Study: Sell SYNDIBANK 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 SYNDIBANK 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 SYNDIBANK 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
16027.591881044.443316.439977.32-2050.39-5263.161.621.290.022334.87
2-13365.641899503742.4612471.66-5227.53-15371.330.720.72-0.027-742.54
3-2601.591812666.673772.3912206.15-7978.37-25734.020.470.95-0.0041-144.53
41303.091810855.565342.5912698.41-6515.36-31088.080.821.030.001872.39
515657.951810855.567282.6120634.92-7146.02-30569.951.021.270.019869.89
613809.631881044.4410954.2224943.31-7382.41-30051.811.481.190.014767.2
719944.3618995012230.3228571.43-10014.28-33333.331.221.220.0181108.02
823827.8318995012771.8924716.55-10124.35-26329.791.261.260.0211323.77
98158.671881044.4412230.4122982.22-8968.46-21542.551.361.090.0077453.26
10-33322.741871138.8913111.1327086.18-11372.78-26943.011.150.73-0.027-1851.26

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.29. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study.

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-116027.591881044.443316.439977.32-2050.39-5263.161.621.290.022334.87
50nil33.781282.941841422.2210752.8511582.28-2980.6-3897.143.611.030.002871.27
atrtrail36.44-48281851327.7813989.5223936.28-5751.97-10692.672.430.94-0.0061-268.22
50trail22.36-4937.992261627.276293.377721.52-2668.64-3877.492.360.88-0.013-224.45
50nil23.2-5387.7620614306293.377721.52-3082-3897.142.040.88-0.014-269.39
50trail32.65-7755.0820416208285.8411582.28-2556.15-3877.493.240.81-0.019-387.75
atrtrail26.06-14846.981851327.7811985.7315957.52-5751.97-10692.672.080.8-0.022-824.83
atrnil310.12-21924.321741323.5319045.723936.28-7546.7-10692.672.520.78-0.026-1289.67
50trail-13.45-9539.5420416207839.7317542.5-2556.15-3877.493.070.77-0.022-476.98
atrnil28.24-26027.941751229.4112996.4615957.52-7584.19-10692.671.710.71-0.037-1531.06
atrtrail-17-27607.411841422.2211738.1220391.79-5325.71-10692.672.20.63-0.043-1533.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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.
SYNDIBANK Performance, X=1, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Jan 2019 (-0.96%)
2018106 Aug 2018 (4.99%)
2017211 Jan 2017 (1.07%), 15 Sep 2017 (0.36%)
2016116 Mar 2016 (-0.56%)
2015115 Apr 2015 (2.58%)
2012101 Aug 2012 (0.86%)
2011131 May 2011 (-0.77%)
2010127 May 2010 (-1.93%)
2006125 Jul 2006 (-2.33%)
2004219 Oct 2004 (1.2%), 05 Nov 2004 (-0.0%)
2002102 Jan 2002 (-0.0%)
2001410 Jan 2001 (-0.52%), 02 May 2001 (1.07%), 10 Oct 2001 (1.14%), 13 Dec 2001 (-0.56%)
2000126 Dec 2000 (-2.63%)



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