Study: Buy STAR when above 200 SMA and near 50 SMA and above 50 SMA

home > technical-strategy > star > 21

In this study, we evaluate the performance of strategy "Buy STAR when above 200 SMA and near 50 SMA and above 50 SMA" 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
1-4000.1345212446.673944.0910620.92-3617.75-18887.261.090.95-0.0043-88.89
218597.2545222348.895491.8412496.28-4444.49-13003.361.241.180.016413.27
327244.2445212446.678180.8117991.88-6023.03-20833.331.361.190.016605.43
4-11133.345202544.448578.3719065.95-7308.03-24754.91.170.94-0.0058-247.41
5-17475.9645252055.567372.420172.44-10089.29-31233.890.730.91-0.008-388.35
631900.5445242153.339411.8432014.28-9237.31-312501.021.160.013708.9
7-557.2545232251.1110139.4530229.1-10625.66-34068.630.951-0.00022-12.38
8-6310.3445222348.8910669.3435819.3-10479.82-35171.571.020.97-0.0024-140.23
941188.3345232251.1111581.5939508.15-10235.83-35049.021.131.180.015915.3
1016907745291664.4411901.8440731.74-11004.8-29886.741.081.960.0613757.26
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.1912682547163134.0425309.2735597.49-8971.73-20592.362.821.460.0392698.4
atrtrail24.7222147.3157213636.8411834.1223731.66-6288.03-10457.241.881.10.0092388.55
atrtrail35.3520115.5957213636.8411921.3234220.54-6395.33-10457.241.861.090.0074352.91
atrnil27.118010.055018323616975.7723731.66-8986.06-20592.361.891.060.0067360.2
50nil31.788549.6772195326.398800.3311863.67-2993.52-3971.792.941.050.0054118.75
50trail31.615217.974195525.688508.2211863.67-2844.33-3971.792.991.030.003370.51
50trail-12.49-9201.3274165821.629486.6231820.37-2775.64-3971.793.420.94-0.0045-124.34
50trail21.41-20047.9775225329.336038.957995.81-2885-3971.792.090.87-0.015-267.31
atrtrail-15.75-31722.0757213636.849452.8630852.54-6395.33-10457.241.480.86-0.014-556.53
50nil21.48-22161.8673225130.145946.37995.81-2999.62-3971.791.980.86-0.017-303.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 34.04%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
STAR Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Jan 2019 (-5.23%)
2017304 Jan 2017 (8.49%), 31 Jan 2017 (-2.65%), 07 Mar 2017 (-2.83%)
2015829 Jan 2015 (-2.79%), 20 Feb 2015 (-3.26%), 28 Feb 2015 (10.96%), 24 Apr 2015 (-4.75%), 04 May 2015 (-5.63%), 18 May 2015 (14.55%), 16 Jun 2015 (-4.5%), 24 Sep 2015 (14.11%)
2014219 Aug 2014 (9.21%), 14 Nov 2014 (9.73%)
2013131 Jan 2013 (-4.25%)
2012201 Nov 2012 (-3.16%), 15 Nov 2012 (10.58%)
2011130 Dec 2011 (-4.49%)
2010930 Apr 2010 (-4.59%), 11 May 2010 (12.79%), 17 Aug 2010 (-3.43%), 02 Sep 2010 (-3.46%), 24 Sep 2010 (-3.8%), 22 Oct 2010 (9.95%), 19 Nov 2010 (-4.04%), 06 Dec 2010 (-4.95%), 15 Dec 2010 (-4.65%)
2009109 Nov 2009 (17.11%)
2007530 Mar 2007 (-4.56%), 02 Apr 2007 (-4.85%), 24 Apr 2007 (-4.85%), 31 May 2007 (13.43%), 18 Jun 2007 (-6.43%)
2006404 Apr 2006 (-3.61%), 27 Oct 2006 (-4.45%), 10 Nov 2006 (-3.98%), 13 Dec 2006 (17.8%)
2005604 Mar 2005 (-4.02%), 13 Apr 2005 (-4.86%), 21 Apr 2005 (14.72%), 30 Jun 2005 (-5.14%), 10 Oct 2005 (-4.17%), 21 Nov 2005 (14.65%)
2004312 Apr 2004 (-5.39%), 25 Oct 2004 (13.11%), 10 Dec 2004 (11.25%)
2002128 May 2002 (-10.3%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play