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

home > technical-strategy > mrf > 3

In this study, we evaluate the performance of strategy "Sell MRF when near 200 SMA and below 200 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
1-28924.312171433.331807.383404.5-2969.71-7166.730.610.3-0.092-1377.35
2-37931.9221111052.382888.248130.08-6970.26-21514.260.410.46-0.057-1806.28
3-56974.2421101147.623521.48567.77-8380.75-26782.350.420.38-0.068-2713.06
4-56939.32181338.13894.45827.29-6776.5-25751.930.570.35-0.073-2711.4
5-53026.352181338.13222.356765.41-6061.93-21022.860.530.33-0.078-2525.06
6-49577.582161528.575431.828423.43-5477.9-15403.360.990.4-0.074-2360.84
7-58433.212171433.335776.9215264.87-7062.26-20379.080.820.41-0.072-2782.53
8-43242.72181338.15627.7326112.1-6789.58-16883.540.830.51-0.05-2059.18
9-60347.62171433.335455.1925115.36-7038.14-17963.590.780.39-0.068-2873.7
10-71583.72171433.33616516704.61-8195.62-29853.860.750.38-0.074-3408.75
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
200trail32.553665.522992031.036575.7811343.74-2775.82-3999.062.371.070.0054126.4
atrnil25.83-6830.342361726.0916071.7935377.5-6074.18-10897.252.650.93-0.0056-296.97
atrtrail24.35-14416.232691734.627003.6816228.7-4555.84-7964.631.540.81-0.018-554.47
200nil33.04-11986.332662023.088566.8611343.74-3169.37-3999.062.70.81-0.019-461.01
200trail22.28-15571.662992031.034438.327562.49-2775.82-3999.061.60.72-0.03-536.95
200nil22.65-19823.412671926.925780.747562.49-3173.08-3999.061.820.67-0.039-762.44
atrnil310.57-38976.29212199.5238296.3253066.25-6082.58-10897.256.30.66-0.028-1856.01
200trail-13.18-37311.212882028.572438.774344.62-2841.07-3999.060.860.34-0.1-1332.54
atrtrail34.96-55265.8625718283203.7111165.27-4316.21-7964.630.740.29-0.11-2210.63
atrtrail-14.96-55265.8625718283203.7111165.27-4316.21-7964.630.740.29-0.11-2210.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 31.03%, which is not acceptable. Avoid this strategy. Average return per trade is 0.063%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0054, 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:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Aug 2019 (0.36%), 30 Aug 2019 (-0.31%), 06 Sep 2019 (-1.25%), 18 Sep 2019 (-1.06%)
2015107 Sep 2015 (-1.19%)
2013103 Jul 2013 (-1.62%)
2011228 Jul 2011 (-1.73%), 02 Sep 2011 (-1.34%)
2009107 May 2009 (4.47%)
2008131 Jan 2008 (-1.98%)
2007815 May 2007 (-1.78%), 16 May 2007 (-1.85%), 18 May 2007 (0.37%), 07 Jun 2007 (-0.69%), 15 Jun 2007 (4.04%), 27 Jun 2007 (-1.83%), 11 Jul 2007 (-1.87%), 01 Aug 2007 (-1.01%)
2004112 Apr 2004 (5.12%)
2002514 Oct 2002 (5.67%), 21 Oct 2002 (-1.24%), 25 Oct 2002 (3.16%), 04 Nov 2002 (3.05%), 27 Nov 2002 (-2.0%)
2000126 Dec 2000 (-1.32%)
1997411 Feb 1997 (-0.67%), 20 Feb 1997 (-1.32%), 06 Mar 1997 (3.35%), 02 Apr 1997 (-1.71%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play