Study: Sell SYNDIBANK 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 SYNDIBANK 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 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
134146.1226151157.693366.116965.17-1485.96-4838.712.273.090.0971313.31
243752.0126141253.854825.2610942.25-1983.47-9328.782.432.840.0861682.77
315685.23261313504992.712765.96-3786.14-17742.841.321.320.023603.28
4-20255.7126101638.466252.4319047.62-5173.75-21448.621.210.76-0.022-779.07
5-18334.1426101638.468300.3924788-6333.63-22212.731.310.82-0.016-705.16
6-26952.12691734.628792.4227397.26-6240.23-19988.771.410.75-0.024-1036.62
7-21974.8926121446.157616.534442.27-8098.06-20774.850.940.81-0.018-845.19
8-22802.9526141253.856347.8533007.18-9306.08-26329.790.680.8-0.019-877.04
9-34711.02261313506387.7629354.21-9057.84-22383.60.710.71-0.029-1335.04
10-36382.0326101638.468861.1730397.91-7812.11-23138.31.130.71-0.029-1399.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.09. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.097, 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.
SYNDIBANK Performance, X=1, Profit Factor:3.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018125 Jan 2018 (2.15%)
2017114 Feb 2017 (2.94%)
2014309 Jan 2014 (3.18%), 11 Mar 2014 (1.24%), 27 Oct 2014 (-0.3%)
2013104 Apr 2013 (2.82%)
2012101 Aug 2012 (0.86%)
2010222 Feb 2010 (1.26%), 27 May 2010 (-1.93%)
2009216 Jan 2009 (-2.42%), 22 Apr 2009 (-0.44%)
2008211 Feb 2008 (3.43%), 29 Dec 2008 (-0.8%)
2007116 Jan 2007 (-0.95%)
2006127 Dec 2006 (-0.27%)
2004207 Jun 2004 (0.7%), 05 Nov 2004 (-0.0%)
2002111 Jan 2002 (0.56%)
2001410 Jan 2001 (-0.52%), 19 Nov 2001 (-0.55%), 05 Dec 2001 (-0.0%), 28 Dec 2001 (0.56%)
2000412 Oct 2000 (0.54%), 17 Nov 2000 (3.48%), 01 Dec 2000 (0.51%), 21 Dec 2000 (1.03%)

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-1134146.1226151157.693366.116965.17-1485.96-4838.712.273.090.0971313.31
atrtrail25.932604.9929111837.9311661.4836638.57-5315.07-11807.152.191.340.0241124.31
atrtrail36.2118735.8329111837.9310400.6528675.39-5315.07-11807.151.961.20.015646.06
atrnil210.1719526.712381534.7818294.1236638.57-8455.08-18774.952.161.150.014848.99
atrtrail-16.82-7118.0728101835.718743.126548.41-5252.73-11807.151.660.92-0.0063-254.22
200trail22-20522.3242123028.575437.747269.34-2859.17-3986.61.90.76-0.029-488.63
200nil22.12-20681.77401228305437.747269.34-3069.1-3986.61.770.76-0.03-517.04
atrnil314.43-43582.682351821.742346330040.44-8938.76-18774.952.620.73-0.031-1894.9
200nil32.56-42229.353973217.957797.79587.49-3025.41-3986.62.580.56-0.058-1082.8
200trail32.27-41609.674183319.515945.559587.49-2702.24-3986.62.20.53-0.061-1014.87
200trail-12.83-43808.9640634157955.231526.1-2692.36-3986.62.950.52-0.044-1095.22

In the table above, row 1 shows the best exit criterion. Profit factor is 3.09. Strategy is very good and impressively bearish. Percentage of profitable trades is 57.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.097, 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.

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