Study: Buy MRF when near 200 SMA and above 200 SMA

home > technical-strategy > mrf > 5

In this study, we evaluate the performance of strategy "Buy MRF when near 200 SMA and above 200 SMA" 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
1-38528.63602139352820.716000-2506.75-8457.111.130.61-0.034-642.14
24332.3560263443.334591.0420828.4-3383.37-13460.961.361.040.002672.21
3-20144.1960312951.674202.5322479.29-5186.98-18828.190.810.87-0.011-335.74
4584.9660283246.676061.720088.76-5285.7-29466.191.1510.000269.75
5744.4260312951.675892.828962.54-6273.53-28488.680.9410.0003112.41
624678.82603030506895.6932102.9-6073.07-20711.691.141.140.0094411.31
779847.376027334510296.7378076.79-6004.98-18005.31.711.40.021330.79
812015660342656.678809.0563248.01-6898.15-28417.681.281.670.0342002.6
9146320603327559631.669787.25-6352.69-22960.491.521.850.0382438.67
1014933360342656.679630.0266108.66-6849.5-24034.151.411.840.0392488.89
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
atrnil25.4333754.5168254336.7611406.7120578.35-5846.82-18409.331.951.130.011496.39
200trail32.6420576.291286330.776901.1611592.07-2740.58-3937.022.521.120.0096226.11
200trail-13.4118173.7688246427.277929.7426948.65-2689.69-3937.022.951.110.0069206.52
200nil32.9412285.585236227.068845.811732.24-3083.35-3937.022.871.060.0055144.54
atrtrail24.1361.9577275035.068226.1319085.97-4434.87-12908.351.8510.000144.7
200trail22.35-431.3992316133.75419.187821.5-2761.08-3937.021.961-0.00024-4.69
atrtrail-15.47-3463.89752451329112.2843287.98-4356.05-12908.352.090.98-0.0011-46.19
200nil22.57-8605.187285932.186106.377821.5-3043.79-3937.022.010.95-0.0047-98.91
atrtrail35.05-22930.43752451328301.1821548.54-4356.05-12908.351.910.9-0.0087-305.74
atrnil38.05-30935.9859134622.0318525.8830867.52-5908.1-18409.333.140.89-0.01-524.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 36.76%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (3.77%)
2018225 Jan 2018 (4.29%), 13 Aug 2018 (-2.19%)
2016407 Jan 2016 (-1.83%), 11 Jan 2016 (-1.95%), 31 Mar 2016 (-2.55%), 23 Aug 2016 (4.77%)
2015420 Jul 2015 (4.0%), 04 Nov 2015 (-2.51%), 09 Nov 2015 (-2.56%), 18 Nov 2015 (5.27%)
2013324 Jun 2013 (7.68%), 02 Aug 2013 (8.65%), 21 Aug 2013 (9.24%)
2012126 Oct 2012 (-2.32%)
2011629 Jul 2011 (-3.13%), 12 Sep 2011 (-3.76%), 13 Oct 2011 (-2.91%), 28 Oct 2011 (-2.65%), 25 Nov 2011 (5.24%), 21 Dec 2011 (-3.21%)
2010129 Nov 2010 (-4.85%)
2009114 May 2009 (10.29%)
2008123 Jan 2008 (-9.2%)
2007601 Mar 2007 (-3.21%), 17 May 2007 (-2.36%), 28 May 2007 (4.95%), 06 Jun 2007 (-3.21%), 02 Jul 2007 (6.83%), 14 Aug 2007 (-3.83%)
2006119 Jan 2006 (6.29%)
2005516 Jun 2005 (-2.11%), 22 Jun 2005 (4.12%), 28 Jun 2005 (-2.23%), 04 Jul 2005 (-2.19%), 28 Oct 2005 (9.54%)
2003517 Jan 2003 (-1.95%), 10 Feb 2003 (4.62%), 12 Mar 2003 (-2.39%), 26 Mar 2003 (-2.33%), 04 Apr 2003 (4.73%)
2002624 Oct 2002 (-2.56%), 28 Nov 2002 (-2.24%), 02 Dec 2002 (-2.29%), 06 Dec 2002 (-2.29%), 12 Dec 2002 (-2.37%), 16 Dec 2002 (4.54%)
2001102 Feb 2001 (-2.96%)
2000428 Jan 2000 (-5.7%), 08 Dec 2000 (5.69%), 15 Dec 2000 (-3.36%), 22 Dec 2000 (7.09%)
1999212 May 1999 (-5.07%), 04 Jun 1999 (6.75%)
1998215 Apr 1998 (-4.44%), 12 May 1998 (-5.95%)
19971213 Jan 1997 (-1.44%), 28 Jan 1997 (-1.5%), 29 Jan 1997 (-1.54%), 06 Feb 1997 (3.38%), 17 Feb 1997 (3.13%), 26 Feb 1997 (2.88%), 10 Mar 1997 (-1.8%), 13 Mar 1997 (-2.08%), 19 Mar 1997 (-2.2%), 19 May 1997 (4.85%), 08 Jul 1997 (-2.23%), 30 Jul 1997 (-2.26%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play