Study: Sell SRF when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell SRF when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
14005.16128466.673580.615584.72-6159.93-12248.060.581.160.013333.76
239991.24128466.677416.6613608.25-4835.51-11937.981.533.070.0923332.6
345041.91127558.339206.4920618.56-3880.71-10310.082.373.320.0963753.49
467215.391210283.338874.0733138.56-10762.63-18139.530.824.120.15601.28
571732.461210283.339423.7933514.19-11252.7-15503.880.844.190.115977.71
693371.26128466.6713904.0532679.47-4465.28-6117.863.116.230.137780.94
789014.48128466.671303030968.28-3806.38-10045.663.426.850.147417.87
887339.061210283.3310664.3928798-9652.42-10958.91.15.520.147278.25
984221.1412937512225.5227712.85-8602.86-14916.291.424.260.137018.43
1066793.14128466.6714088.6527963.27-11479.01-30136.991.232.450.0755566.1
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=7, Profit Factor:6.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013130 Sep 2013 (-0.94%)
2012316 Feb 2012 (7.66%), 05 Jul 2012 (-0.85%), 20 Jul 2012 (15.48%)
2009113 Apr 2009 (11.79%)
2008117 Apr 2008 (1.32%)
2007104 Jul 2007 (4.26%)
2006110 Aug 2006 (-0.8%)
2001119 Jun 2001 (4.18%)
2000105 Jul 2000 (1.45%)
1997201 Jan 1997 (-5.02%), 10 Jul 1997 (5.98%)

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-14.9-3574.672161528.5714100.3439741.34-5878.45-11363.12.40.96-0.003-170.22
atrtrail34.05-5994.762161528.571369732647.9-5878.45-11363.12.330.93-0.0052-285.46
atrtrail23.29-7210.52161528.5713494.3721765.27-5878.45-11363.12.30.92-0.007-343.36
atrnil24-14097.41951426.3219220.7321765.27-7871.5-11363.12.440.87-0.012-741.97
atrnil36.21-39446.631931615.7929701.5632647.9-8034.46-11363.13.70.69-0.03-2076.14

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.085%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:0.959

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2013230 Sep 2013 (-3.66%), 01 Oct 2013 (-0.03%)
2012316 Feb 2012 (-2.63%), 05 Jul 2012 (1.46%), 20 Jul 2012 (-3.28%)
2009113 Apr 2009 (-5.5%)
2008317 Apr 2008 (-5.68%), 21 Apr 2008 (-4.34%), 25 Apr 2008 (10.82%)
2007104 Jul 2007 (19.87%)
2006310 Aug 2006 (-2.59%), 16 Aug 2006 (-2.72%), 21 Aug 2006 (-1.19%)
2001119 Jun 2001 (2.88%)
2000105 Jul 2000 (1.16%)
1997601 Jan 1997 (-3.08%), 02 Jan 1997 (-3.38%), 06 Jan 1997 (-0.5%), 08 Jan 1997 (-2.23%), 14 Jan 1997 (-3.29%), 10 Jul 1997 (6.11%)



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