Study: Sell RPOWER 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 RPOWER 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 RPOWER 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
1-36288.21114736.364056.466682.26-7502.01-15162.450.540.31-0.14-3298.93
2-30645.64114736.364718.586710.96-7074.28-15453.530.670.38-0.11-2785.97
3-65025.79113827.275310.368438.54-10119.61-18424.960.520.2-0.21-5911.44
4-85646.97113827.275456.156046.51-12751.93-28826.150.430.16-0.2-7786.09
5-115291114736.363807.028271.69-18645.64-33783.340.20.12-0.24-10481.04
6-114952113827.278329.599549.43-17492.57-32540.860.480.18-0.22-10450.16
7-146842114736.365763.5211566.91-24270.85-56017.830.240.14-0.21-13349.26
8-154238114736.3610328.3413315.4-27935.92-59435.360.370.21-0.2-14021.64
9-154480114736.3613467.9318620.69-29764.59-62852.90.450.26-0.17-14043.67
10-176227113827.2713520.9121724.14-27098.69-75334.320.50.19-0.19-16020.61
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
50nil31.83-12677.11221016.678915.4511527.91-3050.8-3905.72.920.58-0.069-1056.43
atrnil23.42-30956.312392514308.1517730.46-8208.97-9144.221.740.58-0.078-2579.69
atrnil35-449551221016.6718895.4920588.34-8274.6-9144.222.280.46-0.11-3746.25
atrtrail22.92-41578.251221016.6714599.4417730.46-7077.71-8986.452.060.41-0.12-3464.85
50trail21.42-17958.861221016.675943.637685.27-2984.61-3905.71.990.4-0.13-1496.57
50nil21.42-18620.731221016.675943.637685.27-3050.8-3905.71.950.39-0.13-1551.73
50trail31.5-21943.271221016.673951.436302.99-2984.61-3905.71.320.26-0.2-1828.61
50trail-11.75-25011.711221016.672417.213234.55-2984.61-3905.70.810.16-0.3-2084.31
atrtrail33.08-62421.571221016.674177.785853.16-7077.71-8986.450.590.12-0.33-5201.8
atrtrail-13.08-62421.571221016.674177.785853.16-7077.71-8986.450.590.12-0.33-5201.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.58. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RPOWER Performance, Profit Factor:0.584

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015209 Dec 2015 (-1.26%), 14 Dec 2015 (-1.75%)
2014208 May 2014 (-1.58%), 10 Nov 2014 (-1.34%)
2013126 Apr 2013 (-1.95%)
2012212 Jan 2012 (-1.09%), 20 Sep 2012 (-1.17%)
2011129 Nov 2011 (-1.75%)
2010422 Jan 2010 (3.15%), 10 May 2010 (5.76%), 24 May 2010 (-1.57%), 08 Jun 2010 (-1.8%)



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