Study: Buy SRTRANSFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-11829.6593633.334381.19691.63-4162.16-17144.331.050.53-0.042-1314.41
2609.6595455.567017.4218502.2-8619.36-18090.450.811.020.001467.74
39812.9994544.4410507.8729955.95-6443.7-15333.791.631.30.0191090.33
434913.6697277.786637.9321145.37-5775.92-9541.791.154.020.113879.3
514959.1497277.785237.8920264.32-10853.05-16680.970.481.690.0391662.13
634217.6297277.787243.7522026.43-8244.32-13995.190.883.080.0893801.96
710512.4996366.677314.7332599.12-11125.3-17085.430.661.310.0191168.05
8-21014.2494544.447800.2121145.37-10443.02-25304.620.750.6-0.04-2334.92
9-39987.9694544.443881.4210572.69-11102.72-19641.320.350.28-0.099-4443.11
10-59223.4291811.112376.762376.76-7700.02-21105.530.310.039-0.18-6580.38
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SRTRANSFIN Performance, X=4, Profit Factor:4.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Mar 2019 (4.17%), 04 Jun 2019 (-4.77%)
2018101 Aug 2018 (1.56%)
2017228 Mar 2017 (2.84%), 12 Apr 2017 (2.64%)
2006208 Sep 2006 (0.84%), 11 Oct 2006 (0.62%)
1998120 Apr 1998 (-1.01%)
1997123 Sep 1997 (10.57%)

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
200nil32.237412.52134930.778874.510506.61-3120.61-3899.52.841.260.022570.19
200trail32.08-492.411331023.089515.7710506.61-2903.97-3899.53.280.98-0.0015-37.88
200nil21.85-4420.15134930.775916.347004.41-3120.61-3899.51.90.84-0.017-340.01
200trail21.85-4420.15134930.775916.347004.41-3120.61-3899.51.90.84-0.017-340.01
200trail-13.15-6915.311321115.3812450.6723295.15-2892.42-3899.54.30.78-0.016-531.95
atrnil39.33-13517.5592722.2221558.1427026.61-8090.55-11476.72.660.76-0.025-1501.95
atrtrail26.4-11482.521046406489.4418017.74-6240.05-10904.231.040.69-0.031-1148.25
atrnil28.11-27889.6592722.2214372.0918017.74-8090.55-11476.71.780.51-0.068-3098.85
atrtrail36.6-22568.661046403717.96931.59-6240.05-10904.230.60.4-0.089-2256.87
atrtrail-16.6-22568.661046403717.96931.59-6240.05-10904.230.60.4-0.089-2256.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Mar 2019 (-1.43%), 19 Mar 2019 (-1.48%), 04 Jun 2019 (-1.3%)
2018101 Aug 2018 (4.85%)
2017228 Mar 2017 (-1.86%), 12 Apr 2017 (-1.62%)
2006308 Sep 2006 (4.17%), 14 Sep 2006 (-1.87%), 11 Oct 2006 (3.48%)
1998320 Apr 1998 (-1.95%), 21 Apr 1998 (-1.46%), 27 Apr 1998 (-1.08%)
1997123 Sep 1997 (5.25%)



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