Study: Sell TVSMOTOR when near 200 SMA and below 200 SMA and RSI is below 50 and ADX is Trending

home > technical-strategy > tvsmotor > 4

In this study, we evaluate the performance of strategy "Sell TVSMOTOR when near 200 SMA and below 200 SMA and RSI is below 50 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
19659.7119281.822439.164688.55-6146.37-9122.010.41.790.054878.15
229685.49117463.647895.3816742.08-6395.54-10718.361.232.160.0742698.68
338692.25119281.827035.8318735.36-12315.1-13683.80.572.570.0923517.48
432907.02119281.826904.9114832.16-14618.58-16761.690.472.130.0732991.55
513601.99118372.735782.6512078.15-10886.4-18700.110.531.420.0311236.54
68250.26116554.559501.7518827.71-9752.04-15735.460.971.170.016750.02
719619.92116554.5510411.1323445.83-8569.37-17103.761.211.460.0361783.63
832847.99117463.648046.6326998.22-5869.6-14139.111.372.40.0682986.18
971635.11119281.829723.221136.77-7936.86-13568.991.235.510.166512.28
1095947.2118372.7314133.5825188.54-5707.16-12998.862.486.60.188722.47
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
TVSMOTOR Performance, X=10, Profit Factor:6.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Feb 2018 (-1.45%), 08 Mar 2018 (6.26%)
2015122 Apr 2015 (9.42%)
2013127 Feb 2013 (1.54%)
2012111 Oct 2012 (-0.61%)
2011212 Jan 2011 (10.62%), 08 Dec 2011 (9.15%)
2007104 Oct 2007 (12.59%)
2005231 Jan 2005 (3.8%), 24 Feb 2005 (3.15%)
2004107 Apr 2004 (-6.5%)

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
atrnil312.9190031.24115645.4528951.1436099.05-9120.74-11762.253.172.650.0978184.66
atrnil28.0969033.8116554.5519112.2424066.03-9127.92-11762.252.092.510.16275.8
atrtrail2447258.8714775012371.8524066.03-5620.58-11762.252.22.20.0713375.63
atrtrail34.5736344.4314775010812.6428412.55-5620.58-11762.251.921.920.0552596.03
atrtrail-14.9312094.141477507348.3116191.37-5620.58-11762.251.311.310.026863.87
200trail21.471867.291551033.336583.57736.1-3105.02-3851.472.121.060.0062124.49
200nil21.471753.131551033.336583.57736.1-3116.43-3851.472.111.060.0058116.88
200trail-12.51302.271441028.578042.5112034.35-3086.78-3851.472.611.040.003993.02
200trail31.79-1621.831441028.577311.4810785.08-3086.78-3851.472.370.95-0.0053-115.84
200nil31.79-7878.021431121.439152.5310785.08-3212.33-3868.052.850.78-0.025-562.72

In the table above, row 1 shows the best exit criterion. Profit factor is 2.65. 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 45.45%, which is not acceptable. Avoid this strategy. Average return per trade is 4.09%, which is very good. Sharpe Ratio is 0.097, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, Profit Factor:2.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018221 Feb 2018 (-3.42%), 06 Mar 2018 (10.15%)
2015222 Apr 2015 (-4.43%), 05 May 2015 (-4.54%)
2013127 Feb 2013 (-4.57%)
2012111 Oct 2012 (-4.52%)
2011212 Jan 2011 (16.24%), 08 Dec 2011 (14.21%)
2007104 Oct 2007 (18.05%)
2005131 Jan 2005 (13.74%)
2004107 Apr 2004 (-5.88%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play