Study: Sell MRF when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell MRF when below 200 SMA and near 50 SMA and below 50 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
1-33235.98402020502104.575669.87-3766.36-10053.210.560.56-0.045-830.9
2-43434.52401624403662.428126.6-4251.38-15107.140.860.57-0.044-1085.86
3-77556.6640152537.53236.6610631.12-5044.26-18314.770.640.38-0.073-1938.92
4-94114.9340112927.54888.0312725.2-5099.42-13598.250.960.36-0.083-2352.87
5-119948401426354025.3614355.99-6780.89-18736.010.590.32-0.09-2998.7
6-14294140132732.55290.8814477.68-7841.58-27038.330.670.32-0.09-3573.53
7-187577401624404180.5914518.54-10602.77-45205.570.390.26-0.089-4689.43
8-21484940152537.54944.418662.96-11560.61-64822.30.430.26-0.078-5371.23
9-20102640172342.54737.7718367.07-12242.1-74564.460.390.29-0.071-5025.66
10-17017640172342.54913.8518573.81-11030.93-67038.330.450.33-0.065-4254.4
Although, strategy looks good but profit factor on day 1 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
50trail-13.03-21154.7560144623.337490.1847993.31-2739.51-3922.632.730.83-0.01-352.58
50nil22.63-37256.857164128.075614.267124.86-3099.63-3922.631.810.71-0.034-653.63
50trail22.16-37993.4663194430.164434.687124.86-2778.46-3922.631.60.69-0.035-603.07
atrtrail23.81-53460.8854134124.078900.9316228.7-4126.17-9206.522.160.68-0.033-990.02
50trail32.51-47553.961154624.595208.4110687.29-2732.17-3922.631.910.62-0.042-779.57
atrtrail-14.4-63319.0653124122.648640.949549.35-4073.41-9206.522.120.62-0.03-1194.7
50nil33.19-55488.45394416.988627.6310687.29-3025.84-3922.632.850.58-0.048-1046.95
atrnil24.73-87993.2449113822.4510702.216228.7-5413.62-9206.521.980.57-0.053-1795.78
atrtrail34.07-78931.5154134124.076941.6517838.13-4126.17-9206.521.680.53-0.053-1461.69
atrnil36.6-168787454418.8914162.2419723.78-5498.44-9206.522.580.25-0.13-3750.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 23.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRF Performance, Profit Factor:0.832

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019909 Jan 2019 (5.58%), 29 Mar 2019 (-1.87%), 09 Apr 2019 (-1.07%), 10 Apr 2019 (-1.15%), 29 May 2019 (-0.57%), 03 Jun 2019 (-1.19%), 06 Jun 2019 (0.58%), 08 Jul 2019 (-1.23%), 08 Aug 2019 (-1.82%)
2018402 Nov 2018 (-0.17%), 13 Nov 2018 (-1.16%), 14 Nov 2018 (-1.34%), 10 Dec 2018 (-1.5%)
2016218 Mar 2016 (-1.1%), 28 Jun 2016 (-1.46%)
2015103 Jul 2015 (-1.23%)
2013106 Sep 2013 (-1.9%)
2012212 Nov 2012 (-1.8%), 13 Nov 2012 (0.64%)
2011725 May 2011 (-1.26%), 02 Jun 2011 (-1.06%), 10 Jun 2011 (-1.22%), 14 Jun 2011 (4.56%), 28 Jun 2011 (-1.27%), 03 Nov 2011 (-1.84%), 27 Dec 2011 (-1.15%)
2008417 Apr 2008 (-1.63%), 12 May 2008 (-1.67%), 15 May 2008 (-1.09%), 29 May 2008 (4.73%)
2007226 Jun 2007 (-1.84%), 01 Aug 2007 (-1.72%)
2004221 Jul 2004 (-1.71%), 29 Jul 2004 (-1.21%)
2003322 Jan 2003 (-1.83%), 19 Mar 2003 (-1.9%), 03 Apr 2003 (-1.61%)
2002327 Nov 2002 (-1.94%), 29 Nov 2002 (-1.96%), 09 Dec 2002 (-1.08%)
2001428 Sep 2001 (1.42%), 16 Oct 2001 (-1.41%), 18 Oct 2001 (-1.36%), 23 Oct 2001 (-1.05%)
2000230 May 2000 (-1.14%), 30 Oct 2000 (-1.02%)
1998425 Feb 1998 (-1.8%), 03 Mar 1998 (-1.48%), 28 Dec 1998 (-0.65%), 31 Dec 1998 (-1.9%)
1997902 Apr 1997 (-1.61%), 24 Apr 1997 (1.48%), 02 May 1997 (0.66%), 28 Aug 1997 (1.78%), 02 Sep 1997 (0.62%), 08 Sep 1997 (2.54%), 16 Sep 1997 (3.66%), 23 Sep 1997 (0.18%), 25 Sep 1997 (24.0%)
1996119 Dec 1996 (-0.04%)



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