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

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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 and ADX is Trending" 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
19439.48523408727.779820.52-2672.02-3735.073.272.180.0681887.9
24016.06532607689.7612662.94-9526.61-13137.420.811.210.017803.21
3-17255.38523405282.265959.03-9273.3-13853.560.570.38-0.094-3451.08
4-34438.951420203.18203.18-8660.52-10857.210.0230.0059-0.31-6887.78
5-16433.48523405832.636637.32-9366.24-11761.980.620.42-0.089-3286.7
6-7680.445234013045.0614358.28-11256.85-13162.121.160.77-0.026-1536.09
7-11684.235234014297.4918063.31-13426.4-14668.481.060.71-0.035-2336.85
8-19261.35523409243.8311918.06-12583-14160.770.730.49-0.072-3852.27
9-19052.91523407542.1212476.72-11379.05-13744.270.660.44-0.079-3810.58
10-19891.86523405925.2910428.31-10580.81-14493.960.560.37-0.092-3978.37

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.18. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GSFC Performance, X=1, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012219 Jan 2012 (-1.77%), 08 Jun 2012 (-1.87%)
2010108 Sep 2010 (4.91%)
2005105 Apr 2005 (-0.37%)
2004108 Jul 2004 (3.82%)

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
nilnil-119439.48523408727.779820.52-2672.02-3735.073.272.180.0681887.9
50nil31.176151.2362433.339007.6110998.31-2966-3431.073.041.520.0371025.21
50trail31.176151.2362433.339007.6110998.31-2966-3431.073.041.520.0371025.21
50trail-12957.2462433.336410.616515.41-2966-3431.072.161.080.0074159.54
50nil21.17146.1662433.336005.077332.2-2966-3431.072.021.010.001224.36
50trail21.17146.1662433.336005.077332.2-2966-3431.072.021.010.001224.36
atrtrail22.17-10726.5462433.3314276.9714913.95-9820.12-14896.511.450.73-0.032-1787.76
atrnil22.17-11482.8662433.3314276.9714913.95-10009.2-14896.511.430.71-0.033-1913.81
atrnil36.8-19576.825142020459.9820459.98-10009.2-14896.512.040.51-0.064-3915.36
atrtrail32.83-29973.6962433.334653.396372.83-9820.12-14896.510.470.24-0.14-4995.61
atrtrail-12.83-29973.6962433.334653.396372.83-9820.12-14896.510.470.24-0.14-4995.61

In the table above, row 1 shows the best exit criterion. Profit factor is 2.18. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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