Study: Buy SRF when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SRF when above 200 SMA and RSI is oversold" 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
112967.1464266.678294.5914597.86-10105.61-12111.80.821.640.0462161.19
231762.566335017953.7122007.66-7366.19-12939.42.442.440.0815293.76
328619.076335020093.6122529.06-10553.92-11772.041.91.90.0634769.85
445986.36335022390.0625287.36-7061.3-11437.573.173.170.17664.38
537993.6264266.6712776.1820544.98-6555.55-7909.231.953.90.126332.27
65912.356335012283.2119614.53-10312.43-15411.491.191.190.016985.39
7-14313.7664266.676318.7815441.96-19794.43-21149.430.320.64-0.037-2385.63
821231.4164266.679949.7418770.77-9283.78-10881.231.072.140.0673538.57
921217.4164266.677536.0318256.42-4463.35-8074.531.693.380.0913536.23
1027856.7664266.678186.7817146.82-2445.18-4425.473.356.70.144642.79
Although, strategy looks good but profit factor on day 7 is less than minimum accepted value so avoid this, see below for further analysis.
SRF Performance, X=10, Profit Factor:6.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Feb 2018 (8.57%), 21 May 2018 (0.63%)
2016116 Nov 2016 (3.29%)
2015124 Aug 2015 (-0.23%)
2010130 Nov 2010 (3.88%)
2005119 Oct 2005 (-2.21%)

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
atrnil24.110868010646025351.9633986.78-10858.02-12886.432.333.50.1210867.97
atrnil31413485510555038151.4450980.18-11180.44-12886.433.413.410.1113485.5
atrtrail22.91108049116554.5525553.6533986.78-9054.55-12886.432.823.390.119822.65
atrtrail35.6498481.18116554.5523958.9950980.18-9054.55-12886.432.653.180.0888952.83
atrtrail-17.2779737.42116554.5520835.0239482.66-9054.55-12886.432.32.760.0837248.86

In the table above, row 1 shows the best exit criterion. Profit factor is 3.5. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 5.43%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:3.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Feb 2018 (8.01%), 21 May 2018 (-5.07%)
2016316 Nov 2016 (-4.91%), 17 Nov 2016 (-5.29%), 18 Nov 2016 (11.29%)
2015124 Aug 2015 (12.78%)
2010230 Nov 2010 (12.47%), 09 Dec 2010 (16.99%)
2005219 Oct 2005 (-6.44%), 20 Oct 2005 (14.51%)



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