Study: Sell CENTURYTEX when near 200 SMA and below 200 SMA

home > technical-strategy > centurytex > 1

In this study, we evaluate the performance of strategy "Sell CENTURYTEX when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CENTURYTEX 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
146660.9546242252.176860.9330204.08-5363.69-26611.691.281.40.0241014.37
244236.4346242252.179391.6937311.99-8234.73-25716.931.141.240.016961.66
3-28847.93462323509486.6641632.65-10740.92-28869.050.880.88-0.0094-627.13
49216.6146242252.1710966.5850612.24-11544.6-35414.010.951.040.0026200.36
547759.0646192741.318697.83111435-11388.88-35082.461.641.160.00921038.24
687013.3546202643.4819722.81114223-11824.73-36599.551.671.280.0161891.59
779618.1446222447.8318893.33113593-14001.46-52080.541.351.240.0141730.83
836099.374623235018284.33114841-16714.79-49038.031.091.090.0063784.77
91042504623235020222.94112851-15690.35-35883.671.291.290.0182266.3
1015147146262056.5218960.66110040-17075.33-33839.481.111.440.0273292.84
Although, strategy looks good but profit factor on day 3 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
atrnil25.673048.2648183037.520971.9651594.23-10148.23-19269.942.071.240.0191521.84
atrtrail-15.4549343.0753173632.0818344.1476168.98-7291.87-19269.942.521.190.011931
atrtrail23.9620037.2553183533.9615281.5651594.23-7286.6-19269.942.11.080.0058378.06
atrnil311.5517500.240112927.529278.650897.52-10502.22-25797.122.791.060.0047437.51
atrtrail34.58-22683.7553173632.0814107.2740530.25-7291.87-19269.941.930.91-0.0068-428
200trail21.27-35996.9270185225.716174.487867.03-2829.57-3953.062.180.76-0.026-514.24
200nil21.27-40999.4170185225.716174.487867.03-2925.77-3993.72.110.73-0.029-585.71
200nil31.49-48388.6968125617.659489.8211758.45-2897.62-3953.063.280.7-0.03-711.6
200trail31.46-50378.5468125617.658774.1911758.45-2779.8-3953.063.160.68-0.033-740.86
200trail-12-67023.9368115716.188076.4821335.08-2734.48-3953.062.950.57-0.043-985.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.76%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
CENTURYTEX Performance, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jul 2019 (-3.3%), 03 Oct 2019 (-3.56%)
2018305 Feb 2018 (7.48%), 15 Feb 2018 (8.26%), 30 Apr 2018 (4.93%)
2016101 Jan 2016 (5.62%)
2015306 Jan 2015 (-3.64%), 04 Feb 2015 (7.83%), 04 Mar 2015 (-4.44%)
2014119 Dec 2014 (-4.21%)
2013307 Nov 2013 (8.2%), 02 Dec 2013 (7.48%), 23 Dec 2013 (-3.44%)
2012308 May 2012 (11.13%), 27 Jun 2012 (-3.94%), 30 Jul 2012 (-4.34%)
2010206 May 2010 (7.67%), 26 Aug 2010 (-2.93%)
2008119 Feb 2008 (16.97%)
2007219 Mar 2007 (-7.6%), 07 Jun 2007 (-4.76%)
2006306 Jun 2006 (25.8%), 03 Jul 2006 (-8.95%), 26 Jul 2006 (-6.95%)
2004725 Feb 2004 (-5.59%), 10 Mar 2004 (-4.6%), 27 Apr 2004 (-4.97%), 20 May 2004 (-9.63%), 28 May 2004 (16.75%), 14 Jul 2004 (-6.62%), 11 Aug 2004 (-4.82%)
2003214 Feb 2003 (-4.18%), 24 Apr 2003 (-4.84%)
2002426 Mar 2002 (-4.31%), 20 Sep 2002 (12.12%), 18 Nov 2002 (-4.35%), 17 Dec 2002 (-3.94%)
2001102 May 2001 (-7.72%)
2000312 Jan 2000 (11.59%), 19 Jun 2000 (-7.0%), 18 Jul 2000 (12.05%)
1999121 Dec 1999 (-5.76%)
1998207 Apr 1998 (-5.53%), 20 May 1998 (13.51%)
1997310 Jul 1997 (5.52%), 20 Aug 1997 (5.86%), 03 Sep 1997 (-3.15%)
1995113 Dec 1995 (-3.16%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play