Study: Sell GSFC when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell GSFC when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GSFC 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
114920.6448291960.423206.979533.47-4109.55-28079.470.781.190.011310.85
244343.4948272156.255417.2714497.53-4853.46-25806.451.121.440.027923.82
354019.6948272156.257827.5621794.17-7491.64-27152.321.041.340.0231125.41
470876.148282058.338381.8925684.21-8190.84-34016.621.021.430.0281476.59
589873.2648291960.429516.2733802.82-9794.66-24487.530.971.480.0321872.36
658063.714824245012018.4630046.95-9599.14-32443.971.251.250.0181209.66
785439.6348282058.3311190.7629441.62-11395.08-36712.910.981.370.0261779.99
812230148301862.512141.1334685.6-13440.71-48025.610.91.510.0322547.94
914503248291960.4213026.0242799.19-12248.57-35250.381.061.620.0373021.49
1012763648282058.3313434.8644827.59-12427.03-42247.661.081.510.0322659.07
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
200trail-12.743498.5481186322.229885.4831916.65-2768.89-3924.63.571.020.001343.19
atrtrail35.28-10474.8964234135.9412258.5835762.78-7132.25-25201.551.720.96-0.0028-163.67
atrtrail24.59-18725.7764234135.9411899.8431960.78-7132.25-25201.551.670.94-0.0054-292.59
atrtrail-15.64-35705.9264234135.9411161.5827929.94-7132.25-25201.551.560.88-0.011-557.91
200nil31.9-28016.0480186222.58843.9311915.98-3019.46-3977.422.930.85-0.014-350.2
atrnil27.67-56372.6952163630.7718924.2631960.78-9976.69-25201.551.90.84-0.015-1084.09
200trail31.85-36934.181196223.467154.6111915.98-2788.25-3924.62.570.79-0.021-455.98
200trail21.67-43282.9281216025.936049.97943.99-2838.85-3924.62.130.75-0.027-534.36
atrnil311.67-106769459362029980.1947941.16-10460.84-25201.552.870.72-0.028-2372.64
200nil21.67-52678.3781216025.936049.97943.99-2995.44-3977.422.020.71-0.033-650.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is 0.022%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0013, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GSFC Performance, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191002 Jan 2019 (-1.72%), 09 Jan 2019 (-1.1%), 11 Jan 2019 (-0.95%), 16 Jan 2019 (13.34%), 19 Mar 2019 (3.06%), 02 Apr 2019 (-1.87%), 05 Apr 2019 (-1.0%), 10 Apr 2019 (-1.44%), 12 Apr 2019 (-1.85%), 18 Apr 2019 (1.43%)
2018314 Feb 2018 (-1.71%), 20 Dec 2018 (1.02%), 28 Dec 2018 (-1.1%)
2016406 Apr 2016 (-1.11%), 24 Jun 2016 (-1.22%), 16 Aug 2016 (-1.63%), 18 Aug 2016 (-1.03%)
2015402 Mar 2015 (-1.78%), 03 Mar 2015 (3.47%), 01 Dec 2015 (-1.45%), 02 Dec 2015 (4.66%)
2013802 May 2013 (-1.3%), 07 May 2013 (-1.0%), 13 May 2013 (-1.82%), 17 May 2013 (-1.46%), 12 Nov 2013 (-1.95%), 25 Nov 2013 (-1.13%), 26 Nov 2013 (-1.07%), 12 Dec 2013 (1.62%)
2012813 Jan 2012 (-1.37%), 16 Jan 2012 (-1.85%), 08 Feb 2012 (-1.85%), 24 Feb 2012 (-1.77%), 01 Mar 2012 (-1.56%), 12 Jun 2012 (-1.02%), 13 Jun 2012 (-1.65%), 02 Jul 2012 (15.96%)
2011121 Jun 2011 (-1.28%)
2008224 Jan 2008 (-1.14%), 08 Feb 2008 (-1.88%)
2007807 Mar 2007 (-1.07%), 09 Mar 2007 (5.91%), 12 Apr 2007 (-1.44%), 20 Apr 2007 (-0.1%), 30 Apr 2007 (-1.67%), 03 May 2007 (-1.53%), 04 May 2007 (5.78%), 06 Jun 2007 (-1.79%)
2006625 Aug 2006 (-1.02%), 30 Aug 2006 (-1.06%), 01 Sep 2006 (-1.94%), 13 Sep 2006 (0.47%), 30 Nov 2006 (-1.65%), 14 Dec 2006 (-0.97%)
2004303 Jun 2004 (-1.45%), 14 Jun 2004 (-1.21%), 16 Jun 2004 (-0.78%)
2003109 Jan 2003 (2.61%)
2002102 Sep 2002 (-1.16%)
2001103 Jan 2001 (-1.37%)
2000303 Feb 2000 (-1.41%), 24 Feb 2000 (-1.92%), 13 Dec 2000 (13.48%)
1999525 Jun 1999 (-1.57%), 04 Nov 1999 (-1.39%), 12 Nov 1999 (-1.95%), 15 Nov 1999 (0.65%), 28 Dec 1999 (-1.88%)
1998219 Mar 1998 (-0.16%), 03 Jun 1998 (-1.96%)
1997927 Jan 1997 (0.5%), 29 Jan 1997 (8.23%), 21 Mar 1997 (4.56%), 09 Apr 1997 (2.22%), 17 Apr 1997 (-1.15%), 23 Apr 1997 (-1.36%), 05 May 1997 (-1.17%), 07 May 1997 (-1.49%), 09 May 1997 (-1.16%)
1996221 Mar 1996 (-0.63%), 29 May 1996 (-1.74%)



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