Study: Buy MRF when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy MRF when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" 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
1-25517.4453183533.963330.6610861.65-2441.98-9523.811.360.7-0.026-481.46
25016.0153233043.44628.8326442.35-3381.57-16091.951.371.050.003394.64
337990.4353252847.176034.6537207.27-4031.28-15763.551.51.340.019716.8
42563.1153262749.065764.6435625.54-5456.21-15779.81.061.020.001248.36
520068.453272650.946110.6841087.08-5573.85-21018.51.11.140.0085378.65
685815.9453302356.67482.2539808.62-6028.33-24844.291.241.620.0311619.17
711222853282552.839685.840849.17-6358.98-29038.651.521.710.0362117.51
810233053252847.1710716.0639967.21-5913.29-24993.581.811.620.0331930.75
995170.0453223141.5112146.6738578.24-5550.22-24816.292.191.550.0311795.66
1079463.1653233043.411023.2435652.99-5802.38-22152.241.91.460.0271499.3
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-13.6844149.5279215826.589347.4137552.89-2623.21-3959.243.561.290.015558.85
atrtrail-15.738425.5566204630.312178.8661516.62-4459.82-9615.312.731.190.01582.21
50nil33.4316094.3670195127.148899.3411423.71-2999.86-3961.862.971.110.0088229.92
50nil22.7413056.9976274935.535914.387615.81-2992.47-3961.861.981.090.0082171.8
50trail32.795603.7480235728.756749.3111937.07-2625.1-3959.242.571.040.00370.05
50trail22.49-6779.4180265432.55469.697958.05-2759.1-3959.241.980.95-0.0043-84.74
atrtrail35.05-32731.5466204630.3862121144.89-4459.82-9615.311.930.84-0.014-495.93
atrnil26.47-41801.7255163929.0911308.2316312.52-5711.11-9615.311.980.81-0.02-760.03
atrnil37.96-46971.6553114220.7517471.0124468.79-5694.11-9615.313.070.8-0.019-886.26
atrtrail24.49-44662.1967214631.347642.3516312.52-4459.82-9615.311.710.78-0.021-666.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 26.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018808 Feb 2018 (-1.65%), 09 Feb 2018 (1.44%), 19 Feb 2018 (-0.89%), 06 Mar 2018 (-1.58%), 12 Mar 2018 (-1.01%), 31 May 2018 (-1.21%), 11 Jun 2018 (-1.26%), 03 Jul 2018 (0.44%)
2017409 Feb 2017 (-1.72%), 23 Feb 2017 (-0.04%), 08 Mar 2017 (7.98%), 09 Oct 2017 (-1.25%)
2016230 Nov 2016 (-1.9%), 06 Dec 2016 (3.12%)
2015323 Sep 2015 (2.68%), 15 Oct 2015 (0.07%), 29 Dec 2015 (0.34%)
2014609 May 2014 (5.62%), 21 Jul 2014 (-1.53%), 31 Jul 2014 (-1.19%), 01 Aug 2014 (-0.25%), 12 Aug 2014 (2.38%), 25 Nov 2014 (17.74%)
2013608 Mar 2013 (-1.32%), 14 Mar 2013 (-1.12%), 16 Apr 2013 (9.02%), 12 Aug 2013 (3.31%), 16 Aug 2013 (-1.45%), 19 Sep 2013 (-1.07%)
2012824 May 2012 (-1.04%), 06 Jun 2012 (-1.17%), 06 Jul 2012 (-1.1%), 03 Aug 2012 (-0.03%), 12 Sep 2012 (-1.93%), 17 Sep 2012 (-1.15%), 05 Oct 2012 (-1.12%), 01 Nov 2012 (-1.32%)
2011509 Sep 2011 (-1.08%), 28 Oct 2011 (-1.52%), 02 Nov 2011 (-1.26%), 09 Nov 2011 (-1.9%), 25 Nov 2011 (9.69%)
2010318 Aug 2010 (2.54%), 27 Aug 2010 (-1.51%), 01 Sep 2010 (18.78%)
2007102 Jan 2007 (-1.1%)
2006127 Jan 2006 (-1.98%)
2005220 Dec 2005 (-0.93%), 22 Dec 2005 (-1.79%)
2004216 Feb 2004 (-1.72%), 17 Nov 2004 (-1.78%)
2003929 Jan 2003 (1.05%), 07 Feb 2003 (-1.29%), 25 Feb 2003 (-1.36%), 28 Feb 2003 (0.94%), 17 Mar 2003 (-1.86%), 20 Mar 2003 (0.11%), 25 Mar 2003 (-1.93%), 04 Apr 2003 (-0.56%), 10 Apr 2003 (10.14%)
2002929 May 2002 (-1.71%), 05 Jun 2002 (-1.26%), 20 Aug 2002 (-0.51%), 30 Aug 2002 (-1.12%), 06 Sep 2002 (-1.05%), 11 Sep 2002 (-1.43%), 16 Sep 2002 (-0.51%), 28 Nov 2002 (-1.86%), 02 Dec 2002 (-1.79%)
1999108 Dec 1999 (-1.11%)
1997612 May 1997 (-1.94%), 14 May 1997 (-1.43%), 23 May 1997 (0.6%), 18 Jun 1997 (-1.79%), 07 Jul 1997 (-1.49%), 24 Jul 1997 (-1.88%)
1996314 Oct 1996 (-1.02%), 25 Oct 1996 (0.16%), 10 Nov 1996 (-1.3%)



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