Study: Sell STAR when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell STAR when below 200 SMA and RSI is overbought" 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
1-13640.34115645.455098.0410839.25-6521.75-16543.910.780.65-0.039-1240.03
212398.46116554.558399.8119575.02-7600.08-24702.551.111.330.0241127.13
3-44235.53115645.457569.1815712.34-13680.24-28370.020.550.46-0.071-4021.41
4-69054.85115645.459592.0220143.15-19502.49-37960.340.490.41-0.081-6277.71
5-27328.39114736.3618894.2233612.36-14700.75-34378.051.290.73-0.029-2484.4
64454.75114736.3623562.645202.83-12827.95-25984.171.841.050.0048404.98
7-36535.56115645.4511803.823824.13-15925.76-29020.710.740.62-0.05-3321.41
8-49863.97113827.2712839.5219222.9-11047.82-23403.11.160.44-0.086-4533.09
9-49663.15116554.558094.5618200.41-19646.1-48838.530.410.49-0.059-4514.83
10-43927.39116554.559766.4716942.91-20505.24-44419.260.480.57-0.053-3993.4
Although, strategy looks good but profit factor on day 1 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
atrtrail23.5-95196.4924618256722.4716735.61-7529.52-13508.310.890.3-0.13-3966.52
atrtrail33.58-98121.312461825623513810.79-7529.52-13508.310.830.28-0.14-4088.39
atrtrail-13.58-98121.312461825623513810.79-7529.52-13508.310.830.28-0.14-4088.39
atrnil24.21-1277131921710.5319651.1922566.76-9824.41-14393.6820.24-0.17-6721.72
atrnil35.47-141533191185.2633850.1433850.14-9743.49-14393.683.470.19-0.18-7449.09

In the table above, row 1 shows the best exit criterion. Profit factor is 0.3. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:0.298

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018421 Aug 2018 (-4.18%), 23 Aug 2018 (-3.82%), 31 Aug 2018 (-0.36%), 06 Sep 2018 (-1.64%)
2017114 Jul 2017 (-1.5%)
2014902 Apr 2014 (-3.51%), 03 Apr 2014 (-3.7%), 07 Apr 2014 (-2.43%), 11 Apr 2014 (-2.56%), 21 Apr 2014 (-3.65%), 25 Apr 2014 (-4.18%), 28 Apr 2014 (8.37%), 06 Jun 2014 (-4.14%), 09 Jun 2014 (-3.95%)
2011223 Sep 2011 (-2.12%), 29 Sep 2011 (0.86%)
2009502 Apr 2009 (-6.75%), 06 Apr 2009 (-6.47%), 08 Apr 2009 (-6.28%), 13 Apr 2009 (3.25%), 21 Apr 2009 (3.98%)
2008125 Jul 2008 (3.15%)
2007120 Nov 2007 (0.56%)
2002108 Apr 2002 (-6.52%)



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