Study: Buy GSFC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

home > technical-strategy > gsfc > 14

In this study, we evaluate the performance of strategy "Buy GSFC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
116633.322214863.644975.8818508.29-6628.63-14414.410.751.310.021756.06
216518.4322101245.458689.9920125.79-5865.12-24561.41.481.230.016750.84
33373.3522101245.459583.0125904.2-7704.73-21052.631.241.040.0027153.33
4-182.172213959.098370.4127727.65-12110.84-30019.490.691-0.00013-8.28
510149.482213959.099569.7336532.68-12695.22-28265.110.751.090.0063461.34
6-52498.32221111508356.5531665.3-13129.12-36836.840.640.64-0.031-2386.29
7-1048172281436.3610548.726633.85-13514.73-44844.840.780.45-0.056-4764.39
8-54530.362281436.3613109.2341235.99-11386.01-46846.851.150.66-0.029-2478.65
9-29742.022281436.3615256.4840907.85-10842.42-47247.251.410.8-0.016-1351.91
1011625.3122121054.5511810.3136642.06-13009.85-51651.650.911.090.0062528.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.31. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 0.38%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
200trail31.6147131.0931112035.489052.9911402.45-2622.59-3786.483.451.90.0551520.36
200nil31.6144152.0831112035.489052.9911402.45-2771.54-3786.483.271.80.0511424.26
atrnil38.0885699.2626101638.4622638.9235839.85-8793.12-13259.132.571.610.0433296.13
atrtrail25.045842927131448.1512255.8223893.23-7206.9-13259.131.71.580.0412164.04
atrtrail35.4456740.6427131448.1512125.9525507.84-7206.9-13259.131.681.560.0372101.51
atrnil26.4657515.4326121446.1515203.823893.23-8923.58-13259.131.71.460.0372212.13
200trail-12.7121489.423192229.038750.0318709.68-2602.76-3786.483.361.380.024693.21
200trail21.5319446.5932122037.55974.47601.63-2612.31-3786.482.291.370.029607.71
nilnil-1116633.322214863.644975.8818508.29-6628.63-14414.410.751.310.021756.06
200nil21.5316467.5932122037.55974.47601.63-2761.26-3786.482.161.30.025514.61
atrtrail-15.9615306.5626121446.159541.0122690.91-7084.69-13259.131.351.150.012588.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.9. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, 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:1.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Jan 2019 (-1.01%), 15 Jan 2019 (-1.05%), 01 Apr 2019 (-1.88%), 27 May 2019 (4.96%), 07 Jun 2019 (-1.41%)
2016204 Apr 2016 (-1.2%), 07 Apr 2016 (4.54%)
2014228 Mar 2014 (5.54%), 07 Apr 2014 (5.69%)
2013222 May 2013 (-1.64%), 13 Nov 2013 (-0.22%)
2012306 Feb 2012 (-1.0%), 14 Feb 2012 (3.34%), 03 Mar 2012 (-1.89%)
2009113 Apr 2009 (-1.44%)
2007301 Jun 2007 (4.13%), 08 Jun 2007 (-1.1%), 12 Jul 2007 (4.82%)
2006322 Aug 2006 (-1.48%), 28 Aug 2006 (-1.33%), 06 Nov 2006 (3.63%)
2003104 Feb 2003 (-1.46%)
2000128 Feb 2000 (-1.29%)
1999419 May 1999 (-1.31%), 08 Jun 1999 (-1.61%), 22 Jun 1999 (5.7%), 24 Jun 1999 (-1.44%)
1998209 Mar 1998 (-1.0%), 18 Mar 1998 (-1.44%)
1997210 Jan 1997 (3.28%), 28 Feb 1997 (4.18%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play