Study: Sell VGUARD 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 VGUARD 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 VGUARD 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
14492.75158753.332321.719442.49-2011.56-5440.11.151.320.027299.52
2549.21510566.672644.5910736.84-5179.33-12163.810.511.020.00236.61
3-1192.44158753.334404.0712210.53-5203.57-20476.770.850.97-0.0034-79.5
45826.951596604641.9716210.53-5991.8-20171.150.771.160.015388.46
5759.61158753.337323.6321983.34-8261.35-23777.510.891.010.001450.64
64216.63157846.678033.4620100.81-6502.2-20721.271.241.080.0083281.11
73875.39157846.679639.7518413.74-7950.35-20171.151.211.060.0071258.36
8-17468.77158753.338064.913959.06-11712.57-29523.230.690.79-0.028-1164.58
9-6521.87158753.339626.9416212.98-11933.91-26589.240.810.92-0.0098-434.79
10-20130.3158753.339696.514947.02-13957.47-23899.760.690.79-0.029-1342.02

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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
atrnil312.8152233.331661037.519806.6628368.15-6660.66-8764.892.971.780.0753264.58
atrnil27.533648.76167943.7513320.8318912.1-6621.9-8764.892.011.560.0632103.05
nilnil-114492.75158753.332321.719442.49-2011.56-5440.11.151.320.027299.52
atrtrail37.3515808.21771041.1810093.1818890.21-5484.4-7527.041.841.290.032929.89
atrtrail26.0615704.611771041.1810078.3818912.1-5484.4-7527.041.841.290.032923.8
200nil21.972541.7832102231.256500.557685.07-2839.26-3939.32.291.040.005479.43
200trail21.972541.7832102231.256500.557685.07-2839.26-3939.32.291.040.005479.43
atrtrail-18.06-1063.51771041.187682.9314901.67-5484.4-7527.041.40.98-0.0026-62.56
200nil32.47-8355.37306242010087.7711527.61-2870.08-3939.33.510.88-0.016-278.51
200trail32.35-165253162519.358669.3511487.14-2741.64-3939.33.160.76-0.034-533.06
200trail-12.87-31874.813162519.356111.0514470.35-2741.64-3939.32.230.53-0.075-1028.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, 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.
VGUARD Performance, Profit Factor:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Jan 2019 (10.51%), 15 May 2019 (-2.87%)
2018110 Dec 2018 (-2.74%)
2016207 Jan 2016 (7.38%), 01 Feb 2016 (9.45%)
2015314 May 2015 (-3.5%), 17 Aug 2015 (7.85%), 30 Nov 2015 (-2.48%)
2014125 Apr 2014 (-3.03%)
2013116 Sep 2013 (-4.29%)
2012406 Feb 2012 (-3.29%), 08 Feb 2012 (-3.44%), 17 Feb 2012 (-3.28%), 24 Feb 2012 (10.06%)
2011116 Mar 2011 (-4.38%)
2009106 Jan 2009 (14.18%)



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