2017 (-1.75%)
2016204 Feb 2016 (-1.25%), 25 Feb 2016 (-1.41%)
2014307 Oct 2014 (-1.37%), 14 Oct 2014 (2.67%), 28 Oct 2014 (-1.7%)
2012628 May 2012 (3.6%), 31 Jul 2012 (-1.16%), 11 Dec 2012 (-1.17%), 13 Dec 2012 (-1.5%), 17 Dec 2012 (-1.27%), 21 Dec 2012 (-1.11%)
2010316 Apr 2010 (2.05%), 03 May 2010 (3.83%), 15 Sep 2010 (-1.05%)
2009121 Apr 2009 (-1.42%)
2006117 May 2006 (3.33%)
2004727 May 2004 (3.64%), 25 Jun 2004 (-1.6%), 21 Jul 2004 (-1.73%), 27 Jul 2004 (2.01%), 28 Jul 2004 (-1.96%), 09 Aug 2004 (-1.25%), 01 Nov 2004 (-1.22%)
2003507 Mar 2003 (-1.43%), 25 Mar 2003 (3.89%), 02 Apr 2003 (-1.56%), 03 Apr 2003 (-1.09%), 09 May 2003 (-1.64%)
2002202 Aug 2002 (-1.64%), 08 Oct 2002 (3.11%)
2001226 Feb 2001 (-1.62%), 12 Nov 2001 (-1.52%)
2000107 Aug 2000 (-1.42%)
1999114 Jan 1999 (3.19%)
1996117 Oct 1996 (-1.97%)
1995123 Nov 1995 (-1.0%)



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