Study: Buy SRF when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy SRF when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-21561.781046401105.661996.65-4330.74-8627.450.260.17-0.14-2156.18
2-713.531055503094.67233.27-3237.3-8627.450.960.96-0.0035-71.35
3-5745.151055503022.174752.48-4171.2-7843.140.720.72-0.028-574.51
4-15479.351046404941.237819.9-5874.04-14104.880.840.56-0.05-1547.94
5-8293.641055503297.267802.83-4955.98-9041.590.670.67-0.034-829.36
6-18790.321055504411.728861.48-8169.78-17699.560.540.54-0.05-1879.03
720513.41073708138.5536477.99-12152.15-17851.340.671.560.032051.34
844994.210646014373.6754431.1-10311.96-18300.181.392.090.0484499.42
961406.3110737015515.8646083.48-15734.9-24665.460.992.30.0686140.63
1025737.810646013549.0738479.13-13889.16-21869.690.981.460.0312573.78
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SRF Performance, X=9, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Dec 2018 (6.77%)
2017202 May 2017 (1.9%), 10 Nov 2017 (7.65%)
2016105 May 2016 (-8.62%)
2013120 Nov 2013 (23.04%)
2009102 Jun 2009 (-12.33%)
2007117 Dec 2007 (3.52%)
2004113 Sep 2004 (-2.65%)
2003119 May 2003 (5.54%)
1999130 Apr 1999 (5.88%)

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
atrtrail-18.45100871116554.5521322.8552884.14-5413.3-9250.383.944.730.0949170.05
atrnil27.64101375117463.6418884.5830480.72-7704.35-13638.922.454.290.139215.88
atrtrail26.6480924.63116554.5517998.5230480.72-5413.3-9250.383.323.990.127356.78
atrtrail3873920.37116554.5516831.1545721.08-5413.3-9250.383.113.730.0896720.03
atrnil310.4591858.46115645.4528315.7845721.08-8286.74-13638.923.422.850.0868350.77

In the table above, row 2 shows the best exit criterion. Profit factor is 4.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 4.61%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:4.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 Dec 2018 (-2.96%), 10 Dec 2018 (6.22%)
2017202 May 2017 (-2.45%), 10 Nov 2017 (7.14%)
2016105 May 2016 (6.11%)
2013120 Nov 2013 (6.5%)
2009102 Jun 2009 (-6.82%)
2007117 Dec 2007 (12.79%)
2004113 Sep 2004 (12.1%)
2003119 May 2003 (-3.18%)
1999130 Apr 1999 (15.24%)



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