Study: Buy STAR when above 200 SMA

home > technical-strategy > star > 58

In this study, we evaluate the performance of strategy "Buy STAR 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 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
110358.4929151451.725739.714481.32-5409.78-17560.981.061.140.012357.19
252876.3329191065.526920.5620762.01-7861.42-17608.290.881.670.0491823.32
31336932921872.419051.5426516.8-7048.69-10629.371.283.370.114610.1
41559562920968.9710584.4225258.34-6192.52-14171.371.713.80.125377.79
517937929191065.5213477.6733793.48-7669.69-21845.571.763.340.116185.48
617376829181162.0714306.6949230.77-7613.83-26196.121.883.070.0965992.01
723826729181162.0720104.4675944.06-11237.54-33303.351.792.930.0878216.11
825115029181162.0721451.2168154.07-12270.19-28281.671.752.860.098660.33
926254829181162.0722724.1173146.85-13316.92-27022.161.712.790.0929053.37
1024703829181162.0721771.8453504.53-13168.63-22327.641.652.710.0928518.56
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
STAR Performance, X=4, Profit Factor:3.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (6.13%)
2017130 Mar 2017 (1.53%)
2016107 Jan 2016 (-3.63%)
2015429 Jan 2015 (0.93%), 27 Apr 2015 (12.35%), 24 Aug 2015 (-0.26%), 07 Sep 2015 (2.79%)
2014125 Sep 2014 (12.63%)
2013224 Jan 2013 (7.77%), 07 Feb 2013 (9.85%)
2012109 Nov 2012 (7.23%)
2010307 May 2010 (8.55%), 30 Aug 2010 (1.38%), 25 Nov 2010 (1.66%)
2009130 Oct 2009 (5.28%)
2007112 Feb 2007 (-5.21%)
2006310 Mar 2006 (-0.41%), 13 Apr 2006 (-0.15%), 27 Oct 2006 (-4.4%)
2005512 Jan 2005 (2.28%), 23 Mar 2005 (4.57%), 25 Jul 2005 (1.64%), 22 Sep 2005 (6.49%), 17 Oct 2005 (0.46%)
2004305 Jan 2004 (-7.09%), 21 Jan 2004 (8.07%), 04 Mar 2004 (-0.78%)
2003121 Oct 2003 (4.24%)
2002119 Jun 2002 (-5.94%)

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
atrtrail24.6328114441251660.9816065.9639219.41-7531.54-13478.772.133.330.116857.18
atrtrail35.6629168541241758.5417407.4652628.49-7417.28-13478.772.353.310.17114.27
atrtrail-16.7628876441241758.5417285.7354685.07-7417.28-13478.772.333.290.0977043.01
atrnil311.2234369336171947.2231543.2552628.49-10133.79-19471.463.112.790.19547.03
atrnil27.2522438636191752.7820900.8235085.66-10160.55-19471.462.062.30.0916232.95

In the table above, row 1 shows the best exit criterion. Profit factor is 3.33. Strategy is very good and impressively bullish. Percentage of profitable trades is 60.98%, which is good. Average return per trade is 3.43%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:3.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019106 May 2019 (6.78%)
2017230 Mar 2017 (-0.25%), 11 Apr 2017 (-1.25%)
2016107 Jan 2016 (-2.37%)
2015729 Jan 2015 (0.74%), 06 Feb 2015 (-3.24%), 09 Feb 2015 (6.95%), 27 Apr 2015 (11.68%), 24 Aug 2015 (-4.74%), 26 Aug 2015 (2.15%), 07 Sep 2015 (-6.12%)
2014125 Sep 2014 (9.24%)
2013224 Jan 2013 (3.22%), 07 Feb 2013 (11.58%)
2012209 Nov 2012 (-3.03%), 13 Nov 2012 (6.52%)
2010307 May 2010 (9.14%), 30 Aug 2010 (1.46%), 25 Nov 2010 (-4.68%)
2009130 Oct 2009 (12.55%)
2007212 Feb 2007 (-5.21%), 13 Feb 2007 (0.33%)
2006410 Mar 2006 (0.51%), 13 Apr 2006 (10.38%), 27 Apr 2006 (0.64%), 27 Oct 2006 (-4.45%)
2005612 Jan 2005 (10.96%), 23 Mar 2005 (8.79%), 25 Jul 2005 (9.52%), 22 Sep 2005 (10.08%), 17 Oct 2005 (-3.53%), 27 Oct 2005 (11.53%)
2004605 Jan 2004 (-6.74%), 07 Jan 2004 (-1.87%), 21 Jan 2004 (3.28%), 03 Feb 2004 (19.61%), 04 Mar 2004 (-2.89%), 12 Mar 2004 (-6.53%)
2003221 Oct 2003 (-3.35%), 28 Oct 2003 (15.66%)
2002119 Jun 2002 (17.54%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play