Study: Buy GSFC when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy GSFC when above 200 SMA and near 50 SMA and above 50 SMA" 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
12463.3167283941.794632.2239224.14-3262.54-8427.161.421.020.001236.77
279736.7767392858.216384.3233620.69-6044.7-20142.421.061.470.0291190.1
317873.9267343350.757012.9831465.52-6683.86-22378.521.051.080.0057266.77
46088.1767283941.799362.0125000-6565.34-29170.931.431.020.001890.87
568049.1867323547.7610038.4737052.46-7233.77-37632.211.391.270.0181015.66
615822.4467353252.2410104.1632758.62-10556.97-45445.240.961.050.0037236.16
715211767343350.7513790.8853879.31-9599.17-24090.611.441.480.0322270.41
815603067343350.7515629.2748275.86-11374.69-33435.691.371.420.0292328.81
921975567333449.2516890.254741.38-9930.06-34262.691.71.650.043279.92
1032173967363153.7317914.2548091.82-10424.95-37943.81.7220.0554802.08
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
50trail-13.0923333894316332.9813187.5743486.49-2785.35-3988.74.732.330.0522482.31
atrnil39.1437207363263741.2727913.4550432.15-9558.82-17351.52.922.050.0625905.93
atrnil26.473165407035355018564.6133621.43-9520.62-17351.51.951.950.0634521.99
atrtrail24.9723978677344344.1615897.5233621.43-6993.71-17351.52.271.80.053114.11
50trail31.8411764196346235.428700.1811967.32-2873.62-3988.73.031.660.0431225.43
50nil31.911904694326234.049519.8811967.32-2993.4-3988.73.181.640.0431266.44
atrtrail35.8117966477324541.5615605.241906.5-7104.5-17351.52.21.560.0362333.3
atrtrail-16.616778877324541.5615234.0953190.8-7104.5-17351.52.141.520.0332179.07
50nil21.4572443.9299405940.46260.087978.22-3016.26-3988.72.081.410.033731.76
50trail21.4369965.02101406139.66254.37978.22-2954.21-3988.72.121.390.031692.72

In the table above, row 1 shows the best exit criterion. Profit factor is 2.33. 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 32.98%, which is not acceptable. Avoid this strategy. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.052, 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:2.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Jan 2018 (3.25%)
20171010 Apr 2017 (-0.92%), 24 Apr 2017 (-0.88%), 26 Apr 2017 (18.91%), 07 Jun 2017 (-1.39%), 09 Jun 2017 (-1.24%), 17 Jul 2017 (-1.71%), 20 Jul 2017 (-1.23%), 14 Aug 2017 (-1.67%), 16 Aug 2017 (4.86%), 17 Oct 2017 (11.64%)
2016814 Jun 2016 (-1.83%), 07 Jul 2016 (-1.57%), 22 Aug 2016 (3.42%), 16 Sep 2016 (1.88%), 27 Sep 2016 (21.74%), 07 Dec 2016 (-0.39%), 22 Dec 2016 (-1.58%), 27 Dec 2016 (5.62%)
2014324 Jul 2014 (-1.48%), 08 Aug 2014 (-1.16%), 21 Nov 2014 (-1.81%)
2013307 Jan 2013 (-0.79%), 22 May 2013 (-1.07%), 20 Dec 2013 (-1.47%)
2012519 Jan 2012 (-1.56%), 08 May 2012 (-1.93%), 15 May 2012 (-1.72%), 08 Jun 2012 (-1.38%), 27 Nov 2012 (-1.77%)
2011901 Feb 2011 (-1.56%), 04 Feb 2011 (-1.2%), 22 Feb 2011 (-0.74%), 23 Mar 2011 (-0.83%), 05 May 2011 (0.43%), 01 Jul 2011 (-0.24%), 12 Jul 2011 (10.39%), 19 Aug 2011 (1.78%), 01 Dec 2011 (-1.56%)
2010902 Jun 2010 (-1.26%), 01 Sep 2010 (2.87%), 08 Sep 2010 (3.26%), 15 Sep 2010 (3.15%), 22 Sep 2010 (-1.71%), 05 Oct 2010 (3.01%), 03 Dec 2010 (-1.09%), 22 Dec 2010 (-1.17%), 23 Dec 2010 (3.26%)
2009421 Jul 2009 (-1.79%), 11 Nov 2009 (-1.21%), 03 Dec 2009 (-1.29%), 17 Dec 2009 (-1.26%)
2008116 Jan 2008 (-1.84%)
2007323 Jan 2007 (9.45%), 19 Oct 2007 (-1.62%), 29 Nov 2007 (7.98%)
2006308 Mar 2006 (-1.4%), 10 Mar 2006 (-1.66%), 05 Apr 2006 (0.39%)
2005705 Apr 2005 (-1.72%), 07 Apr 2005 (-1.24%), 16 May 2005 (-1.56%), 05 Jul 2005 (-1.36%), 18 Jul 2005 (7.09%), 14 Oct 2005 (-1.23%), 07 Nov 2005 (-1.07%)
2004503 Mar 2004 (-1.31%), 18 Mar 2004 (-1.12%), 08 Jul 2004 (-1.28%), 14 Jul 2004 (6.67%), 27 Oct 2004 (6.67%)
2003705 Aug 2003 (-1.61%), 07 Aug 2003 (12.91%), 22 Sep 2003 (-1.69%), 23 Sep 2003 (-1.99%), 25 Sep 2003 (0.68%), 01 Oct 2003 (14.57%), 24 Oct 2003 (0.05%)
2002124 May 2002 (14.15%)
2000127 Jan 2000 (-1.97%)
1999616 Aug 1999 (-1.68%), 19 Aug 1999 (12.74%), 03 Sep 1999 (-1.68%), 23 Sep 1999 (-1.64%), 21 Oct 1999 (-1.96%), 28 Oct 1999 (-1.36%)
1998230 Apr 1998 (1.54%), 08 May 1998 (-1.24%)
1997628 Apr 1997 (-1.15%), 21 May 1997 (2.77%), 28 May 1997 (-1.78%), 02 Jun 1997 (-1.45%), 06 Jun 1997 (-0.73%), 10 Jun 1997 (7.29%)



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