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

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In this study, we evaluate the performance of strategy "Buy SRF 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 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
1-3558.9843202346.513309.3613333.33-3032.44-6864.991.090.95-0.0039-82.77
2-28906.4843192444.194582.0114054.05-4831.86-19971.570.950.75-0.022-672.24
317029.8243202346.519433.6533333.33-7462.75-19952.251.261.10.007396.04
4-8859.7843182541.8610081.5131366.26-7613.08-22894.171.320.95-0.0036-206.04
5-9898.9943222151.169086.2525657.47-9990.31-30924.860.910.95-0.0038-230.21
6-26302.3643222151.169645.3333333.33-11357.12-35260.120.850.89-0.009-611.68
7-73829.5943182541.869928.4225120.77-10101.65-30924.860.980.71-0.027-1716.97
8-55751.0643202346.519962.8926939.47-11087.34-38150.290.90.78-0.02-1296.54
9-83286.443192444.1910920.228452.29-12115.43-35260.120.90.71-0.027-1936.89
10-15349743182541.869346.2623895.85-12869.18-35260.120.730.52-0.053-3569.69
Although, strategy looks good but profit factor on day 2 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
200trail-13.0254355.5862174527.4210345.9324054.32-2700.56-3744.553.831.450.025876.7
200trail32.1328296.8162184429.038249.5411851.35-2731.7-3744.553.021.240.018456.4
200nil21.8119437.9863224134.926251.757900.9-2880.5-3946.422.171.160.014308.54
200trail21.7915577.0463214233.336192.927900.9-2725.58-3744.552.271.140.012247.25
200nil32.2113585.4661164526.239088.4211851.35-2929.54-3946.423.11.10.0084222.71
atrnil38.14681.1242113126.1926633.5265257.16-9299.6-21392.362.861.020.0013111.46
atrnil26.64-29112.9144143031.8217792.743504.78-9273.69-21392.361.920.9-0.0098-661.66
atrtrail34.94-61156.7548173135.4211639.0929921.77-8355.52-18785.551.390.76-0.023-1274.1
atrtrail24.65-84923.9748173135.4210241.0224035.75-8355.52-18785.551.230.67-0.035-1769.25
atrtrail-15.44-10778548173135.428896.2824832.76-8355.52-18785.551.060.58-0.047-2245.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 27.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (11.01%)
2018311 Jun 2018 (-1.48%), 18 Jun 2018 (-1.5%), 09 Aug 2018 (-1.85%)
2017816 Feb 2017 (2.39%), 23 Feb 2017 (0.68%), 08 Mar 2017 (1.71%), 22 Mar 2017 (3.02%), 26 May 2017 (-1.36%), 05 Jun 2017 (-1.19%), 09 Jun 2017 (-1.81%), 20 Sep 2017 (-1.16%)
2016704 Mar 2016 (-1.25%), 05 Apr 2016 (11.15%), 25 May 2016 (3.09%), 18 Nov 2016 (-1.15%), 21 Nov 2016 (6.83%), 20 Dec 2016 (-1.87%), 21 Dec 2016 (-1.09%)
2013415 Oct 2013 (0.09%), 21 Oct 2013 (1.59%), 29 Oct 2013 (-1.19%), 01 Nov 2013 (-1.39%)
2012222 Feb 2012 (-1.09%), 01 Oct 2012 (-1.28%)
2011315 Mar 2011 (12.03%), 03 May 2011 (0.69%), 21 Sep 2011 (-1.36%)
2008624 Apr 2008 (-1.76%), 31 Jul 2008 (8.06%), 29 Aug 2008 (-1.48%), 04 Sep 2008 (-1.54%), 05 Sep 2008 (-0.67%), 10 Sep 2008 (-1.24%)
2006201 Nov 2006 (-1.31%), 06 Nov 2006 (-1.01%)
2004305 Mar 2004 (-1.57%), 08 Mar 2004 (-1.15%), 13 Apr 2004 (5.1%)
2003306 Jan 2003 (2.79%), 12 Feb 2003 (-1.27%), 07 Apr 2003 (-1.07%)
2001206 Dec 2001 (-0.05%), 18 Dec 2001 (-1.59%)
2000111 Jul 2000 (-1.22%)
1999107 Apr 1999 (8.9%)
19981302 Jan 1998 (-1.81%), 19 Jan 1998 (-1.09%), 20 Jan 1998 (-1.01%), 05 Feb 1998 (-1.47%), 13 Feb 1998 (-1.81%), 17 Feb 1998 (-1.23%), 20 Feb 1998 (-1.51%), 24 Feb 1998 (-1.66%), 06 Mar 1998 (-1.29%), 17 Mar 1998 (-1.64%), 18 Mar 1998 (-1.42%), 19 Mar 1998 (-1.65%), 21 Apr 1998 (-1.23%)
1997305 Mar 1997 (-1.45%), 30 Jul 1997 (8.81%), 13 Aug 1997 (-1.57%)



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