Study: Buy SRTRANSFIN when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN when above 200 SMA" 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
110077338231560.537110.4629436.85-4184.54-15789.471.72.610.0712651.91
214746338231560.5310143.3425691.7-5722.26-19410.091.772.720.0823880.6
313009838251365.799705.0333083.37-8655.98-28449.11.122.160.0623423.64
416318638261268.4210543.5329730.92-9245.48-28210.531.142.470.0744294.37
517288438261268.4210715.3428648.61-8809.61-24411.131.222.640.0824549.57
611262838231560.5310746.4431691.19-8969.32-25267.671.21.840.0512963.9
712333838231560.5312015.1842198.05-10200.75-22740.251.181.810.0513245.73
811729038231560.5312187.4259429.87-10868.06-23684.211.121.720.0433086.57
913392538241463.1612817.5850373.21-12406.89-22368.421.031.770.0473524.35
1018436038231560.5316135.6248269-12450.64-28947.371.31.990.064851.57

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.72. 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 60.53%, which is good. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SRTRANSFIN Performance, X=2, Profit Factor:2.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018419 Jan 2018 (2.86%), 21 Feb 2018 (4.83%), 10 May 2018 (-3.68%), 05 Jun 2018 (5.75%)
2016301 Sep 2016 (3.03%), 29 Sep 2016 (8.51%), 27 Oct 2016 (-0.51%)
2015225 Mar 2015 (-3.26%), 16 Apr 2015 (-3.69%)
2014307 May 2014 (9.63%), 18 Jun 2014 (-1.85%), 07 Oct 2014 (1.59%)
2013414 Feb 2013 (2.51%), 14 Mar 2013 (4.81%), 09 Apr 2013 (3.08%), 13 Jun 2013 (4.2%)
2010405 Feb 2010 (-3.24%), 24 Feb 2010 (3.53%), 25 Nov 2010 (-0.42%), 09 Dec 2010 (-0.34%)
2008322 Jan 2008 (12.16%), 17 Mar 2008 (-0.52%), 09 May 2008 (1.52%)
2007121 Aug 2007 (6.03%)
2006120 Feb 2006 (3.25%)
2005119 Oct 2005 (-9.71%)
2004422 Jan 2004 (12.85%), 19 Feb 2004 (-6.21%), 11 May 2004 (-1.05%), 06 Oct 2004 (1.93%)
2003321 Jul 2003 (1.98%), 05 Sep 2003 (7.52%), 25 Sep 2003 (1.64%)
2002320 Mar 2002 (-0.55%), 26 Aug 2002 (0.0%), 28 Oct 2002 (2.27%)
2001206 Aug 2001 (-7.89%), 24 Dec 2001 (11.18%)

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-1214746338231560.5310143.3425691.7-5722.26-19410.091.772.720.0823880.6
atrnil26.916433652242846.1518882.9828148.6-10316.27-22911.211.831.570.0443160.31
atrtrail24.0213305557292850.8812921.130976.77-8630.59-18350.821.51.550.0392334.31
atrnil312.1911462347153231.9129249.6442222.9-10128.79-22911.212.891.350.0272438.79
atrtrail34.8181564.1157282949.1211801.8432766.98-8582.32-18350.821.381.330.0241430.95
atrtrail-15.5680136.957282949.1211750.8747934.76-8582.32-18350.821.371.320.0221405.91

In the table above, row 1 shows the best exit criterion. Profit factor is 2.72. 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 60.53%, which is good. Average return per trade is 1.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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