Study: Buy NIFTY when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy NIFTY when near 200 SMA and above 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: buy NIFTY 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. sell 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
139750.212216672.732976.3212414.02-1311.81-4763.822.276.050.131806.83
233321.442215768.183127.495484.92-1941.57-4982.31.613.450.131514.61
356590.222214863.645555.1819759.97-2647.8-4752.492.13.670.112572.28
469934.982217577.275034.5615300.14-3130.52-6802.411.615.470.143178.86
598624.72216672.737111.6115573.65-2526.84-7234.452.817.510.184482.94
61042522220290.915861.9413914.77-6493.19-9854.30.99.030.24738.74
794794.972218481.826280.6917253.33-4564.34-12474.151.386.190.164308.86
81115552217577.277863.1817061.62-4423.92-9937.031.786.040.175070.66
91257442216672.738774.4323031.86-2441.07-5294.853.599.590.185715.66
101290132217577.278931.1423864.63-4563.2-8401.791.966.650.175864.24

From the table above, we see that best results are achieved by holding positions for 9 trading days. Profit factor is 9.59. Strategy is very good and impressively bullish. Percentage of profitable trades is 72.73%, which is good. Average return per trade is 2.86%, which is very good.
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.
NIFTY Performance, X=9, Profit Factor:9.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017120 Jan 2017 (4.69%)
2016130 Nov 2016 (-0.03%)
2015111 May 2015 (1.61%)
2014106 Feb 2014 (1.93%)
2013226 Mar 2013 (-1.47%), 16 Apr 2013 (5.46%)
2011217 Jan 2011 (-2.63%), 18 Apr 2011 (-0.49%)
2010127 May 2010 (-0.06%)
2009123 Apr 2009 (5.75%)
2008122 Jan 2008 (11.52%)
2007305 Mar 2007 (0.9%), 02 Apr 2007 (10.45%), 17 Aug 2007 (7.41%)
2006126 Jun 2006 (4.51%)
2004123 Sep 2004 (3.98%)
2003227 Jan 2003 (1.91%), 02 Jun 2003 (4.04%)
2002203 Jan 2002 (1.68%), 28 Nov 2002 (1.91%)
2001114 Dec 2001 (-2.65%)
2000121 Jun 2000 (2.45%)

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-191257442216672.738774.4323031.86-2441.07-5294.853.599.590.185715.66
atrtrail-16.4213285133181554.559058.7451258.42-2013.73-3968.214.55.40.0924025.8
200trail-17.4310876330141646.679836.5326486.33-1809.29-3221.635.444.760.113625.42
atrtrail23.6110083033181554.557279.7718570.58-2013.73-3968.213.624.340.123055.45
200trail34.4187922.89321616507304.4711412.74-1809.29-3221.634.044.040.132747.59
atrtrail34.6787241.1233181554.556524.8416272.34-2013.73-3968.213.243.890.112643.67
atrnil25.1910170326151157.699209.9318570.58-3313.26-5872.252.783.790.133911.66
200nil36.879583.63251312528910.0111954.36-3020.54-3806.392.953.20.123183.35
atrnil311.121057602512134812848.8425960.6-3725.05-9285.293.453.180.114230.42
200trail23.2160223.9533171651.525344.167914.02-1914.17-3281.942.792.970.111824.97
200nil24.757584.0827161159.265765.877969.57-3151.81-3806.391.832.660.112132.74

In the table above, row 1 shows the best exit criterion. Profit factor is 9.59. Strategy is very good and impressively bullish. Percentage of profitable trades is 72.73%, which is good. Average return per trade is 2.86%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.