Study: Sell GSFC when below 200 SMA and RSI is overbought

home > technical-strategy > gsfc > 62

In this study, we evaluate the performance of strategy "Sell GSFC when below 200 SMA and RSI is overbought" 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
1-57133.361037303550.956779.66-9683.74-25547.450.370.16-0.13-5713.34
2-1065301055502180.14262.88-23486.11-64233.580.0930.093-0.11-10653.01
3-1002141028206770.4810526.32-14219.34-36496.350.480.12-0.16-10021.38
4-88668.191037303414.176736.84-14130.1-26433.640.240.1-0.17-8866.82
5-97098.1210373012621.916421.05-19280.54-37247.410.650.28-0.12-9709.81
6-13981710373013320.0614526.32-25682.47-59202.620.520.22-0.13-13981.71
7-13378910373016374.9921473.68-26130.62-43910.430.630.27-0.12-13378.93
8-12904810464014223.6730947.37-30990.37-53268.770.460.31-0.099-12904.75
9-19835710464012546.117915.59-41423.56-77966.10.30.2-0.13-19835.7
10-14598310464012807.4418181.82-32868.8-52784.50.390.26-0.11-14598.3
Although, strategy looks good but profit factor on day 2 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
atrnil34.39-1046532332013.0422193.227391.34-8561.62-12088.912.590.39-0.088-4550.12
atrtrail21.92-1209512432112.514795.4718260.9-7873.19-12088.911.880.27-0.13-5039.61
atrnil22-1268462332013.0414795.4718260.9-8561.62-12088.911.730.26-0.14-5515.04
atrtrail32.29-1255452432112.513264.1517088.29-7873.19-12088.911.680.24-0.14-5231.03
atrtrail-12.38-1277422432112.512531.6714890.85-7873.19-12088.911.590.23-0.15-5322.59

In the table above, row 1 shows the best exit criterion. Profit factor is 0.39. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GSFC Performance, Profit Factor:0.389

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Nov 2018 (13.7%)
2009401 Apr 2009 (-3.78%), 02 Apr 2009 (-3.78%), 06 Apr 2009 (-3.79%), 09 Apr 2009 (-4.15%)
2003115 May 2003 (-4.61%)
2002514 Feb 2002 (-5.57%), 03 Dec 2002 (-4.96%), 06 Dec 2002 (-5.6%), 09 Dec 2002 (-6.04%), 12 Dec 2002 (-5.45%)
2000205 Dec 2000 (-5.48%), 08 Dec 2000 (-5.69%)
1999204 Jan 1999 (11.05%), 18 May 1999 (-5.27%)
1998501 Jan 1998 (-2.73%), 02 Jan 1998 (-2.83%), 05 Jan 1998 (8.54%), 30 Dec 1998 (-3.22%), 31 Dec 1998 (-3.52%)
1997302 Jan 1997 (-3.39%), 08 Jan 1997 (-3.02%), 31 Dec 1997 (-2.73%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play