Study: Sell MRF when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell MRF when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell MRF 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
1-14936.2265254038.463261.5512025.76-2411.88-7166.731.350.85-0.013-229.79
2-34168.3465273841.544124.6529227.17-3829.84-21514.261.080.77-0.018-525.67
3-29118.1965323349.235082.5531422.72-5810.9-26782.350.870.85-0.011-447.97
4-32956.7565313447.696093.8236522.25-6525.45-25751.930.930.85-0.012-507.03
5-27331.0265283743.087248.0933214.29-6223.72-21022.861.160.88-0.0097-420.48
6-44952.6565254038.468280.8732166.67-6299.36-23529.211.310.82-0.015-691.58
7-58916.6765283743.088627.338750-8121.11-45885.191.060.8-0.016-906.41
8-38443.6965283743.089026.437312.5-7869.8-40263.651.150.87-0.01-591.44
9-23589.1365273841.549386.1631833.33-7289.88-34254.911.290.91-0.0065-362.91
10-22965.2265303546.159318.650167.22-8643.52-45970.211.080.92-0.0054-353.31
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
200trail-13.0729053.7494316332.986755.2547993.31-2862.84-3999.062.361.160.009309.08
200trail32.4627524.4995326333.686455.5811785.31-2842.13-3999.062.271.150.012289.73
200trail22.083906.2898366236.734994.787856.88-2837.19-3999.061.761.020.002139.86
atrtrail-14.944421.8479265332.918650.9349549.35-4160.42-7964.632.081.020.001255.97
200nil32.753791.0989236625.848819.6611785.31-3016.08-3999.062.921.020.001742.6
atrnil25.93-2091.0471215029.5813161.6535377.5-5569.71-10897.252.360.99-0.00065-29.45
atrtrail24.24-7376.93802852357602.9719556.95-4235.77-7964.631.790.97-0.0029-92.21
200nil22.26-11192.5993306332.265928.857856.88-3000.92-3999.061.980.94-0.0059-120.35
atrnil38.77-67011.1462105216.1322337.553066.25-5584.35-11862.2740.77-0.019-1080.82
atrtrail34.59-51710.5579265332.91649229335.42-4160.42-7964.631.560.77-0.021-654.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 32.98%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.009, 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.
MRF Performance, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Aug 2019 (0.36%), 30 Aug 2019 (-0.31%), 06 Sep 2019 (-1.25%), 18 Sep 2019 (-1.06%)
2018229 Jan 2018 (-1.48%), 03 Sep 2018 (1.84%)
2016408 Jan 2016 (-1.22%), 13 Jan 2016 (6.26%), 30 Mar 2016 (-1.19%), 22 Aug 2016 (-1.21%)
2015616 Jul 2015 (-1.71%), 21 Jul 2015 (-1.77%), 07 Sep 2015 (-1.19%), 26 Nov 2015 (-1.58%), 30 Nov 2015 (-1.05%), 14 Dec 2015 (-1.66%)
2013403 Jul 2013 (-1.62%), 27 Aug 2013 (-1.15%), 30 Aug 2013 (-1.54%), 06 Sep 2013 (-1.44%)
2012329 Oct 2012 (-1.78%), 09 Nov 2012 (-1.69%), 13 Nov 2012 (0.64%)
2011808 Jul 2011 (-1.14%), 28 Jul 2011 (-1.73%), 02 Aug 2011 (-1.44%), 02 Sep 2011 (-1.34%), 22 Sep 2011 (1.43%), 12 Oct 2011 (-1.07%), 03 Nov 2011 (-1.43%), 27 Dec 2011 (-1.5%)
2009107 May 2009 (1.6%)
2008131 Jan 2008 (-1.98%)
20071115 May 2007 (-1.78%), 16 May 2007 (-1.85%), 18 May 2007 (0.37%), 07 Jun 2007 (-0.69%), 15 Jun 2007 (2.07%), 27 Jun 2007 (-1.83%), 11 Jul 2007 (-1.87%), 01 Aug 2007 (-1.01%), 03 Aug 2007 (2.46%), 16 Aug 2007 (2.08%), 04 Sep 2007 (-1.75%)
2006320 Jan 2006 (-1.39%), 25 Jan 2006 (-1.31%), 31 Jul 2006 (-1.32%)
2005320 Jun 2005 (-1.93%), 30 Jun 2005 (-1.94%), 05 Jul 2005 (-1.64%)
2004218 Mar 2004 (13.37%), 12 Apr 2004 (1.69%)
2003822 Jan 2003 (-1.2%), 11 Feb 2003 (-1.28%), 18 Feb 2003 (-1.39%), 19 Feb 2003 (-1.64%), 20 Feb 2003 (-1.03%), 27 Feb 2003 (-1.01%), 19 Mar 2003 (-1.36%), 03 Apr 2003 (-1.37%)
2002614 Oct 2002 (-1.89%), 25 Oct 2002 (2.17%), 04 Nov 2002 (1.18%), 27 Nov 2002 (-2.0%), 10 Dec 2002 (-1.06%), 11 Dec 2002 (-1.8%)
2000209 Feb 2000 (-1.74%), 26 Dec 2000 (-1.32%)
1999309 Apr 1999 (4.23%), 21 May 1999 (2.88%), 03 Jun 1999 (-1.86%)
1998127 May 1998 (11.2%)
19971909 Jan 1997 (-1.0%), 27 Jan 1997 (-1.7%), 07 Feb 1997 (-1.5%), 20 Feb 1997 (-1.32%), 06 Mar 1997 (0.31%), 02 Apr 1997 (-1.71%), 24 Apr 1997 (1.48%), 02 May 1997 (0.66%), 25 Jun 1997 (2.33%), 01 Jul 1997 (-1.0%), 16 Jul 1997 (-1.16%), 21 Jul 1997 (-1.03%), 11 Aug 1997 (0.94%), 20 Aug 1997 (0.5%), 27 Aug 1997 (1.52%), 02 Sep 1997 (0.62%), 08 Sep 1997 (2.54%), 23 Sep 1997 (0.18%), 25 Sep 1997 (24.0%)
1996308 Aug 1996 (3.72%), 20 Nov 1996 (4.42%), 26 Nov 1996 (5.64%)



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