Study: Buy RELINFRA when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy RELINFRA when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
11262.64117463.642832.868040.96-4641.84-9558.660.611.070.005114.79
238425.38116554.558561.8827212.2-2589.19-7481.33.313.970.0833493.22
339393.66117463.647757.9424311.1-3727.98-5305.282.083.640.0873581.24
446831.89116554.5511855.124328.73-4859.75-7502.982.442.930.0834257.44
566240.59117463.6412372.5329601.87-5091.79-8689.692.434.250.116021.87
648692.01117463.6410158.9722161.92-5605.2-9787.331.813.170.0914426.55
747657.01116554.5513665.6929986.43-6867.42-9909.911.992.390.0724332.46
870362.86116554.5515782.6132881.05-4866.56-13354.683.243.890.0976396.62
965339.06117463.6413800.7646019.9-7816.56-21175.391.773.090.0745939.91
1071972.36116554.5517653.467639.08-6789.61-22821.862.63.120.0616542.94
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:4.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Feb 2018 (-3.22%)
2017121 Mar 2017 (-1.6%)
2015117 Dec 2015 (11.53%)
2014110 Apr 2014 (5.77%)
2013118 Jan 2013 (2.44%)
2012129 Feb 2012 (4.12%)
2009125 May 2009 (14.8%)
2005113 Jul 2005 (4.21%)
2003130 Jan 2003 (0.43%)
1998110 Apr 1998 (-4.34%)
1996113 Mar 1996 (-1.02%)

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
atrtrail-16.2373326.34137653.8515304.3267660.44-5633.99-10635.892.723.170.065640.49
atrtrail24.5466137.44137653.8514277.3426649.29-5633.99-10635.892.532.960.0875087.5
atrnil25.3154034.72136746.1517629.5726649.29-7391.82-10635.892.392.040.0644156.52
atrtrail35.6226876.48137653.858668.6321210.57-5633.99-10635.891.541.80.0472067.42
atrnil310.3129473.21134930.7725144.6239973.93-7900.58-11766.33.181.410.0292267.17

In the table above, row 1 shows the best exit criterion. Profit factor is 3.17. Strategy is very good and impressively bullish. Percentage of profitable trades is 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 2.82%, which is very good. Sharpe Ratio is 0.06, 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:3.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018112 Feb 2018 (-5.32%)
2017221 Mar 2017 (-2.83%), 22 Mar 2017 (1.84%)
2015117 Dec 2015 (33.83%)
2014110 Apr 2014 (1.92%)
2013118 Jan 2013 (1.08%)
2012129 Feb 2012 (4.94%)
2009125 May 2009 (7.94%)
2005113 Jul 2005 (2.02%)
2003130 Jan 2003 (-0.22%)
1998210 Apr 1998 (-4.6%), 13 Apr 1998 (-1.04%)
1996113 Mar 1996 (-2.9%)



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