Study: Buy SRF 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 SRF 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 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
1-20732.9930131743.333448.59402.28-3856.68-16979.590.890.68-0.028-691.1
2-14672.5230131743.335103.3516252.52-4765.65-27755.11.070.82-0.013-489.08
3-6511.630111936.679874.2825402.28-6059.4-41224.491.630.94-0.0039-217.05
4-33527.18301218406926.8319840.65-6480.51-32108.841.070.71-0.024-1117.57
5-40874.6430111936.676702.3916622.4-6031.63-18993.21.110.64-0.036-1362.49
6-10984.0230141646.676974.2617028.59-6788.98-15564.631.030.9-0.0088-366.13
779435.4330171356.6710320.5353643.91-7385.66-22993.21.41.830.0412647.85
812859030171356.6712831.2658994.46-6887.8-21170.071.862.440.064286.34
918953430191163.3314966.3184271.22-8620.57-26083.191.7430.0666317.79
1015825930171356.6715217.8970710.33-7726.58-40410.171.972.580.0595275.29
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
SRF Performance, X=9, Profit Factor:3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 Jan 2019 (6.13%), 20 Aug 2019 (-4.55%), 11 Sep 2019 (2.36%)
2018212 Feb 2018 (1.73%), 27 Feb 2018 (-1.94%)
2017205 Jan 2017 (4.52%), 31 Mar 2017 (4.75%)
2016130 May 2016 (-4.02%)
2015419 Mar 2015 (6.6%), 19 May 2015 (16.74%), 07 Oct 2015 (5.8%), 28 Dec 2015 (3.3%)
2014210 Feb 2014 (0.16%), 24 Feb 2014 (42.14%)
2011225 Jan 2011 (-13.04%), 30 Mar 2011 (8.33%)
2010106 Dec 2010 (-8.15%)
2009201 Dec 2009 (3.01%), 18 Dec 2009 (12.57%)
2006101 Mar 2006 (-1.25%)
2005228 Jan 2005 (17.13%), 29 Nov 2005 (0.09%)
2004113 Apr 2004 (-2.41%)
2003120 Jan 2003 (0.22%)
2002312 Sep 2002 (-3.85%), 15 Nov 2002 (0.88%), 06 Dec 2002 (-1.74%)
1999224 Nov 1999 (-6.01%), 22 Dec 1999 (5.72%)
1998106 Mar 1998 (-0.46%)

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-13.1262003.835213392512911.3366171.46-2713.94-3972.64.761.590.0231192.38
atrnil26.8458365.3932131940.6216810.0724035.75-8429.76-12932.361.991.360.0291823.92
50trail21.711804.3754203437.045568.537770.66-2928.42-3972.61.91.120.011218.6
50nil21.747941.6753193435.855851.857770.66-3036.57-3972.61.931.080.0071149.84
atrnil39.2912313.73192229.0322775.4531556.22-8757.52-12932.362.61.060.0055397.22
50trail326443.0554153927.787668.8611655.99-2784.35-3972.62.751.060.0048119.32
50nil32.16-3836.551133825.498613.4311655.99-3047.66-3972.62.830.97-0.003-75.23
atrtrail35.05-28688.6938112728.9513999.6131556.22-6766.09-12932.362.070.84-0.014-754.97
atrtrail-15.74-30403.5838112728.9513843.7145319.97-6766.09-12932.362.050.83-0.014-800.09
atrtrail24.53-36297.6738112728.9513307.8824035.75-6766.09-12932.361.970.8-0.02-955.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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.
SRF Performance, Profit Factor:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019524 Jan 2019 (-1.57%), 20 Aug 2019 (-1.02%), 26 Aug 2019 (-1.01%), 11 Sep 2019 (-1.44%), 16 Sep 2019 (-1.42%)
2018312 Feb 2018 (-1.13%), 22 Feb 2018 (-0.06%), 27 Feb 2018 (-1.02%)
2017405 Jan 2017 (-1.73%), 09 Jan 2017 (3.82%), 31 Mar 2017 (0.22%), 10 Apr 2017 (2.71%)
2016130 May 2016 (-1.43%)
2015619 Mar 2015 (-1.57%), 19 May 2015 (2.22%), 07 Oct 2015 (-1.77%), 12 Oct 2015 (4.56%), 28 Dec 2015 (-1.43%), 31 Dec 2015 (-1.11%)
2014510 Feb 2014 (-0.47%), 17 Feb 2014 (-1.16%), 24 Feb 2014 (-1.82%), 28 Feb 2014 (-1.22%), 04 Mar 2014 (33.09%)
2011225 Jan 2011 (-1.44%), 30 Mar 2011 (8.26%)
2010106 Dec 2010 (-1.4%)
2009301 Dec 2009 (2.67%), 14 Dec 2009 (-1.68%), 18 Dec 2009 (10.92%)
2006301 Mar 2006 (-1.69%), 03 Mar 2006 (-1.8%), 13 Mar 2006 (-1.68%)
2005528 Jan 2005 (5.78%), 29 Nov 2005 (-1.54%), 01 Dec 2005 (-1.35%), 05 Dec 2005 (-1.27%), 07 Dec 2005 (-0.06%)
2004113 Apr 2004 (5.1%)
2003120 Jan 2003 (4.46%)
2002812 Sep 2002 (-1.4%), 20 Sep 2002 (-1.54%), 24 Sep 2002 (0.09%), 15 Nov 2002 (-1.28%), 22 Nov 2002 (-1.24%), 26 Nov 2002 (-1.08%), 29 Nov 2002 (-1.65%), 06 Dec 2002 (-1.74%)
1999224 Nov 1999 (-1.31%), 22 Dec 1999 (-1.72%)
1998206 Mar 1998 (-1.7%), 17 Mar 1998 (-1.99%)



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