Study: Buy SRTRANSFIN when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)" 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
1-866.57862753429.176226.44-10720.79-192000.320.96-0.003-108.32
213256.3887187.57290.5914295.69-37777.78-37777.780.191.350.0231657.05
3-20357.6985362.57666.3314815.47-19563.12-44444.440.390.65-0.031-2544.71
455240.258627511622.2333333.33-7246.56-144001.64.810.116905.03
560672.6285362.512789.9531111.11-1092.38-2452.411.7119.510.167584.08
636400.685362.511132.3822222.22-6420.43-160001.732.890.0864550.08
71762.1985362.58001.4215420.19-12748.3-336000.631.050.0034220.27
8-34983.2185362.511810.5720008.89-31345.36-55555.560.380.63-0.037-4372.9
9-6188.778445012577.2919137.39-14124.48-272000.890.89-0.01-773.6
1016688.348445013204.1921378.39-9032.11-256001.461.460.0332086.04
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
SRTRANSFIN Performance, X=5, Profit Factor:19.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016112 Apr 2016 (-1.23%)
2014127 Mar 2014 (2.19%)
2012114 Aug 2012 (6.79%)
2011129 Mar 2011 (4.23%)
2009108 Jun 2009 (-0.25%)
2006113 Nov 2006 (-0.16%)
2000125 Sep 2000 (3.2%)
1999127 Oct 1999 (15.56%)

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
atrnil312.222240994544.4424974.7836676.31-15498.02-29127.371.611.290.0242489.89
atrnil210-10890.794544.4416649.8524450.87-15498.02-29127.371.070.86-0.014-1210.08
atrtrail25.78-31229.7193633.339888.515889.52-10149.2-22588.090.970.49-0.06-3469.97
atrtrail-17.22-34517.0793633.338792.7119704.1-10149.2-22588.090.870.43-0.066-3835.23
atrtrail36.56-34542.0893633.338784.3819679.1-10149.2-22588.090.870.43-0.067-3838.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRTRANSFIN Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016112 Apr 2016 (-3.13%)
2014127 Mar 2014 (11.92%)
2012114 Aug 2012 (9.84%)
2011229 Mar 2011 (-3.27%), 05 Apr 2011 (-3.48%)
2009108 Jun 2009 (18.34%)
2006113 Nov 2006 (9.85%)
2000125 Sep 2000 (-14.56%)
1999127 Oct 1999 (-14.3%)



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