Study: Sell SRF when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell SRF when near 200 SMA and below 200 SMA 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: sell SRF 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
164379.131613381.255843.4517769.78-3861.89-9471.771.516.560.124023.7
245753.44169756.258502.6916834.53-4395.83-10928.961.932.490.0792859.59
342862.04167943.7510581.423908.05-3467.53-16666.673.052.370.0612678.88
448347.531610662.58220.9818633.09-5643.71-11055.281.462.430.0753021.72
525081.711610662.59473.2429885.06-11608.44-34407.430.821.360.0251567.61
6-2784.931610662.510561.0527586.21-18065.91-64336.430.580.97-0.0018-174.06
713746.56169756.251437034942.53-16511.92-73730.20.871.120.0082859.16
837622.99169756.2514910.2130344.83-13795.56-67504.11.081.390.0242351.44
926409.69169756.2518945.1937701.15-20585.28-72637.90.921.180.0141650.61
1040862.71610662.516795.7230575.54-21182.41-62916.440.791.320.0252553.92

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 6.56. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.25%, which is excellent. Average return per trade is 2.01%, which is very good.
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.
SRF Performance, X=1, Profit Factor:6.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016109 Mar 2016 (+)
2013209 Oct 2013 (+), 30 Oct 2013 (+)
2012116 Feb 2012 (+)
2011122 Sep 2011 (+)
2009112 May 2009 (+)
2008125 Apr 2008 (+)
2006108 Sep 2006 (+)
2004107 Apr 2004 (-)
2001119 Dec 2001 (+)
2000106 Jul 2000 (+)
1999126 Mar 1999 (+)
1998214 Jan 1998 (+), 20 Mar 1998 (+)
1997108 Aug 1997 (-)
1996116 Feb 1996 (-)

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
nilnil-1164379.131613381.255843.4517769.78-3861.89-9471.771.516.560.124023.7
atrnil25.0570567.2121101147.6219780.1723290.03-11566.77-23067.781.711.550.0453360.34
atrtrail24.0531849.922191242.8614505.0823290.03-8224.65-22200.41.761.320.0241516.66
atrnil313.8837770.671761135.2927341.1732647.9-11479.67-23067.782.381.30.0252221.8
200nil31.67594.822772025.938389.459761.03-2906.57-3915.972.891.010.0009622.03
200trail31.44-2311.672772025.937239.769370.79-2649.5-3915.972.730.96-0.0041-85.62
atrtrail35.3-13063.68208124010579.6132647.9-8141.72-22200.41.30.87-0.011-653.18
200trail21.32-11990.662882028.575450.356507.35-2779.67-3915.971.960.78-0.025-428.24
atrtrail-15.55-24063.3720812409204.6521648.21-8141.72-22200.41.130.75-0.024-1203.17
200nil21.32-16052.62882028.575450.356507.35-2982.77-3915.971.830.73-0.032-573.31
200trail-12-20456.9525619244902.2712823.02-2624.77-3915.971.870.59-0.045-818.28

In the table above, row 1 shows the best exit criterion. Profit factor is 6.56. Strategy is very good and impressively bearish. Percentage of profitable trades is 81.25%, which is excellent. Average return per trade is 2.01%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.