Study: Sell SRTRANSFIN when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell SRTRANSFIN when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SRTRANSFIN 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
124190.747212644.686837.558823.53-4592.18-22222.221.491.20.0099514.7
2-61823.6347202742.556112.5158823.53-6817.55-47826.090.90.66-0.022-1315.4
3-16282247192840.439034.1258823.53-11945.38-1200000.760.51-0.033-3464.3
4-24007847163134.0414139.1875000-15042.08-2000000.940.49-0.031-5108.04
5-27045247173036.1713063.8558823.53-16417.91-2000000.80.45-0.036-5754.3
6-24177347163134.0413197.7758823.53-14610.87-2100000.90.47-0.032-5144.1
7-14542447192840.4313761.0370588.24-14531.57-1925000.950.64-0.02-3094.14
8-54429.9647242351.0613758.5870588.24-16723.3-1525000.820.86-0.0086-1158.08
9-23006047222546.8114260.0971764.71-21751.29-1675000.660.58-0.031-4894.9
10-56882.0447262155.3215126.0370588.24-21436.13-1250000.710.87-0.009-1210.26

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.2. 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 44.68%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0099, which is low, don't trade solely on the basis of this study.

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
nilnil-1124190.747212644.686837.558823.53-4592.18-22222.221.491.20.0099514.7
200trail-12.5535754.2480146617.515368.7557411.76-2718.31-3950.625.651.20.0097446.93
atrtrail-15.78-38675.4660194131.6717570.8673424.13-9085.9-37410.011.930.9-0.0076-644.59
200trail31.72-42565.6482166619.518613.0711423.08-2732.95-3950.623.150.76-0.024-519.09
atrtrail34.95-90082.1360194131.6714865.2550470.87-9085.9-37410.011.640.76-0.021-1501.37
200nil31.8-52549.7280156518.758990.2911423.08-2883.14-3984.43.120.72-0.03-656.87
atrtrail24.4-12336560194131.6713113.5433647.25-9085.9-37410.011.440.67-0.032-2056.08
atrnil37.15-18267254124222.2226237.2950470.87-11845.7-38437.932.210.63-0.04-3382.81
200trail21.51-73633.8784186621.435957.717615.38-2740.49-3950.622.170.59-0.051-876.59
200nil21.55-76873.6482186421.955957.717615.38-2876.76-3984.42.070.58-0.054-937.48
atrnil25.73-2600525614422516938.1433647.25-11837.75-38437.931.430.48-0.067-4643.78

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 44.68%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0099, 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.
SRTRANSFIN Performance, X=1, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 Mar 2019 (-3.2%), 25 Mar 2019 (-0.37%), 10 Apr 2019 (-1.07%), 31 May 2019 (-0.45%), 26 Sep 2019 (0.66%), 18 Oct 2019 (-1.94%)
2018131 Jul 2018 (-0.9%)
2017715 Mar 2017 (1.7%), 29 Mar 2017 (0.89%), 13 Apr 2017 (-2.63%), 31 May 2017 (-0.71%), 21 Jun 2017 (0.72%), 26 Jul 2017 (0.1%), 25 Sep 2017 (-2.5%)
2016102 Nov 2016 (1.53%)
2015217 Apr 2015 (1.33%), 07 Oct 2015 (2.52%)
2014106 Mar 2014 (-0.34%)
2013316 Apr 2013 (-1.21%), 01 Jul 2013 (3.56%), 23 Dec 2013 (-3.1%)
2012421 Feb 2012 (1.05%), 14 Mar 2012 (0.65%), 26 Apr 2012 (-0.4%), 17 Jul 2012 (1.18%)
2011228 Jan 2011 (1.82%), 15 Mar 2011 (0.77%)
2008310 Jun 2008 (1.8%), 21 Aug 2008 (-1.07%), 08 Sep 2008 (-0.25%)
2007202 Apr 2007 (-0.82%), 17 Apr 2007 (-0.09%)
2006313 Sep 2006 (-1.02%), 27 Sep 2006 (1.29%), 16 Oct 2006 (-0.75%)
2004120 May 2004 (0.23%)
2003131 Jan 2003 (-0.87%)
2001231 Aug 2001 (-7.69%), 19 Sep 2001 (7.69%)
2000301 Feb 2000 (-11.11%), 21 Feb 2000 (-3.7%), 27 Nov 2000 (11.96%)
1999226 Aug 1999 (-9.38%), 14 Dec 1999 (-2.5%)
1998204 Aug 1998 (-1.62%), 18 Nov 1998 (29.41%)
1997123 Jul 1997 (0.96%)



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