Study: Buy STAR when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50 and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy STAR when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50 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 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. 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
110160.7541803252.955437.48-2851.11-2851.111.144.560.172032.14
2218.45523406639.717369.58-4353.66-8711.721.531.020.001843.69
34623.61532606983.868749.65-8163.99-14836.330.861.280.026924.72
4-9624.72532604776.397176.37-11976.95-22492.080.40.6-0.043-1924.94
5-9537.21532604980.6213221.09-12239.54-21436.110.410.61-0.041-1907.44
6-9800.17523408578.3616312.45-8985.63-12882.790.950.64-0.046-1960.03
7-1526.695234010049.9319376.21-7208.85-9143.691.390.93-0.0069-305.34
8-7670.965142018603.3718603.37-6568.58-10411.692.830.71-0.036-1534.19
9-862.175142022329.5622329.56-5797.93-10471.363.850.96-0.0035-172.43
10-818.02532606765.0715926.03-10556.61-11873.510.640.96-0.0039-163.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.56. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 80%, which is excellent. Average return per trade is 1.02%, which is not very high, but percentage of profitable trades compensates for it.
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.
STAR Performance, X=1, Profit Factor:4.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014111 Jun 2014 (2.26%)
2011118 Oct 2011 (2.72%)
2008111 Sep 2008 (-1.43%)
2007218 Jun 2007 (0.75%), 06 Jul 2007 (0.78%)

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
200trail21.2924974.8475271.435814.177631.67-2048.01-2059.072.847.10.233567.83
200nil21.4324203.5175271.435814.177631.67-2433.68-2830.42.395.970.213457.64
nilnil-1110160.7541803252.955437.48-2851.11-2851.111.144.560.172032.14
200trail31.515820.69633507257.688506.49-1984.11-2059.073.663.660.132636.78
200nil31.6713089.84633507257.688506.49-2894.4-3815.842.512.510.12181.64
200trail-13.679777.0662433.338277.2115360.38-1694.34-2059.074.892.440.0621629.51
atrtrail34.67-6699.561516.6724036.0624036.06-6147.11-9716.693.910.78-0.023-1116.58
atrnil39.2-15676.835142024036.0624036.06-9928.22-12859.222.420.61-0.055-3135.37
atrtrail24.5-14711.5261516.6716024.0416024.04-6147.11-9716.692.610.52-0.069-2451.92
atrtrail-15-16475.1661516.6714260.414260.4-6147.11-9716.692.320.46-0.083-2745.86
atrnil29-23688.855142016024.0416024.04-9928.22-12859.221.610.4-0.11-4737.77

In the table above, row 1 shows the best exit criterion. Profit factor is 7.1. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 1.78%, which is not very high, 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.
STAR Performance, Profit Factor:7.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014211 Jun 2014 (3.82%), 24 Jun 2014 (2.32%)
2011118 Oct 2011 (2.84%)
2008111 Sep 2008 (-1.02%)
2007318 Jun 2007 (2.1%), 19 Jun 2007 (3.46%), 06 Jul 2007 (-1.03%)



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