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

home > technical-strategy > mrf > 19

In this study, we evaluate the performance of strategy "Sell MRF when below 200 SMA and near 50 SMA and below 50 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: 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
1-17136.3995455.56852.332262.38-5349.51-7665.720.160.2-0.12-1904.04
2-11039.7595455.561990.933971.37-5248.6-15107.140.380.47-0.047-1226.64
3-15810.5893633.333831.558567.77-4550.87-13067.340.840.42-0.066-1756.73
4-23980.2993633.332959.655827.29-5476.54-13385.380.540.27-0.095-2664.48
5-18727.7493633.333883.656427.08-5063.11-10954.440.770.38-0.08-2080.86
6-39088.7992722.225096.448211.41-7040.24-13899.320.720.21-0.14-4343.2
7-32847.1293633.335298.529453.66-8123.78-16096.690.650.33-0.096-3649.68
8-28620.4295455.562039.273985.24-9704.19-15436.990.210.26-0.096-3180.05
9-22364.1594544.443713.616935.32-7443.72-13941.820.50.4-0.072-2484.91
10-6821.0195455.564392.247703.86-7195.55-11212.270.610.76-0.024-757.89
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
atrtrail24.4-21239.7710191016228.716228.7-4163.16-6154.43.90.43-0.07-2123.98
atrnil25.22-27446.791811.1116228.716228.7-5459.43-8720.742.970.37-0.091-3049.63
atrtrail34.5-35591.811019101876.671876.67-4163.16-6154.40.450.05-0.31-3559.18
atrtrail-14.5-35591.811019101876.671876.67-4163.16-6154.40.450.05-0.31-3559.18
atrnil39.89-51789.76909000-5754.42-8720.7400-0.78-5754.42
50nil22.56-29218.15909000-3246.46-3887.1300-1.42-3246.46
50nil32.56-29218.15909000-3246.46-3887.1300-1.42-3246.46
50trail21.64-30423.6811011000-2765.79-3887.1300-0.61-2765.79
50trail31.64-30423.6811011000-2765.79-3887.1300-0.61-2765.79
50trail-11.64-30423.6811011000-2765.79-3887.1300-0.61-2765.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.43. 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, Profit Factor:0.433

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Apr 2019 (-1.71%)
2018202 Nov 2018 (-0.54%), 13 Nov 2018 (-2.06%)
2016128 Jun 2016 (-2.29%)
2015103 Jul 2015 (-2.54%)
2008112 May 2008 (-2.84%)
2007226 Jun 2007 (-3.08%), 01 Aug 2007 (8.11%)
2002127 Nov 2002 (-1.1%)
1997102 Apr 1997 (-2.58%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play