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

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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 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
126824.6241162539.026685.6539224.14-3205.83-7928.392.091.330.018654.26
245440.9841231856.16939.0833620.69-6342.1-14684.011.091.40.0251108.32
3570.9441202148.787294.7231465.52-6920.17-22378.521.0510.0002913.93
420599.5541202148.788390.7425000-7010.25-21355.51.21.140.011502.43
590166.3641221953.669281.8228879.31-6001.77-17843.871.551.790.0482199.18
692049.8441241758.549846.5932758.62-8486.37-18755.641.161.640.0412245.12
711346241221953.6613771.153879.31-9973.78-23420.071.381.60.0382767.37
814620941231856.115618.5548275.86-11834.3-25047.441.321.690.0443566.08
918576841221953.6616927.2354741.38-9822.68-25831.21.7220.0554530.93
1022499241221953.6618083.0948091.82-9096.65-28900.261.992.30.0645487.6
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
GSFC Performance, X=10, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Jan 2018 (5.85%)
2017217 Jul 2017 (7.75%), 17 Oct 2017 (16.68%)
2016614 Jun 2016 (-3.95%), 07 Jul 2016 (-4.95%), 22 Aug 2016 (-1.83%), 16 Sep 2016 (3.04%), 07 Dec 2016 (4.99%), 22 Dec 2016 (16.13%)
2014108 Aug 2014 (-14.45%)
2013307 Jan 2013 (-3.77%), 22 May 2013 (-1.38%), 20 Dec 2013 (-6.06%)
2012219 Jan 2012 (-3.93%), 08 Jun 2012 (-4.7%)
2011301 Feb 2011 (-3.43%), 22 Feb 2011 (6.23%), 01 Jul 2011 (3.5%)
2010402 Jun 2010 (-0.35%), 08 Sep 2010 (0.71%), 27 Sep 2010 (6.48%), 22 Dec 2010 (-0.73%)
2009321 Jul 2009 (-10.73%), 03 Dec 2009 (0.72%), 17 Dec 2009 (24.05%)
2006105 Apr 2006 (11.33%)
2005405 Apr 2005 (-7.25%), 16 May 2005 (1.94%), 18 Jul 2005 (13.14%), 07 Nov 2005 (2.55%)
2004303 Mar 2004 (-0.19%), 18 Mar 2004 (14.67%), 08 Jul 2004 (5.21%)
2003205 Aug 2003 (11.04%), 24 Oct 2003 (2.84%)
2002124 May 2002 (20.47%)
1999316 Aug 1999 (19.58%), 23 Sep 1999 (-5.58%), 21 Oct 1999 (-11.48%)
1997228 Apr 1997 (-1.45%), 21 May 1997 (-0.22%)

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
atrnil26.3427992444251956.821806030338.67-9030.29-14896.5122.630.0936361.92
atrnil38.952899424018224527113.5745508.01-9004.66-14896.513.012.460.0797248.54
50trail-12.9211799853183533.9611737.2128297.41-2664.9-3916.514.42.270.0532226.38
atrtrail24.5718073247242351.0614174.3227937.66-6932.67-14896.512.042.130.0663845.37
50nil31.6191962.2354203437.049508.4311967.32-2888.42-3916.513.291.940.0571703
50trail31.5984547.8754203437.048973.4811967.32-2791.81-3916.513.211.890.0541565.7
atrtrail35.3413599947222546.8114291.9841906.5-7136.98-14896.5121.760.0442893.6
atrtrail-16.3213299047222546.8114155.1953190.8-7136.98-14896.511.981.750.0412829.57
50trail21.3257301.0756243242.866293.347978.22-2929.35-3916.512.151.610.0451023.23
50nil21.3257243.2256243242.866293.347978.22-2931.16-3916.512.151.610.0451022.2

In the table above, row 1 shows the best exit criterion. Profit factor is 2.63. 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 56.82%, which is not acceptable. Avoid this strategy. Average return per trade is 3.18%, which is very good. Sharpe Ratio is 0.093, 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:2.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Jan 2018 (7.38%)
2017317 Jul 2017 (-3.47%), 20 Jul 2017 (6.94%), 17 Oct 2017 (7.65%)
2016614 Jun 2016 (-3.36%), 07 Jul 2016 (-3.35%), 22 Aug 2016 (4.8%), 16 Sep 2016 (6.66%), 07 Dec 2016 (8.24%), 22 Dec 2016 (8.37%)
2014108 Aug 2014 (-4.45%)
2013307 Jan 2013 (-3.24%), 22 May 2013 (8.27%), 20 Dec 2013 (-3.93%)
2012219 Jan 2012 (-4.05%), 08 Jun 2012 (-3.22%)
2011301 Feb 2011 (-4.44%), 22 Feb 2011 (8.2%), 01 Jul 2011 (6.04%)
2010502 Jun 2010 (-5.03%), 08 Sep 2010 (6.82%), 15 Sep 2010 (7.46%), 22 Sep 2010 (8.04%), 22 Dec 2010 (-5.62%)
2009321 Jul 2009 (-5.15%), 03 Dec 2009 (-3.64%), 17 Dec 2009 (9.77%)
2006105 Apr 2006 (8.58%)
2005405 Apr 2005 (-5.3%), 16 May 2005 (7.88%), 18 Jul 2005 (7.95%), 07 Nov 2005 (-4.97%)
2004303 Mar 2004 (13.67%), 08 Jul 2004 (-7.45%), 14 Jul 2004 (15.17%)
2003205 Aug 2003 (12.88%), 24 Oct 2003 (11.94%)
2002124 May 2002 (13.97%)
1999416 Aug 1999 (11.83%), 23 Sep 1999 (-5.87%), 21 Oct 1999 (11.72%), 28 Oct 1999 (-6.34%)
1997228 Apr 1997 (-2.9%), 21 May 1997 (5.54%)



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