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

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In this study, we evaluate the performance of strategy "Buy GSFC when near 200 SMA and above 200 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
112110.9251302158.824145.8418508.29-5345.92-15576.780.781.110.0077237.47
242037.5851242747.068342.8820125.79-5858.95-24561.41.421.270.018824.27
3-2214.5651232845.19408.9330305.62-7807.85-26475.851.210.99-0.00077-43.42
433843.2251302158.828665.4129920.92-10767.58-37209.30.81.150.011663.59
571740.451312060.789851.8736532.68-11683.37-29338.10.841.310.021406.67
6-32902.2151272452.9410342.1932983.19-13005.89-36836.840.80.89-0.0084-645.14
7-78943.3351232845.113292.7844117.65-13738.47-44844.840.970.79-0.018-1547.91
8-72537.7151213041.1813534.8541235.99-11892.32-46846.851.140.8-0.018-1422.31
9-86006.0551222943.1413449.3540907.85-13168.68-52951.71.020.77-0.02-1686.39
10-43304.6351262550.9812882.9936642.06-15130.5-51651.650.850.89-0.0098-849.11
Although, strategy looks good but profit factor on day 3 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
200trail31.6810670779275234.189113.2911595.76-2679.85-3786.483.41.770.0491350.72
200nil31.7410942978285035.99084.3311595.76-2898.64-3786.483.131.760.0491402.94
200trail-12.8148613.5878235529.498505.7425548.19-2673.06-3786.483.181.330.02623.25
200nil21.5246455.7380314938.756040.597730.51-2873.52-3786.482.11.330.027580.7
200trail21.544987.2580305037.56057.457730.51-2734.72-3786.482.221.330.027562.34
atrnil38.5511191056193733.9325368.6445373.13-10002.55-21663.492.541.30.0231998.39
atrnil27.29-254.1356213537.516841.5330248.75-10112.18-21663.491.671-6.8e-05-4.54
atrtrail35.52-3368.3160253541.6710367.8125507.84-7501.82-16145.61.380.99-0.0011-56.14
atrtrail25.3-14170.9260253541.679935.7123893.23-7501.82-16145.61.320.95-0.0048-236.18
atrtrail-16.12-77037.9459243540.687658.9422690.91-7452.93-16145.61.030.7-0.03-1305.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 34.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, 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:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Jan 2019 (-1.01%), 15 Jan 2019 (-1.05%), 01 Apr 2019 (-1.88%), 27 May 2019 (4.96%), 07 Jun 2019 (-1.41%)
2018112 Feb 2018 (-1.44%)
2016619 Jan 2016 (-1.41%), 04 Apr 2016 (-1.2%), 07 Apr 2016 (4.54%), 17 Aug 2016 (3.09%), 02 Sep 2016 (-1.34%), 06 Sep 2016 (5.16%)
2015123 Feb 2015 (4.36%)
2014228 Mar 2014 (5.54%), 07 Apr 2014 (5.69%)
2013510 May 2013 (-0.91%), 16 May 2013 (-1.8%), 22 May 2013 (-1.64%), 13 Nov 2013 (-0.22%), 27 Nov 2013 (3.25%)
20121018 Jan 2012 (-1.46%), 20 Jan 2012 (-1.86%), 06 Feb 2012 (-1.0%), 14 Feb 2012 (3.34%), 03 Mar 2012 (-1.89%), 16 May 2012 (-1.7%), 21 May 2012 (-1.27%), 23 May 2012 (-1.71%), 25 May 2012 (4.23%), 29 Jun 2012 (-1.58%)
2011424 May 2011 (-1.14%), 27 May 2011 (5.32%), 17 Jun 2011 (-1.81%), 27 Jun 2011 (5.8%)
2009113 Apr 2009 (-1.44%)
2008115 Feb 2008 (5.59%)
2007502 Jan 2007 (4.26%), 25 Apr 2007 (-1.81%), 01 Jun 2007 (4.13%), 08 Jun 2007 (-1.1%), 12 Jul 2007 (4.82%)
2006815 Jun 2006 (3.76%), 16 Jun 2006 (5.29%), 14 Jul 2006 (-1.2%), 22 Aug 2006 (-1.48%), 28 Aug 2006 (-1.33%), 06 Nov 2006 (3.63%), 28 Nov 2006 (-1.48%), 01 Dec 2006 (4.37%)
2004115 Jun 2004 (-1.53%)
2003104 Feb 2003 (-1.46%)
2001127 Feb 2001 (-1.04%)
2000227 Jan 2000 (-1.61%), 28 Feb 2000 (-1.29%)
19991019 May 1999 (-1.31%), 08 Jun 1999 (-1.61%), 22 Jun 1999 (5.7%), 24 Jun 1999 (-1.44%), 06 Aug 1999 (5.3%), 05 Oct 1999 (-1.65%), 01 Nov 1999 (-1.29%), 02 Nov 1999 (4.63%), 29 Dec 1999 (-1.56%), 30 Dec 1999 (3.64%)
1998309 Mar 1998 (-1.0%), 18 Mar 1998 (-1.44%), 12 May 1998 (-1.28%)
1997910 Jan 1997 (3.28%), 28 Feb 1997 (4.18%), 11 Mar 1997 (-0.27%), 14 Mar 1997 (-1.65%), 21 Apr 1997 (-1.49%), 30 Apr 1997 (-1.11%), 02 May 1997 (-1.11%), 04 Sep 1997 (5.18%), 12 Sep 1997 (-1.6%)
1996320 May 1996 (-0.06%), 27 May 1996 (-1.13%), 31 May 1996 (-1.15%)



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