Study: Buy RELINFRA when near 200 SMA and above 200 SMA and ADX is Trending

home > technical-strategy > relinfra > 7

In this study, we evaluate the performance of strategy "Buy RELINFRA 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 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
143562.8829191065.523714.6219965.15-2701.5-6211.691.382.610.061502.17
224620.6429161355.174440.4518387.55-3571.27-6520.851.241.530.032848.99
383598.3629181162.075912.0916637.35-2074.48-9423.552.854.660.0952882.7
485433.022920968.976646.2920817.33-5276.99-22295.841.262.80.0712945.97
511648129171258.6210653.9319990.15-5386.29-30627.81.982.80.0784016.59
610712629181162.0710575.0524018.64-7565.91-29733.311.42.290.0673693.99
712363629181162.0710852.9423096.85-6519.76-17889.681.662.720.0844263.3
81472152921872.4110288.8131909.08-8606.28-25559.051.23.140.0855076.37
91446612921872.4110038.5931063.34-8268.64-24882.261.213.190.0864988.32
101766352922775.8611087.0429865.21-9611.44-30671.111.153.630.0956090.85

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 4.66. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.07%, which is good. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.095, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
RELINFRA Performance, X=3, Profit Factor:4.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018122 Jan 2018 (0.85%)
2017103 Feb 2017 (-0.16%)
2016118 Feb 2016 (-0.1%)
2015118 Nov 2015 (2.79%)
2014208 Oct 2014 (1.9%), 23 Oct 2014 (0.27%)
2012530 Jul 2012 (2.09%), 17 Sep 2012 (7.15%), 08 Oct 2012 (-0.26%), 10 Dec 2012 (-0.67%), 24 Dec 2012 (-0.04%)
2010115 Apr 2010 (-0.53%)
2007108 Mar 2007 (-4.71%)
2006212 May 2006 (-1.2%), 16 Nov 2006 (1.93%)
2005108 Jun 2005 (0.88%)
2004510 Jun 2004 (-0.56%), 30 Jun 2004 (0.25%), 22 Jul 2004 (0.09%), 17 Aug 2004 (0.54%), 04 Nov 2004 (-1.81%)
2003303 Jan 2003 (1.28%), 20 Mar 2003 (-1.38%), 13 May 2003 (0.32%)
2002117 Dec 2002 (3.66%)
2001105 Feb 2001 (8.27%)
1998227 Feb 1998 (7.07%), 20 Mar 1998 (8.32%)
1996118 Oct 1996 (5.54%)

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-1383598.3629181162.075912.0916637.35-2074.48-9423.552.854.660.0952882.7
atrtrail35.5415159335152042.8617073.9432762.45-5225.83-8832.753.272.450.074331.21
200trail-13.8496588.2643133030.2312857.3843580.82-2351.92-3947.675.472.370.0512246.24
atrnil38.3216390528131546.4321892.8239935.93-8046.75-18732.722.722.360.0765853.76
atrtrail24.8992590.6535152042.8613140.4921841.64-5225.83-8832.752.511.890.0552645.45
200trail32.3754190.3443162737.217658.9411631.07-2531.58-3947.673.031.790.0491260.24
atrtrail-16.8380474.7835152042.8612332.7639977.13-5225.83-8832.752.361.770.0432299.28
atrnil26.791919.873015155014174.7426623.95-8046.75-18732.721.761.760.0533064
200nil32.4643421.1341152636.598027.611631.07-2961.26-3999.642.711.560.041059.05
200trail22.0521246.3343172639.535189.457754.05-2575.93-3947.672.011.320.025494.1
200nil22.1512970.4441162539.025420.897754.05-2950.55-3999.641.841.180.015316.35

In the table above, row 1 shows the best exit criterion. Profit factor is 4.66. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.07%, which is good. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.095, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play