Study: Sell GSFC when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell GSFC when near 200 SMA and below 200 SMA 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: 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
1-19694.051810855.563134.057029.7-6379.32-28079.470.490.61-0.029-1094.11
216196.271810855.567109.1814497.53-6861.94-25806.451.041.30.019899.79
35700.531812666.677387.6121319.8-13825.13-27152.320.531.070.0052316.7
458906.391812666.679694.3825684.21-9571.03-16335.541.012.030.0583272.58
560291.361811761.1112842.4733802.82-11567.97-23399.561.111.740.0483349.52
659833.791811761.1114086.3530046.95-13588.02-32443.971.041.630.0423324.1
733317.831811761.1113099.5629441.62-15825.33-36712.910.831.30.0221850.99
814401.051811761.1114407.4933937.4-20583.05-48025.610.71.10.0077800.06
926937.581811761.1114029.2230795.26-18197.69-35250.380.771.210.0161496.53
1027877.241812666.6713490.7229780.03-22335.24-42247.660.61.210.0161548.74
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GSFC Performance, X=4, Profit Factor:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Mar 2019 (4.87%)
2015101 Dec 2015 (2.87%)
2012213 Jan 2012 (-3.37%), 12 Jun 2012 (2.68%)
2008224 Jan 2008 (-8.17%), 08 Feb 2008 (-0.2%)
2007207 Mar 2007 (2.82%), 06 Jun 2007 (1.03%)
2006125 Aug 2006 (0.87%)
2004103 Jun 2004 (-5.68%)
2003109 Jan 2003 (12.84%)
2002102 Sep 2002 (7.04%)
2001103 Jan 2001 (11.68%)
2000113 Dec 2000 (7.74%)
1999225 Jun 1999 (-4.58%), 28 Dec 1999 (-6.72%)
1997127 Jan 1997 (3.37%)
1996121 Mar 1996 (0.37%)

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-12.8825609.992671926.9210984.8826952.22-2699.17-3883.14.071.50.027985
atrtrail25.2944111.9121101147.6216358.531960.78-10861.19-25201.551.511.370.0272100.57
200trail31.6910509.12681830.777528.1111915.98-2761.99-3883.12.731.210.016404.2
atrnil2930355.69209114521125.4231960.78-14524.83-25201.551.451.190.0171517.78
atrtrail36.4321881.1121101147.6214135.4235762.78-10861.19-25201.551.31.180.0141041.96
200nil31.695175.472671926.928460.6911915.98-2844.7-3883.12.971.10.0079199.06
atrtrail-16.81-786.1521101147.6211868.6926204.53-10861.19-25201.551.090.99-0.00057-37.44
200trail21.54-3042.422681830.775834.177943.99-2761.99-3883.12.110.94-0.0059-117.02
200nil21.54-37812681830.775834.177943.99-2803.02-3883.12.080.93-0.0073-145.42
atrnil314.05-45649.16205152531378.2447941.16-13502.69-25201.552.320.77-0.023-2282.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 26.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Mar 2019 (3.06%)
2015201 Dec 2015 (-1.45%), 02 Dec 2015 (4.66%)
2012313 Jan 2012 (-1.37%), 16 Jan 2012 (-1.85%), 12 Jun 2012 (-1.02%)
2008224 Jan 2008 (-1.14%), 08 Feb 2008 (-1.88%)
2007307 Mar 2007 (-1.07%), 09 Mar 2007 (5.91%), 06 Jun 2007 (-1.79%)
2006325 Aug 2006 (-1.02%), 30 Aug 2006 (-1.06%), 01 Sep 2006 (-1.94%)
2004303 Jun 2004 (-1.45%), 14 Jun 2004 (-1.21%), 16 Jun 2004 (-0.78%)
2003109 Jan 2003 (2.61%)
2002102 Sep 2002 (-1.16%)
2001103 Jan 2001 (-1.37%)
2000113 Dec 2000 (13.48%)
1999225 Jun 1999 (-1.57%), 28 Dec 1999 (-1.88%)
1997227 Jan 1997 (0.5%), 29 Jan 1997 (8.23%)
1996121 Mar 1996 (-0.63%)



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