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

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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 and RSI is below 50" 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
1-10580.16261313502435.315669.87-3249.17-7665.720.750.75-0.024-406.93
2-46628.052691734.623022.326729.31-4342.88-15107.140.70.37-0.077-1793.39
3-26917.326111542.313408.5210631.12-4294.06-13067.340.790.58-0.043-1035.28
4-58735.992671926.924897.612725.2-4895.75-21240.7810.37-0.074-2259.08
5-86351.182681830.775354.614355.99-7177.11-50213.030.750.33-0.063-3321.2
6-1251822681830.775735.714477.68-9503.76-62496.10.60.27-0.072-4814.7
7-13514626101638.465602.3214518.54-11948.11-56489.660.470.29-0.07-5197.94
8-1731402691734.627080.1518662.96-13933.02-64822.30.510.27-0.072-6659.23
9-12532426121446.156607.1418367.07-14614.97-74564.460.450.39-0.052-4820.15
10-88397.7526141253.855782.3318573.81-14112.53-67038.330.410.48-0.041-3399.91

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.75. This strategy is not profitable and we advice you not to use it.

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
nilnil-11-10580.16261313502435.315669.87-3249.17-7665.720.750.75-0.024-406.93
atrtrail23.57-23542.813072323.339915.616228.7-4041.39-6534.182.450.75-0.025-784.76
50nil33.16-25682.263262618.759235.3211395.4-3119.01-3826.172.960.68-0.034-802.57
50nil22.27-24510.143392427.275814.167596.93-3201.57-3826.171.820.68-0.038-742.73
atrnil24.24-40419.932972224.1410818.9216228.7-5279.65-8720.742.050.65-0.04-1393.79
50trail21.97-29089.0934102429.414497.236560.02-3085.89-3826.171.460.61-0.049-855.56
50trail32.27-36849.383372621.215816.99787.15-2983.37-3826.171.950.52-0.059-1116.65
atrtrail33.9-46108.863072323.336691.8814379.12-4041.39-6534.181.660.5-0.06-1536.96
50trail-12.85-40066.763372621.215357.2711155-2983.37-3826.171.80.48-0.065-1214.14
atrtrail-14.07-51822.853072323.335875.5910884.88-4041.39-6534.181.450.44-0.075-1727.43
atrnil37.04-98442.812832510.7112476.1314522.32-5434.85-8720.742.30.28-0.13-3515.81

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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.
MRF Performance, X=1, Profit Factor:0.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019509 Jan 2019 (-0.95%), 23 Jan 2019 (1.77%), 09 Apr 2019 (0.26%), 21 Jun 2019 (0.48%), 08 Jul 2019 (0.37%)
2018110 Dec 2018 (-2.81%)
2013106 Sep 2013 (-0.7%)
2012112 Nov 2012 (-0.68%)
2011425 May 2011 (2.76%), 10 Jun 2011 (0.84%), 03 Nov 2011 (-0.86%), 27 Dec 2011 (2.83%)
2008212 May 2008 (1.13%), 29 May 2008 (2.0%)
2007226 Jun 2007 (-3.83%), 01 Aug 2007 (0.18%)
2004121 Jul 2004 (-0.9%)
2003322 Jan 2003 (-2.64%), 19 Mar 2003 (-1.48%), 03 Apr 2003 (-1.15%)
2001129 Oct 2001 (-0.46%)
1998226 Feb 1998 (-1.26%), 28 Dec 1998 (0.35%)
1997302 Apr 1997 (-3.38%), 02 May 1997 (0.19%), 29 Aug 1997 (2.66%)



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