Study: Buy MRF when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy MRF when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-3594.832281436.363296.2711966.38-2140.35-5531.311.540.88-0.0092-163.4
213540.262291340.915303.0519524.5-2629.79-7583.412.021.40.023615.47
34412.5722121054.554328.5310895.91-4752.98-13341.080.911.090.0071200.57
425448.49221111506633.1814998.3-4319.68-11082.41.541.540.0361156.75
550829.0822121054.558781.8828962.54-5455.35-13085.711.611.930.052310.41
684684.272213959.0910287.9432102.9-5450.99-19963.991.892.730.0693849.29
71488542213959.0915326.8778076.79-5599.48-16163.232.743.950.0726766.09
81441512213959.0915524.7363248.01-6407.88-28417.682.423.50.0796552.3
91915052213959.0918574.8669787.25-5552.02-14141.413.354.830.18704.77
101957492214863.6417171.9866108.66-5582.35-12880.813.085.380.118897.68
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MRF Performance, X=10, Profit Factor:5.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (11.91%)
2016231 Mar 2016 (-4.06%), 23 Aug 2016 (11.61%)
2015120 Jul 2015 (16.27%)
2013119 Sep 2013 (9.26%)
2011228 Oct 2011 (-0.13%), 25 Nov 2011 (3.9%)
2009114 May 2009 (33.05%)
2007317 May 2007 (6.08%), 06 Jun 2007 (-3.64%), 02 Jul 2007 (5.83%)
2003104 Apr 2003 (7.38%)
2002228 Nov 2002 (-0.63%), 12 Dec 2002 (3.55%)
2000208 Dec 2000 (-2.91%), 22 Dec 2000 (2.3%)
1998215 Apr 1998 (4.3%), 12 May 1998 (-6.44%)
1997413 Jan 1997 (1.16%), 28 Jan 1997 (-0.33%), 17 Feb 1997 (3.59%), 13 Mar 1997 (-4.19%)

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
atrtrail-14.9757503.6731121938.7111558.5143287.98-4273.6-8254.252.71.710.0371854.96
atrnil23.5250870.8631141745.1610184.0320578.35-5394.45-11898.771.891.550.0411641
atrtrail23.0937951.733141942.428510.7214172.45-4273.6-8254.251.991.470.0361150.05
200trail-13.1829418.8434112332.358798.6320614.68-2928.96-3937.0231.440.026865.26
200nil32.326817.3333112233.338767.3511592.07-3164.7-3937.022.771.390.029812.65
atrtrail34.1929251.4931121938.719204.1615734.14-4273.6-8254.252.151.360.026943.6
200trail32.1121296.7835122334.297388.5711592.07-2928.96-3937.022.521.320.024608.48
atrnil35.55-2890.362972224.1416509.4830867.52-5384.4-11898.773.070.98-0.0021-99.67
200nil22.15-5329.6133112233.335844.97728.05-3164.7-3937.021.850.92-0.0077-161.5
200trail21.97-7332.1335122334.295002.837728.05-2928.96-3937.021.710.89-0.011-209.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 38.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (1.12%)
2016231 Mar 2016 (-2.55%), 23 Aug 2016 (10.05%)
2015120 Jul 2015 (21.64%)
2013119 Sep 2013 (-3.39%)
2011328 Oct 2011 (-1.75%), 02 Nov 2011 (-1.58%), 25 Nov 2011 (9.87%)
2009114 May 2009 (4.4%)
2007417 May 2007 (-2.36%), 28 May 2007 (4.12%), 06 Jun 2007 (-3.21%), 02 Jul 2007 (-1.03%)
2003104 Apr 2003 (5.19%)
2002528 Nov 2002 (-2.24%), 02 Dec 2002 (-2.29%), 06 Dec 2002 (-2.29%), 12 Dec 2002 (-2.37%), 16 Dec 2002 (5.6%)
2000308 Dec 2000 (2.77%), 15 Dec 2000 (-1.66%), 22 Dec 2000 (1.44%)
1998215 Apr 1998 (-4.13%), 12 May 1998 (-2.74%)
1997713 Jan 1997 (1.01%), 22 Jan 1997 (-1.43%), 28 Jan 1997 (-1.5%), 29 Jan 1997 (-1.54%), 06 Feb 1997 (2.13%), 13 Mar 1997 (-1.96%), 19 Mar 1997 (-0.58%)



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