Study: Buy SRF when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SRF when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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: buy SRF 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
1-25020.081239252769.54021.45-3703.18-6658.740.750.25-0.12-2085.01
2-58294.71221016.675449.228579.09-6919.31-19971.570.790.16-0.14-4857.89
3-76782.97121118.3323324.423324.4-9100.67-19952.252.560.23-0.12-6398.58
4-97729.4121118.3310991.9610991.96-9883.76-22894.171.110.1-0.19-8144.12
5-1167181221016.675804.136434.32-12832.63-20824.450.450.09-0.22-9726.5
6-1427441221016.679733.9811796.25-16221.19-25114.160.60.12-0.21-11895.33
7-1324891221016.6710926.2715013.4-15434.19-22829.960.710.14-0.19-11040.78
8-1319861221016.677545.338310.99-14707.67-31050.230.510.1-0.2-10998.84
9-166427121118.33190.48190.48-15147.07-28767.120.0130.0011-0.32-13868.94
10-177051121118.332989.652989.65-16367.37-36073.060.180.017-0.28-14754.28

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.25. This strategy is not profitable and we advice you not to use it.

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
200trail31.31-18063.121631318.755840.919422.07-2737.37-3624.192.130.49-0.06-1128.94
200trail21.12-18752.081631318.755611.266281.38-2737.37-3624.192.050.47-0.072-1172.01
200nil21.12-19861.921631318.755611.266281.38-2822.75-3624.191.990.46-0.076-1241.37
200nil31.4-20867.111521313.337914.297922.25-2822.75-3624.192.80.43-0.077-1391.14
200trail-11.69-22015.71631318.754523.3910209.12-2737.37-3624.191.650.38-0.082-1375.98
nilnil-11-25020.081239252769.54021.45-3703.18-6658.740.750.25-0.12-2085.01
atrtrail23.92-78246.951221016.6712421.7724035.75-10309.05-18785.551.20.24-0.13-6520.58
atrnil24.08-89952.56121118.3324035.7524035.75-10362.57-21392.362.320.21-0.15-7496.05
atrtrail34-92116.161221016.675487.1610166.54-10309.05-18785.550.530.11-0.23-7676.35
atrtrail-14-92116.161221016.675487.1610166.54-10309.05-18785.550.530.11-0.23-7676.35
atrnil34.58-12600612012000-10500.52-21392.3600-0.56-10500.52

In the table above, row 1 shows the best exit criterion. Profit factor is 0.49. 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.
SRF Performance, Profit Factor:0.492

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016104 Mar 2016 (-1.25%)
2013215 Oct 2013 (0.09%), 21 Oct 2013 (4.71%)
2012122 Feb 2012 (-1.09%)
2008124 Apr 2008 (-1.76%)
2004113 Apr 2004 (3.96%)
2003107 Apr 2003 (-1.07%)
2000111 Jul 2000 (-1.22%)
1998702 Jan 1998 (-1.81%), 19 Jan 1998 (-1.09%), 20 Jan 1998 (-1.01%), 17 Mar 1998 (-1.64%), 18 Mar 1998 (-1.42%), 19 Mar 1998 (-1.65%), 21 Apr 1998 (-1.23%)
1997113 Aug 1997 (-1.57%)



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