Study: Buy SRF when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy SRF when 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
1-22272.0537181948.655755.2716183.57-6624.57-27597.780.870.82-0.014-601.95
267945.0137201754.0510120.8326444.33-7910.09-286051.281.510.0331836.35
386513.0936201655.5610657.0627105.64-7914.26-30413.451.351.680.0392403.14
412053636201655.5612989.1226397.82-8702.93-30787.311.491.870.0493348.21
526971.5836191752.7812122.3125609.6-11961.9-51233.841.011.130.0094749.21
6-43036.236221461.111138334757.52-20961.58-72284.710.540.85-0.011-1195.45
7-83641.6136211558.3310929.734435.69-20877.68-80977.620.520.73-0.021-2323.38
8-79408.2536201655.5611377.1337156.7-19184.43-63663.130.590.74-0.021-2205.78
9-75873.536211558.3312775.7731999.5-22944.32-75441.70.560.78-0.018-2107.6
10-1878.9136191752.7817587.9656636.66-19767.66-64782.10.890.99-0.00042-52.19
Although, strategy looks good but profit factor on day 1 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
atrnil38.6928675152193336.5433410.5158879.83-10546.93-18495.563.171.820.055514.44
atrtrail-15.6218957156263046.4317763.6362955.19-9076.12-17944.441.961.70.0373385.19
atrtrail34.6616469156263046.4316806.751479.9-9076.12-17944.441.851.60.0352940.9
atrtrail23.813294556263046.4315585.7139253.22-9076.12-17944.441.721.490.0322374.02
atrnil25.2512522353213239.6221924.9539253.22-10475.03-18495.562.091.370.0292362.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 36.54%, which is not acceptable. Avoid this strategy. Average return per trade is 2.76%, which is very good. Sharpe Ratio is 0.05, 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:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019409 Jul 2019 (-2.94%), 12 Jul 2019 (-2.86%), 15 Jul 2019 (-3.08%), 02 Aug 2019 (10.6%)
2018525 Jan 2018 (-3.13%), 31 Jan 2018 (-3.18%), 06 Feb 2018 (12.02%), 18 May 2018 (-4.86%), 24 Dec 2018 (11.4%)
2017113 Feb 2017 (-3.39%)
2016815 Jan 2016 (-3.68%), 13 May 2016 (-4.41%), 21 Sep 2016 (8.01%), 02 Nov 2016 (-3.22%), 04 Nov 2016 (-3.5%), 15 Nov 2016 (-4.22%), 16 Nov 2016 (-4.91%), 17 Nov 2016 (-5.29%)
2015426 Mar 2015 (9.91%), 07 May 2015 (17.95%), 24 Aug 2015 (19.17%), 13 Nov 2015 (-4.17%)
2014417 Jan 2014 (-3.52%), 27 Jan 2014 (10.11%), 14 Oct 2014 (-4.08%), 16 Oct 2014 (13.74%)
2011217 Jan 2011 (15.6%), 08 Feb 2011 (-5.5%)
2010326 Nov 2010 (-6.42%), 08 Dec 2010 (-7.54%), 09 Dec 2010 (25.49%)
2009318 Jun 2009 (-9.25%), 08 Jul 2009 (25.22%), 03 Nov 2009 (20.76%)
2008111 Jan 2008 (-7.21%)
2006225 Jan 2006 (13.4%), 12 May 2006 (-5.57%)
2005612 Jan 2005 (19.45%), 17 Oct 2005 (-5.49%), 18 Oct 2005 (-5.95%), 19 Oct 2005 (-6.44%), 20 Oct 2005 (21.77%), 15 Dec 2005 (12.45%)
2002421 May 2002 (20.93%), 22 Jul 2002 (-7.71%), 29 Jul 2002 (-8.97%), 31 Jul 2002 (29.44%)
2001106 Dec 2001 (-5.8%)
2000314 Feb 2000 (-5.86%), 15 Feb 2000 (-6.29%), 29 Feb 2000 (-6.71%)
1999129 Oct 1999 (-8.87%)



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