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

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In this study, we evaluate the performance of strategy "Sell SRTRANSFIN when near 200 SMA and below 200 SMA and RSI is below 50" 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
16634.6123121152.175705.3423913.04-5620.86-22222.221.021.110.007288.46
2-97155.212381534.784597.697379.13-8929.11-47826.090.510.27-0.075-4224.14
3-2144372371630.436699.8711543.68-16333.51-1200000.410.18-0.073-9323.35
4-3485842371630.435814.7914622.56-24330.46-2000000.240.1-0.076-15155.82
5-3744822361726.099715.0816853.27-25457.2-2000000.380.13-0.08-16281.82
6-3269752391439.137959.0920381.68-28471.9-2100000.280.18-0.068-14216.3
7-2311922381534.7813432.9234037.35-22577-1925000.590.32-0.051-10051.81
8-17298523101343.4815248.6942438.5-25036.26-1525000.610.47-0.045-7521.07
9-33440223101343.4812931.9239653.79-35670.86-1675000.360.28-0.073-14539.21
10-20208923101343.4816774.3140999.11-28448.63-1250000.590.45-0.055-8786.48

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.11. 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 52.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, 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-116634.6123121152.175705.3423913.04-5620.86-22222.221.021.110.007288.46
200trail-12.24-27750.464163514.6311617.9826516.21-2784.52-3950.624.170.72-0.023-676.84
200trail31.56-44899.524163514.638759.8111423.08-2784.52-3950.623.150.54-0.055-1095.11
200nil31.68-52544.844053512.59920.811423.08-2918.54-3950.623.40.49-0.065-1313.62
atrtrail-15.59-1353832982127.5915795.9239947.64-12464.28-37410.011.270.48-0.057-4668.36
atrtrail34.86-1442682982127.5914685.225993.61-12464.28-37410.011.180.45-0.065-4974.77
200trail21.39-57325.684163514.636688.787615.38-2784.52-3950.622.40.41-0.088-1398.19
200nil21.43-58484.4840634156688.787615.38-2900.5-3950.622.310.41-0.09-1462.11
atrnil36.43-1944162862221.4321701.327269.89-14755.64-38437.931.470.4-0.084-6943.44
atrtrail24.38-1791742982127.5910321.9517329.07-12464.28-37410.010.830.32-0.091-6178.42
atrnil25.71-2378192862221.4314467.5318179.93-14755.64-38437.930.980.27-0.12-8493.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 52.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.007, 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:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Apr 2019 (-0.02%), 24 Apr 2019 (2.2%)
2017326 Apr 2017 (1.25%), 26 Jul 2017 (0.1%), 25 Sep 2017 (-2.5%)
2016102 Nov 2016 (1.53%)
2015117 Apr 2015 (1.33%)
2013216 Apr 2013 (-1.21%), 01 Jul 2013 (3.56%)
2012126 Apr 2012 (-0.4%)
2011228 Jan 2011 (1.82%), 15 Mar 2011 (0.77%)
2008110 Jun 2008 (1.8%)
2007202 Apr 2007 (-0.82%), 17 Apr 2007 (-0.09%)
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%)
1999114 Dec 1999 (-2.5%)



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