Study: Buy SRTRANSFIN when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" 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
116856.4428101835.717425.3235106.38-3188.71-9523.812.331.290.016602.02
246583.1828131546.437962.6838297.87-3795.44-9523.812.11.820.0391663.68
387010.2528161257.149404.3835106.38-5288.31-11267.611.782.370.073107.51
487963.782814145012967.437234.04-6684.27-13130.991.941.940.0563141.56
587954.2728161257.1410550.2831914.89-6737.52-19047.311.572.090.0593141.22
610297828171160.7110381.2232978.72-6682.1-16344.751.552.40.0723677.78
713180528181064.2910316.0724468.09-5388.48-12733.321.913.450.14707.3
816270128181064.2912633.5831233.33-6470.32-14689.171.953.510.115810.76
918184028181064.2913723.3230766.67-6518.01-15054.372.113.790.126494.27
102355542819967.8615500.8142073.17-6551.29-13772.462.3750.138412.63
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=10, Profit Factor:5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Mar 2018 (3.64%), 29 May 2018 (-1.38%)
2016105 Oct 2016 (-6.55%)
2015127 Jan 2015 (4.05%)
2014217 Jul 2014 (-2.78%), 03 Nov 2014 (13.64%)
2013125 Apr 2013 (7.44%)
2012201 Nov 2012 (-1.08%), 23 Nov 2012 (10.69%)
2009128 Jul 2009 (13.42%)
2007130 Apr 2007 (10.44%)
2006127 Feb 2006 (21.04%)
2005318 May 2005 (2.41%), 24 Nov 2005 (-0.18%), 12 Dec 2005 (4.31%)
2004216 Aug 2004 (6.09%), 09 Nov 2004 (8.28%)
2003315 Jan 2003 (-3.28%), 08 Sep 2003 (-6.89%), 20 Oct 2003 (10.12%)
2002429 Jan 2002 (1.08%), 14 Feb 2002 (5.32%), 25 Sep 2002 (-4.17%), 04 Nov 2002 (3.04%)
2001422 Feb 2001 (6.35%), 27 Mar 2001 (-3.17%), 19 Apr 2001 (3.2%), 09 May 2001 (12.7%)

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
atrnil37.733158630171356.6725623.4849470.68-8001-10917.833.24.190.1311052.87
atrnil25.6521005831181358.0617448.4132980.45-8001-10917.832.183.020.116776.07
atrtrail35.1819621933181554.5516308.8335507.77-6489.33-11534.172.513.020.0895946.03
atrtrail24.3315745733181554.5514155.423671.84-6489.33-11534.172.182.620.0884771.43
atrtrail-16.6113797033181554.5513072.7930464.44-6489.33-11534.172.012.420.0754180.92
50nil31.9384470.0743182541.869112.3611731.27-3182.1-3975.782.862.060.0681964.42
50trail31.8474747.2744172738.648944.3711731.27-2863.22-3975.783.121.970.0621698.8
50trail-13.1465810.6544152934.099837.7132677.97-2819.14-3975.783.491.80.0411495.7
50trail21.6145762.0846202643.486096.747820.85-2929.72-3991.342.081.60.046994.83
50nil21.6741927.7945202544.446105.757820.85-3207.49-3991.341.91.520.042931.73

In the table above, row 1 shows the best exit criterion. Profit factor is 4.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 56.67%, which is not acceptable. Avoid this strategy. Average return per trade is 5.53%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRTRANSFIN Performance, Profit Factor:4.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Mar 2018 (10.28%), 29 May 2018 (-3.1%)
2016105 Oct 2016 (-3.43%)
2015127 Jan 2015 (11.79%)
2014217 Jul 2014 (-4.55%), 03 Nov 2014 (10.92%)
2013125 Apr 2013 (10.85%)
2012301 Nov 2012 (-2.53%), 15 Nov 2012 (-2.34%), 23 Nov 2012 (8.01%)
2009128 Jul 2009 (12.6%)
2007130 Apr 2007 (9.29%)
2006127 Feb 2006 (15.44%)
2005318 May 2005 (15.02%), 24 Nov 2005 (-4.96%), 12 Dec 2005 (15.23%)
2004216 Aug 2004 (8.09%), 09 Nov 2004 (13.38%)
2003415 Jan 2003 (-3.57%), 08 Sep 2003 (-5.46%), 20 Oct 2003 (-3.14%), 27 Oct 2003 (9.01%)
2002529 Jan 2002 (17.52%), 25 Sep 2002 (-5.36%), 04 Oct 2002 (-5.44%), 04 Nov 2002 (-3.57%), 14 Nov 2002 (9.43%)
2001322 Feb 2001 (24.74%), 19 Apr 2001 (-4.55%), 09 May 2001 (16.2%)



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