Study: Sell MRF when below 200 SMA and RSI is overbought

home > technical-strategy > mrf > 62

In this study, we evaluate the performance of strategy "Sell MRF when below 200 SMA and RSI is overbought" 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
1-81580.431981142.111801.974285.71-8726.93-26190.70.210.15-0.11-4293.71
2-1245261971236.845187.812309.59-13403.4-42001.940.390.23-0.091-6554.01
3-1446831991047.373521.838571.43-17637.95-42822.090.20.18-0.1-7614.9
4-1564041981142.114007.215904.76-17132.88-37074.590.230.17-0.12-8231.79
5-2406931961331.585787.59523.81-21185.98-46145.820.270.13-0.15-12668.04
6-2254411961331.586102.1711181.73-20158.01-45766.870.30.14-0.13-11865.32
7-2620681961331.587020.915208.77-23399.45-61278.660.30.14-0.14-13793.03
8-2618101951426.326796.0114569.81-21127.89-61459.480.320.11-0.14-13779.5
9-2756571961331.587832.7614986.12-24819.49-60154.990.320.15-0.13-14508.25
10-3376741941521.0511190.2517922.56-25495.67-60529.720.440.12-0.16-17772.32
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
atrtrail22.9-1507334263614.2911970.9118130.36-6182.18-11433.561.940.32-0.11-3588.88
atrnil23.45-1635863853313.1614335.0418130.36-7129.12-11615.072.010.3-0.12-4304.88
atrtrail33.05-1623334263614.2910037.6723775.46-6182.18-11433.561.620.27-0.12-3865.06
atrnil34.16-182099373348.1119391.5723871.44-7066.86-11615.072.740.24-0.14-4921.58
atrtrail-13.19-1743154263614.298040.5417152.68-6182.18-11433.561.30.22-0.15-4150.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.32. 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:0.323

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Aug 2019 (0.11%)
2016229 Mar 2016 (-2.51%), 30 Mar 2016 (-2.55%)
2011121 Apr 2011 (6.14%)
2009801 Apr 2009 (-3.95%), 02 Apr 2009 (-3.94%), 06 Apr 2009 (-4.05%), 08 Apr 2009 (-3.99%), 13 Apr 2009 (9.07%), 20 Apr 2009 (-5.72%), 21 Apr 2009 (-2.58%), 04 May 2009 (-3.94%)
2008325 Apr 2008 (-3.22%), 29 Apr 2008 (-2.39%), 05 May 2008 (7.93%)
2007325 Apr 2007 (-2.59%), 03 May 2007 (-2.7%), 16 May 2007 (-1.0%)
2006327 Jul 2006 (-3.73%), 28 Jul 2006 (-3.92%), 31 Jul 2006 (-3.17%)
2004206 Aug 2004 (-3.22%), 09 Aug 2004 (-3.55%)
2001702 Nov 2001 (-3.55%), 05 Nov 2001 (-3.95%), 06 Nov 2001 (-4.01%), 07 Nov 2001 (-4.63%), 09 Nov 2001 (-2.06%), 20 Nov 2001 (-4.39%), 22 Nov 2001 (-3.87%)
2000703 Nov 2000 (-2.95%), 06 Nov 2000 (-1.13%), 08 Nov 2000 (-3.28%), 14 Nov 2000 (-1.64%), 28 Nov 2000 (-1.93%), 04 Dec 2000 (-2.1%), 06 Dec 2000 (-1.43%)
1999206 Jan 1999 (-2.23%), 07 Jan 1999 (-2.45%)
1998325 Mar 1998 (5.29%), 09 Apr 1998 (-2.98%), 10 Apr 1998 (7.38%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play