Study: Sell STAR when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell STAR when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell STAR 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
1-8396.6435191654.292237.799044.4-3182.16-11947.120.70.84-0.015-239.9
2-41275.6335201557.143057.3613533.59-6828.19-16745.550.450.6-0.045-1179.3
3-19416.6835152042.865742.210448.81-5277.48-13794.911.090.82-0.021-554.76
4-16813.5735181751.437911.3924190.28-9365.8-23247.830.840.89-0.011-480.39
5-3512.235161945.7110279.5931379.52-8841.35-20865.091.160.98-0.002-100.35
6-2646.4335191654.298894.3227271.93-10727.4-28072.470.830.98-0.0014-75.61
75170.6735191654.299312.5931145.39-10735.53-29998.370.871.030.0027147.73
821559.9235181751.4310940.6732293.4-10316.01-28105.111.061.120.011616
918172435221362.8615277.15113258-11874.84-26734.131.292.180.0535192.12
101705803521146016680.68111332-12836.72-35397.661.31.950.0484873.72
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
STAR Performance, X=9, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jan 2019 (-10.5%), 01 Mar 2019 (-0.83%)
2017321 Apr 2017 (3.4%), 10 May 2017 (15.47%), 31 Jul 2017 (17.39%)
2016711 Jan 2016 (6.11%), 05 Jul 2016 (2.11%), 26 Jul 2016 (1.0%), 10 Aug 2016 (15.6%), 01 Nov 2016 (2.2%), 22 Nov 2016 (-2.86%), 21 Dec 2016 (1.7%)
2015108 Sep 2015 (-11.99%)
2014209 Jun 2014 (3.87%), 23 Jun 2014 (-10.87%)
2013513 Mar 2013 (7.77%), 10 Sep 2013 (0.8%), 24 Sep 2013 (3.44%), 29 Oct 2013 (-3.08%), 06 Dec 2013 (56.63%)
2011124 Jan 2011 (4.44%)
2008228 Aug 2008 (0.66%), 22 Sep 2008 (5.33%)
2007403 May 2007 (0.47%), 08 Jun 2007 (-3.32%), 27 Jun 2007 (-0.08%), 11 Jul 2007 (5.41%)
2006414 Aug 2006 (4.23%), 13 Sep 2006 (-5.26%), 03 Nov 2006 (-0.76%), 17 Nov 2006 (-13.37%)
2004316 Mar 2004 (0.67%), 30 Mar 2004 (-6.88%), 16 Aug 2004 (-7.4%)
2001110 Jan 2001 (9.37%)

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
200nil31.9-18359.5860134721.679213.1811620.75-2938.96-3953.463.130.87-0.014-305.99
200trail31.78-19398.5560134721.678528.9411620.75-2771.8-3953.463.080.85-0.016-323.31
200trail-12.43-29065.260114918.339509.7331415.27-2728-3953.463.490.78-0.019-484.42
atrnil38.92-61870.483782921.6224871.0137347.83-8994.43-13541.382.770.76-0.027-1672.18
atrtrail-14.98-57316.3845123326.6712844.7832270.02-6407.69-11631.7920.73-0.028-1273.7
200nil21.69-50832.1461144722.956189.297747.17-2925.15-3953.462.120.63-0.051-833.31
atrnil26.51-99661.483792824.3216851.8424898.55-8976-13541.381.880.6-0.056-2693.55
200trail21.62-53179.7161134821.316142.127747.17-2771.4-3953.462.220.6-0.055-871.8
atrtrail24.22-95086.7645123326.679697.2524898.55-6407.69-11631.791.510.55-0.061-2113.04
atrtrail34.42-98495.5645123326.679413.1822218.17-6407.69-11631.791.470.53-0.063-2188.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 21.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:0.867

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Jan 2019 (-1.79%), 01 Mar 2019 (-1.31%), 08 Mar 2019 (-1.4%)
2017321 Apr 2017 (-1.36%), 10 May 2017 (5.71%), 31 Jul 2017 (4.6%)
20161111 Jan 2016 (5.37%), 05 Jul 2016 (-1.25%), 13 Jul 2016 (3.07%), 26 Jul 2016 (-1.81%), 02 Aug 2016 (-1.72%), 12 Aug 2016 (5.58%), 01 Nov 2016 (-1.72%), 04 Nov 2016 (-1.1%), 22 Nov 2016 (-1.98%), 21 Dec 2016 (3.93%), 29 Dec 2016 (-1.65%)
2015108 Sep 2015 (-1.02%)
2014409 Jun 2014 (-1.12%), 10 Jun 2014 (-1.22%), 13 Jun 2014 (-1.36%), 23 Jun 2014 (-1.97%)
2013913 Mar 2013 (-1.13%), 14 Mar 2013 (5.69%), 10 Sep 2013 (-1.93%), 11 Sep 2013 (4.25%), 23 Sep 2013 (4.96%), 29 Oct 2013 (-1.71%), 30 Oct 2013 (-1.32%), 06 Dec 2013 (-1.47%), 09 Dec 2013 (-1.06%)
2011224 Jan 2011 (-1.74%), 28 Jan 2011 (-1.2%)
2008428 Aug 2008 (-1.82%), 05 Sep 2008 (-1.15%), 08 Sep 2008 (-1.56%), 22 Sep 2008 (3.89%)
20071103 May 2007 (-1.1%), 04 May 2007 (-1.61%), 09 May 2007 (-1.05%), 15 May 2007 (-1.7%), 08 Jun 2007 (-1.01%), 11 Jun 2007 (-1.94%), 12 Jun 2007 (-1.45%), 27 Jun 2007 (3.14%), 29 Jun 2007 (-1.94%), 05 Jul 2007 (-1.42%), 10 Jul 2007 (3.88%)
2006614 Aug 2006 (-1.42%), 13 Sep 2006 (-1.83%), 03 Nov 2006 (-1.83%), 14 Nov 2006 (-1.5%), 15 Nov 2006 (-1.25%), 17 Nov 2006 (-1.79%)
2004516 Mar 2004 (-1.07%), 18 Mar 2004 (-1.61%), 19 Mar 2004 (5.81%), 30 Mar 2004 (-1.43%), 16 Aug 2004 (-1.28%)
2001110 Jan 2001 (-1.0%)



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