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

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In this study, we evaluate the performance of strategy "Buy GSFC when near 200 SMA and above 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: 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
122114.04201010506977.218508.29-4765.79-12865.51.461.460.031105.7
2-19231.93201010507639.8514915.97-9563.04-24561.40.80.8-0.019-961.6
3-56699.7820812409542.3225904.2-11086.53-26475.850.860.57-0.045-2834.99
4-60007.7220119558597.1820423.68-17175.19-37209.30.50.61-0.04-3000.39
5-34560.93201195511176.7728781.51-17500.6-29338.10.640.78-0.021-1728.05
6-77301.88209114511384.2832983.19-16341.85-34697.860.70.57-0.045-3865.09
7-106804208124014768.8344117.65-18746.21-43469.790.790.53-0.053-5340.19
8-107942208124011716.8824579.83-16806.41-40429.340.70.46-0.066-5397.09
9-95039.88208124012833.4731512.61-16475.63-52951.70.780.52-0.052-4751.99
10-63573.87209114513959.529543.04-17200.86-42933.810.810.66-0.035-3178.69

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study.

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
200trail31.2636485.532791833.339641.611402.45-2793.83-3714.563.451.730.0471351.32
200nil31.2635481.142791833.339641.611402.45-2849.63-3714.563.381.690.0451314.12
nilnil-1122114.04201010506977.218508.29-4765.79-12865.51.461.460.031105.7
200trail21.1820607.0628111739.296218.277601.63-2811.41-3714.562.211.430.034735.97
200nil21.1819936.9728111739.296218.277601.63-2850.82-3714.562.181.410.033712.03
200trail-12.426138.632671926.928462.3618709.68-2794.63-3714.563.031.120.0084236.1
atrnil36.2113107.091961331.582627839289.9-11120.07-19340.432.361.090.0078689.85
atrtrail34-27531.92281436.3610874.5225507.84-8180.58-16145.61.330.76-0.023-1251.45
atrtrail23.82-28622.392281436.3610738.2123893.23-8180.58-16145.61.310.75-0.025-1301.02
atrnil25.58-39448.911961331.5817518.6726193.26-11120.07-19340.431.580.73-0.031-2076.26
atrtrail-14.41-62144.632281436.366547.9318540.21-8180.58-16145.60.80.46-0.068-2824.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 33.33%, 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 0.047, 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:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016119 Jan 2016 (-1.41%)
2014228 Mar 2014 (5.54%), 07 Apr 2014 (5.69%)
2012218 Jan 2012 (-1.46%), 20 Jan 2012 (-1.86%)
2011224 May 2011 (-1.14%), 27 May 2011 (5.32%)
2009113 Apr 2009 (-1.44%)
2007108 Jun 2007 (-1.1%)
2006715 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%)
2004115 Jun 2004 (-1.53%)
2001127 Feb 2001 (-1.04%)
1999519 May 1999 (-1.31%), 08 Jun 1999 (-1.61%), 22 Jun 1999 (5.7%), 24 Jun 1999 (-1.44%), 29 Dec 1999 (-1.56%)
1997310 Jan 1997 (3.28%), 04 Sep 1997 (5.18%), 12 Sep 1997 (-1.6%)
1996131 May 1996 (-1.15%)



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