Study: Sell GSFC when near 200 SMA and below 200 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell GSFC when near 200 SMA and below 200 SMA and RSI is below 50" 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
1-20418.5928151353.572954.656851.05-4979.87-28079.470.590.68-0.023-729.24
28734.0828131546.435834.312438.08-4474.12-15540.841.31.130.01311.93
34743.0928151353.577198.121794.17-7940.64-27152.320.911.050.0035169.4
423093.1528151353.578187.6514639.52-7670.9-22521.251.071.230.017824.76
515836.1528151353.579645.4633802.82-9911.22-23399.560.971.120.0092565.58
6-11929.628111739.2912150.0330046.95-8563.53-32443.971.420.92-0.0067-426.06
723038.7828151353.5710266.7925536.6-10074.08-36712.911.021.180.013822.81
87843.4828161257.1410750.4131260.32-13680.26-48025.610.791.050.0035280.12
934661.628151353.5712776.336763.9-12075.6-35250.381.061.220.0151237.91
1020029.1828151353.5711806.0432804.61-12081.65-35556.530.981.130.0093715.33
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-12.52-34609.424473715.919745.9131351.12-2779.21-3924.63.510.66-0.027-786.58
200nil31.67-34831.94383518.68476.0210534.02-2932.57-3977.422.890.66-0.037-810.04
200trail31.64-38924.024483618.187792.310534.02-2812.84-3924.62.770.62-0.043-884.64
atrnil311.34-1114042952417.2432025.647941.16-11313.84-25201.552.830.59-0.045-3841.52
atrnil28.06-1145243382524.2419615.2231960.78-10857.82-25201.551.810.58-0.05-3470.41
200trail21.57-45862.274493520.455895.467853.69-2826.33-3924.62.090.54-0.059-1042.32
atrtrail24.78-94788.1136112530.569951.4231960.78-8170.15-25201.551.220.54-0.051-2633
atrtrail-15.31-94911.9436112530.569940.1627350.99-8170.15-25201.551.220.54-0.051-2636.44
200nil21.57-48633.894493520.455895.467853.69-2905.51-3977.422.030.52-0.062-1105.32
atrtrail35.17-98297.5436112530.569632.3834114.84-8170.15-25201.551.180.52-0.053-2730.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GSFC Performance, Profit Factor:0.663

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Feb 2018 (-1.71%)
2016324 Jun 2016 (-1.22%), 16 Aug 2016 (-1.63%), 18 Aug 2016 (-1.03%)
2015202 Mar 2015 (-1.78%), 03 Mar 2015 (3.47%)
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%)
2012424 Feb 2012 (-1.77%), 12 Jun 2012 (-1.02%), 13 Jun 2012 (-1.65%), 03 Jul 2012 (15.68%)
2011121 Jun 2011 (-1.28%)
2008224 Jan 2008 (-1.14%), 08 Feb 2008 (-1.88%)
2007207 Mar 2007 (-1.07%), 09 Mar 2007 (5.91%)
2006230 Nov 2006 (-1.65%), 14 Dec 2006 (-0.97%)
2004303 Jun 2004 (-1.45%), 14 Jun 2004 (-1.21%), 16 Jun 2004 (-0.78%)
2002102 Sep 2002 (-1.16%)
2000103 Feb 2000 (-1.41%)
1999404 Nov 1999 (-1.39%), 12 Nov 1999 (-1.95%), 15 Nov 1999 (0.65%), 28 Dec 1999 (-1.88%)
1998103 Jun 1998 (-1.96%)
1997721 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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