Study: Buy SRF when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy SRF when below 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
1-79507.1101455644.556008.2929687.5-6247.86-38384.650.960.77-0.018-787.2
2-92405.99101455644.556219.0940625-6647.59-29912.020.940.75-0.02-914.91
3-229035101416040.597039.631250-8627.64-34155.970.820.56-0.043-2267.67
4-242490101425941.588432.8739687.5-10113.06-46067.790.830.59-0.039-2400.89
5-350634101356634.659806.2557187.5-10512.93-51840.310.930.49-0.048-3471.63
6-267132101356634.6511078.7154748.6-9922.53-43303.721.120.59-0.037-2644.87
7-280740101396238.6110811.551562.5-11328.86-47910.50.950.6-0.037-2779.61
8-213636101386337.6213105.7953000-11296.13-46396.841.160.7-0.026-2115.21
9-198913101416040.5913130.7366000-12287.89-40868.711.070.73-0.024-1969.44
10-146808101485347.5211249.6860000-12958.35-46660.090.870.79-0.018-1453.54
Although, strategy looks good but profit factor on day 5 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
atrnil310.081449971643912523.7838444.65101825-10834.76-28797.423.551.110.0076884.13
atrnil26.95-88671.951765212429.5524476.267883.23-10979.31-28797.422.230.93-0.0057-503.82
atrtrail34.91-1114882076913833.3315118.57101825-8367.17-28715.31.810.9-0.0072-538.59
atrtrail24.34-1529592077013733.8214306.2367883.23-8426.24-28715.31.70.87-0.011-738.93
atrtrail-15.23-1997292076813932.8514117.3989254.47-8343.25-28715.31.690.83-0.013-964.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 23.78%, 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 0.0076, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018323 May 2018 (-5.16%), 22 Jun 2018 (-3.96%), 16 Jul 2018 (11.68%)
2017415 Feb 2017 (11.16%), 23 May 2017 (-3.47%), 27 Jun 2017 (-2.73%), 09 Aug 2017 (9.2%)
2016618 Jan 2016 (-4.21%), 20 Jan 2016 (-4.35%), 16 Feb 2016 (-5.11%), 25 Feb 2016 (14.25%), 19 May 2016 (-4.26%), 20 May 2016 (13.31%)
20131124 Jan 2013 (-2.66%), 29 Jan 2013 (-2.75%), 26 Feb 2013 (-3.06%), 15 Mar 2013 (-3.24%), 20 Mar 2013 (-3.69%), 31 May 2013 (-3.46%), 20 Jun 2013 (-3.57%), 21 Jun 2013 (-4.08%), 27 Jun 2013 (-3.91%), 31 Jul 2013 (-3.59%), 02 Aug 2013 (11.27%)
20121410 Feb 2012 (9.01%), 16 Mar 2012 (-3.11%), 23 Mar 2012 (-3.1%), 11 Apr 2012 (-2.82%), 16 Apr 2012 (-2.84%), 03 May 2012 (-3.23%), 07 May 2012 (-3.45%), 16 May 2012 (-3.23%), 14 Jun 2012 (-2.67%), 26 Jul 2012 (15.99%), 16 Nov 2012 (-2.84%), 21 Nov 2012 (-2.88%), 26 Nov 2012 (-2.86%), 21 Dec 2012 (-2.78%)
20111209 Feb 2011 (19.48%), 11 May 2011 (-3.6%), 16 May 2011 (-3.52%), 16 Jun 2011 (-2.72%), 20 Jun 2011 (-2.94%), 22 Jun 2011 (9.37%), 05 Oct 2011 (-3.15%), 22 Nov 2011 (-2.89%), 09 Dec 2011 (-4.36%), 14 Dec 2011 (-4.31%), 15 Dec 2011 (-4.48%), 19 Dec 2011 (15.02%)
2009229 Jan 2009 (-5.27%), 03 Feb 2009 (16.47%)
20081121 Jan 2008 (-11.69%), 22 Jan 2008 (48.17%), 12 Sep 2008 (-3.83%), 15 Sep 2008 (-4.29%), 18 Sep 2008 (-5.29%), 29 Sep 2008 (-5.56%), 06 Oct 2008 (-6.45%), 08 Oct 2008 (-7.47%), 23 Oct 2008 (-8.38%), 24 Oct 2008 (-9.59%), 27 Oct 2008 (-10.73%)
20071209 Feb 2007 (-5.0%), 12 Feb 2007 (-6.18%), 28 Feb 2007 (-6.74%), 02 Mar 2007 (-7.56%), 05 Mar 2007 (-8.99%), 06 Mar 2007 (31.49%), 24 Jul 2007 (-5.22%), 25 Jul 2007 (-5.58%), 01 Aug 2007 (-5.44%), 17 Aug 2007 (15.65%), 08 Oct 2007 (-4.68%), 17 Oct 2007 (-5.08%)
20061215 May 2006 (-7.27%), 18 May 2006 (-8.55%), 19 May 2006 (-10.9%), 22 May 2006 (-14.06%), 07 Jun 2006 (-14.4%), 13 Jun 2006 (50.91%), 17 Jul 2006 (-7.09%), 19 Jul 2006 (23.22%), 17 Nov 2006 (-4.77%), 22 Nov 2006 (-5.04%), 11 Dec 2006 (-4.9%), 12 Dec 2006 (18.97%)
2004311 Mar 2004 (-7.37%), 19 Mar 2004 (22.34%), 17 May 2004 (34.72%)
2003414 Feb 2003 (7.96%), 07 Mar 2003 (-2.87%), 10 Mar 2003 (-3.06%), 31 Mar 2003 (10.97%)
2001918 Jan 2001 (-4.21%), 22 Jan 2001 (-4.58%), 05 Feb 2001 (12.44%), 12 Mar 2001 (-7.84%), 13 Mar 2001 (-8.74%), 25 Apr 2001 (18.83%), 07 Jun 2001 (17.86%), 06 Aug 2001 (14.48%), 19 Dec 2001 (-4.72%)
20001507 Mar 2000 (-8.15%), 09 Mar 2000 (-8.96%), 14 Mar 2000 (-9.54%), 18 May 2000 (-5.55%), 19 May 2000 (18.01%), 01 Aug 2000 (-5.35%), 04 Aug 2000 (-5.24%), 07 Aug 2000 (-5.62%), 10 Aug 2000 (-6.56%), 19 Sep 2000 (-5.69%), 03 Oct 2000 (-6.2%), 09 Oct 2000 (-6.43%), 17 Oct 2000 (-6.53%), 22 Dec 2000 (-4.27%), 26 Dec 2000 (-4.82%)
1999211 Feb 1999 (-12.87%), 16 Feb 1999 (48.11%)
19981225 Mar 1998 (-7.52%), 31 Mar 1998 (29.24%), 13 May 1998 (-7.32%), 25 May 1998 (-6.34%), 08 Jun 1998 (-6.71%), 19 Jun 1998 (-6.26%), 23 Jun 1998 (-7.21%), 20 Jul 1998 (-8.69%), 03 Sep 1998 (-5.24%), 16 Sep 1998 (-6.5%), 26 Oct 1998 (20.53%), 16 Dec 1998 (26.72%)
19971803 Feb 1997 (-5.02%), 21 Feb 1997 (10.59%), 14 Mar 1997 (-4.71%), 21 Mar 1997 (-4.5%), 07 Apr 1997 (-4.27%), 17 Apr 1997 (-4.34%), 06 May 1997 (-4.2%), 12 May 1997 (-4.43%), 27 May 1997 (-4.43%), 03 Jun 1997 (12.17%), 27 Aug 1997 (-3.85%), 01 Sep 1997 (-3.67%), 05 Sep 1997 (-3.65%), 09 Sep 1997 (-4.23%), 17 Sep 1997 (-5.06%), 22 Oct 1997 (-4.68%), 27 Oct 1997 (-5.47%), 07 Nov 1997 (15.14%)
19961426 Mar 1996 (13.8%), 10 May 1996 (-4.86%), 21 May 1996 (14.02%), 25 Jun 1996 (-6.21%), 01 Jul 1996 (-6.27%), 04 Jul 1996 (-5.95%), 15 Jul 1996 (18.55%), 06 Aug 1996 (-5.84%), 07 Aug 1996 (-6.56%), 08 Aug 1996 (-7.96%), 14 Aug 1996 (23.78%), 07 Oct 1996 (-4.71%), 05 Nov 1996 (-4.32%), 26 Nov 1996 (14.79%)



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