Study: Sell TVSMOTOR 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 TVSMOTOR 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 TVSMOTOR 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
121717.89117463.644315.1612637.68-2122.06-5921.052.033.560.11974.35
214939.77117463.644206.3314260.87-3626.13-5240.791.162.030.061358.16
3-33570.8115645.455446.9813101.45-10134.28-19150.710.540.45-0.076-3051.89
4-47257.57114736.366904.0811374.41-10696.27-20982.510.650.37-0.096-4296.14
5-30346.11114736.369957.1316903.63-10024.95-20396.60.990.57-0.056-2758.74
6202.24114736.3612734.4825750.39-7247.96-15580.741.7610.0003618.39
7-11773.19114736.368804.2227804.11-6712.87-17985.011.310.75-0.022-1070.29
8-15006.61114736.369412.6222116.9-7522.44-14276.121.250.72-0.031-1364.24
9-56287.39114736.368892.3421169.04-13122.39-42631.140.680.39-0.077-5117.04
10-100932113827.2711802.4428751.97-17042.37-36802.660.690.26-0.12-9175.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.56. Strategy is very good and impressively bearish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 0.99%, which is not very high, 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.
TVSMOTOR Performance, X=1, Profit Factor:3.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 Apr 2018 (1.1%)
2015118 Sep 2015 (0.87%)
2012131 Jan 2012 (-0.29%)
2007325 Apr 2007 (-2.96%), 28 Aug 2007 (1.58%), 11 Oct 2007 (2.37%)
2005218 May 2005 (-0.21%), 17 Jun 2005 (0.35%)
2004128 Oct 2004 (2.51%)
2003107 May 2003 (-0.78%)
2001103 Oct 2001 (6.32%)

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-1121717.89117463.644315.1612637.68-2122.06-5921.052.033.560.11974.35
50trail31.65247.521741323.538406.6410438.26-2567.62-3841.973.271.010.0007114.56
50nil31.65-4513.41741323.538406.6410438.26-2933.84-3965.12.870.88-0.013-265.49
50trail21.35-4087.071751229.415693.876958.84-2713.03-3841.972.10.87-0.014-240.42
50nil21.35-6644.821751229.415693.876958.84-2926.18-3965.11.950.81-0.023-390.87
atrtrail24.92-26615.991221016.6713938.7725144.35-5449.35-9443.242.560.51-0.057-2218
50trail-12-16522.811631318.755596.289124.64-2562.44-3841.972.180.5-0.065-1032.68
atrtrail35.42-34693.091221016.679900.2117067.25-5449.35-9443.241.820.36-0.096-2891.09
atrtrail-15.42-34693.091221016.679900.2117067.25-5449.35-9443.241.820.36-0.096-2891.09
atrnil25.5-76419.59121118.3325144.3525144.35-9233.09-21573.222.720.25-0.14-6368.3
atrnil37.25-11413612012000-9511.34-21573.2200-0.55-9511.34

In the table above, row 1 shows the best exit criterion. Profit factor is 3.56. Strategy is very good and impressively bearish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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