Study: Sell VOLTAS 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 VOLTAS 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 VOLTAS 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
125700.881064606970.0813433.54-4029.9-6303.471.732.590.0822570.09
239292.311082807274.8119633.63-9453.07-14943.960.773.080.0973929.23
330712.931073708284.7624142.79-9093.45-19676.210.912.130.0583071.29
441264.3610737010237.8323485.2-10133.47-21170.611.012.360.0714126.44
560032.3110737011172.7230014.09-6058.9-14445.831.844.30.16003.23
684078.4110919010227.6137623.3-7970.11-7970.111.2811.550.148407.84
710051310828014175.939267.26-6447.08-11457.042.28.80.1610051.31
811331910737017904.4142273.37-4004-9215.444.4710.430.1711331.88
911054110737017973.147064.35-5090.32-14196.763.538.240.1511054.07
1092058.3210737016340.7544434.01-7442.3-14196.762.25.120.129205.83

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 11.55. Strategy is very good and impressively bearish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 4.2%, 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.
VOLTAS Performance, X=6, Profit Factor:11.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017123 Jan 2017 (1.35%)
2016215 Nov 2016 (6.79%), 08 Dec 2016 (2.29%)
2013114 Oct 2013 (0.06%)
2012103 Dec 2012 (3.33%)
2011211 Jan 2011 (0.26%), 27 Jan 2011 (18.81%)
2008126 Mar 2008 (0.76%)
2004124 May 2004 (12.38%)
2001105 Sep 2001 (-3.99%)

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-1684078.4110919010227.6137623.3-7970.11-7970.111.2811.550.148407.84
atrtrail24.9223579.191266509481.8818281.99-5552.02-11056.791.711.710.0481964.93
atrtrail-15.9221709.931266509170.3421638.43-5552.02-11056.791.651.650.0441809.16
atrtrail35.5820897.021266509034.8620825.52-5552.02-11056.791.631.630.0431741.42
200trail-12.8513233.67134930.779181.0823522.78-2610.07-3521.793.521.560.031017.97
200nil21.314120.61135838.465267.46138.34-2777.05-3521.791.91.190.017316.97
200trail21.314120.61135838.465267.46138.34-2777.05-3521.791.91.190.017316.97
atrnil29.33060.1710373022334.4834837.76-9134.75-16468.432.451.050.0042306.02
200trail31.69-472.64134930.775754.58661.15-2610.07-3521.792.20.98-0.0019-36.36
200nil31.69-6316.911331023.0872678661.15-2811.79-3521.792.580.78-0.024-485.92
atrnil317.44-61921.7791811.1120825.5220825.52-10343.41-17418.882.010.25-0.14-6880.2

In the table above, row 1 shows the best exit criterion. Profit factor is 11.55. Strategy is very good and impressively bearish. Percentage of profitable trades is 90%, which is excellent. Average return per trade is 4.2%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.