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

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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 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
1-7837.221810855.563011.38523.32-4743.78-8756.570.630.79-0.02-435.4
2-5017.291871138.896930.6414400-4866.52-15746.111.420.91-0.0083-278.74
3-18802.951899507631.7512800-9720.97-25267.670.790.79-0.022-1044.61
4-11404.751899508349.3415121.78-9616.53-26970.230.870.87-0.013-633.6
5-43577.141871138.8910190.5421653.7-10446.45-28371.280.980.62-0.041-2420.95
641399.261810855.5611951.3328141.9-9764.26-29422.071.221.530.0372299.96
749994.0518995014222.9939461.88-8668.09-26619.961.641.640.042777.45
871234.21810855.5614971.8332282.74-9810.51-24868.651.531.910.0573957.46
910161318995019749.9439641.26-8459.58-25569.182.332.330.0755645.18
101465951811761.1119826.3933765.8-10213.65-29772.331.943.050.18144.15
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
SRTRANSFIN Performance, X=10, Profit Factor:3.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 May 2018 (-1.38%)
2017126 Sep 2017 (9.24%)
2013125 Apr 2013 (7.44%)
2010206 Feb 2010 (-3.0%), 21 May 2010 (7.75%)
2009224 Jul 2009 (16.88%), 04 Nov 2009 (16.35%)
2008104 Jun 2008 (-3.23%)
2007230 Apr 2007 (10.44%), 17 Aug 2007 (1.37%)
2005126 May 2005 (14.35%)
2004227 Jan 2004 (-14.89%), 12 May 2004 (-5.78%)
2003315 Jan 2003 (-3.28%), 26 May 2003 (9.31%), 29 Aug 2003 (-4.19%)
2001219 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
50trail-1361208.622491537.511961.9829981.85-3096.61-3928.023.862.320.0542550.36
atrnil37.161319541991047.3726001.7832396.08-10206.2-19929.492.552.290.086944.95
atrtrail34.5596477.3201195516780.9232396.08-9790.31-19929.491.712.090.0654823.86
50nil31.5836234.3424101441.678023.5511296.55-3142.94-3928.022.551.820.0571509.76
50trail31.5826351.5824101441.677035.289875.75-3142.94-3928.022.241.60.0451097.98
atrtrail2450730.67201195512622.1321597.39-9790.31-19929.491.291.580.0442536.53
atrtrail-16.8549238.81201195512486.5128006.44-9790.31-19929.491.281.560.042461.94
atrnil24.7953948.691991047.3717334.5221597.39-10206.2-19929.491.71.530.0432839.4
50nil21.3217287.82251114445571.737798.67-3142.94-3928.021.771.390.033691.51
50trail21.3211170.58251114445015.627798.67-3142.94-3928.021.61.250.023446.82

In the table above, row 1 shows the best exit criterion. Profit factor is 2.32. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, 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:2.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 May 2018 (-1.9%)
2017126 Sep 2017 (3.88%)
2013125 Apr 2013 (3.77%)
2010306 Feb 2010 (-1.96%), 21 May 2010 (-1.41%), 24 May 2010 (-1.64%)
2009324 Jul 2009 (0.2%), 04 Aug 2009 (11.55%), 04 Nov 2009 (14.39%)
2008104 Jun 2008 (-1.76%)
2007230 Apr 2007 (2.19%), 17 Aug 2007 (-1.68%)
2005226 May 2005 (-1.67%), 02 Jun 2005 (14.99%)
2004327 Jan 2004 (-1.56%), 12 May 2004 (-1.23%), 13 May 2004 (-1.66%)
2003515 Jan 2003 (-1.06%), 17 Jan 2003 (-1.59%), 26 May 2003 (0.71%), 29 Aug 2003 (-1.31%), 08 Sep 2003 (-1.55%)
2001219 Apr 2001 (-1.22%), 09 May 2001 (2.14%)



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