Study: Sell SRTRANSFIN when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell SRTRANSFIN when below 200 SMA and near 50 SMA and below 50 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
1-57273.1947232448.945479.2237500-7637.3-68656.720.720.69-0.02-1218.58
2-76479.547222546.814305.2218181.82-6847.77-20390.350.630.55-0.046-1627.22
3-10152.2147232448.947246.7745000-7367.83-26865.670.980.94-0.0042-216
433645.2847252253.197255.1150000-6715.12-17425.521.081.230.015715.86
5-43985.2547262155.326924.5447500-10667.78-38356.160.650.8-0.016-935.86
6-24567.6247262155.328390.8125000-11558.5-30140.690.730.9-0.0092-522.72
78946.7847232448.9410579.3747500-9765.78-33549.781.081.040.003190.36
8-51287.9847222546.8111137.2845000-11852.33-44047.620.940.83-0.015-1091.23
9-25567.7547252253.1910414.3425000-12996.65-37932.90.80.91-0.008-543.99
10-29647.1847232448.9411526.7841574.45-12281.8-32738.10.940.9-0.0087-630.79
Although, strategy looks good but profit factor on day 2 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
50trail-12.8723828.9870185225.719329.9335875-2771.34-3970.153.371.170.0093340.41
50trail31.8618402.573215228.777710.4911636.36-2759.96-3970.152.791.130.011252.09
50nil32.119276.1572205227.788665.9211636.36-2962.35-3970.152.931.130.011267.72
50trail21.613471.976265034.215615.557757.58-2850.65-3970.151.971.020.002445.68
50nil21.63-5815.8376255132.895834.217757.58-2973.94-3970.151.960.96-0.0039-76.52
atrtrail-15.59-65193.956203635.719077.4931418.01-6853.99-26333.261.320.74-0.024-1164.18
atrtrail24.62-65261.456203635.719074.1117527.15-6853.99-26333.261.320.74-0.026-1165.38
atrtrail35.02-71373.6356203635.718768.523184.13-6853.99-26333.261.280.71-0.028-1274.53
atrnil310.5-1496004293321.4324422.4329308.8-11193.99-31480.452.180.6-0.048-3561.9
atrnil28.27-17781745123326.6715907.1819539.2-11172.82-31480.451.420.52-0.063-3951.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0093, 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:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191007 Jan 2019 (-1.39%), 10 Jan 2019 (-1.13%), 22 Apr 2019 (-1.28%), 21 Jun 2019 (-1.89%), 26 Jun 2019 (0.99%), 05 Jul 2019 (0.92%), 09 Aug 2019 (-1.65%), 19 Aug 2019 (2.01%), 09 Sep 2019 (-1.8%), 04 Oct 2019 (-1.07%)
2018513 Aug 2018 (0.25%), 03 Sep 2018 (-1.17%), 31 Oct 2018 (-1.26%), 28 Nov 2018 (-1.12%), 05 Dec 2018 (0.91%)
2017303 Mar 2017 (-1.46%), 03 May 2017 (-0.16%), 28 Jun 2017 (-1.35%)
2016501 Jan 2016 (-1.65%), 09 Feb 2016 (2.0%), 15 Feb 2016 (-1.33%), 16 Feb 2016 (-1.74%), 23 Feb 2016 (-1.59%)
2015319 Jun 2015 (-1.75%), 30 Jul 2015 (-1.41%), 14 Sep 2015 (-1.26%)
2014609 Jan 2014 (-1.17%), 10 Jan 2014 (-1.92%), 13 Jan 2014 (-1.25%), 16 Jan 2014 (-1.57%), 29 Jan 2014 (-0.34%), 03 Feb 2014 (8.03%)
2013819 Sep 2013 (-1.47%), 14 Oct 2013 (0.82%), 28 Oct 2013 (-1.37%), 08 Nov 2013 (-1.62%), 14 Nov 2013 (-1.52%), 22 Nov 2013 (-1.97%), 26 Nov 2013 (-1.74%), 28 Nov 2013 (-1.13%)
2012405 Mar 2012 (-1.81%), 26 Apr 2012 (-1.67%), 27 Apr 2012 (13.26%), 26 Jun 2012 (-1.98%)
2011504 Jul 2011 (-1.01%), 11 Jul 2011 (-1.08%), 30 Aug 2011 (-1.57%), 12 Oct 2011 (-1.02%), 28 Oct 2011 (17.18%)
2009313 Feb 2009 (2.4%), 02 Apr 2009 (-1.0%), 13 Apr 2009 (-1.3%)
2008219 Sep 2008 (-1.47%), 23 Sep 2008 (1.03%)
2000120 Jun 2000 (17.94%)
1999701 Jun 1999 (-1.99%), 03 Jun 1999 (-1.03%), 07 Jun 1999 (-1.26%), 08 Jun 1999 (-1.0%), 27 Jul 1999 (2.06%), 30 Jul 1999 (3.59%), 03 Sep 1999 (-1.41%)
1998405 Jan 1998 (0.6%), 28 Jan 1998 (-1.02%), 28 Jul 1998 (-1.14%), 25 Aug 1998 (8.18%)
1997428 Jul 1997 (-1.5%), 25 Aug 1997 (-1.38%), 28 Aug 1997 (-1.91%), 15 Oct 1997 (1.81%)



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