Study: Sell CENTURYTEX when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX when below 200 SMA and near 50 SMA and below 50 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
125722.2252252748.087513.19110712-6003.98-15983.681.251.160.0061494.66
232982.7252223042.3110940.71113523-6923.76-24242.421.581.160.0072634.28
375317.952242846.1512729.06112888-8220.7-34852.91.551.330.0151448.42
440238.4652232944.2312917.09114146-8857.05-32250.431.461.160.0081773.82
53680.6252242846.1513192.24112140-11176.18-39558.371.181.010.0007170.78
62013.9952252748.0813060.6109306-12018.55-40019.471.091.010.0003838.73
7-8473.4152242846.1513766.399399.23-12102.31-36365.361.140.97-0.0017-162.95
814085.3452282453.8511956.6796554.07-13362.55-41704.330.891.040.0029270.87
925748.0852242846.1515220.1698526.41-12126.28-41816.261.261.080.005495.16
1052624.1552272551.9215899.66106949-15066.67-43201.691.061.140.0091012
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
50trail-12.4697732.182196323.1714634.68111239-2862.33-3955.215.111.540.0181191.85
atrtrail-15.4380188.1556223439.2913741.14100409-6532.85-13243.822.11.360.0181431.93
50nil31.7418577.9681216025.939474.7111811.59-3006.52-3955.213.151.10.0084229.36
atrtrail24.3917323.0256223439.2910883.6328703.81-6532.85-13243.821.671.080.0063309.34
50trail31.7110817.3882216125.618978.8311811.59-2913.74-3955.213.081.060.005131.92
atrtrail34.794159.4256223439.2910285.2924403.42-6532.85-13243.821.571.020.001574.28
50nil21.48-30266.2582235928.056372.677874.39-2997.25-3955.212.130.83-0.018-369.1
50trail21.46-31037.9483236027.716372.677874.39-2960.16-3955.212.150.83-0.018-373.95
atrnil26.22-82387.6751153629.4115997.8528703.81-8954.32-19097.481.790.74-0.027-1615.44
atrnil38.25-11337248103820.8322585.335919.11-8926.97-19097.482.530.67-0.036-2361.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 23.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019610 Jan 2019 (-0.93%), 15 Jan 2019 (-1.85%), 17 Jan 2019 (13.48%), 01 Mar 2019 (-1.06%), 19 Sep 2019 (-1.43%), 10 Oct 2019 (55.62%)
2018711 Apr 2018 (-1.39%), 24 Jul 2018 (-1.9%), 01 Aug 2018 (-1.09%), 02 Aug 2018 (-1.6%), 07 Aug 2018 (-1.27%), 11 Sep 2018 (-1.65%), 02 Nov 2018 (-1.63%)
2016307 Jan 2016 (-1.28%), 12 Jan 2016 (-1.19%), 17 Mar 2016 (-1.31%)
2015704 Feb 2015 (4.72%), 16 Feb 2015 (-1.43%), 19 Feb 2015 (4.34%), 09 Mar 2015 (-1.86%), 20 Oct 2015 (-1.61%), 02 Nov 2015 (-1.44%), 10 Dec 2015 (-1.51%)
2013424 May 2013 (-1.94%), 29 May 2013 (2.61%), 19 Jun 2013 (12.04%), 27 Nov 2013 (-1.58%)
2012419 Jan 2012 (-1.45%), 27 Jun 2012 (-1.48%), 26 Jul 2012 (-1.91%), 31 Jul 2012 (-1.8%)
2011603 May 2011 (0.02%), 09 May 2011 (8.29%), 15 Jun 2011 (-1.98%), 28 Jul 2011 (-1.22%), 29 Jul 2011 (0.61%), 30 Sep 2011 (4.48%)
2010823 Jun 2010 (1.98%), 07 Jul 2010 (-1.8%), 08 Jul 2010 (-1.26%), 12 Jul 2010 (-1.16%), 15 Jul 2010 (-1.01%), 19 Jul 2010 (-1.9%), 29 Jul 2010 (-1.29%), 04 Aug 2010 (-1.0%)
2009421 Jan 2009 (-1.32%), 22 Jan 2009 (-0.54%), 02 Feb 2009 (-1.68%), 04 Feb 2009 (-1.02%)
2008413 May 2008 (-1.25%), 14 May 2008 (-1.04%), 12 Aug 2008 (-1.2%), 13 Aug 2008 (5.07%)
2007207 Jun 2007 (-1.2%), 11 Jun 2007 (-1.15%)
2004415 Apr 2004 (-1.98%), 08 Jun 2004 (-1.71%), 10 Jun 2004 (-1.72%), 09 Jul 2004 (-1.01%)
2003107 Apr 2003 (2.44%)
2001708 May 2001 (-1.9%), 14 Aug 2001 (-1.97%), 16 Aug 2001 (-1.15%), 24 Aug 2001 (-1.83%), 27 Aug 2001 (4.43%), 16 Oct 2001 (-1.76%), 07 Nov 2001 (-1.23%)
2000328 Apr 2000 (-0.75%), 16 May 2000 (-1.18%), 17 May 2000 (3.9%)
1998526 Feb 1998 (-1.97%), 06 Oct 1998 (-1.69%), 11 Nov 1998 (2.13%), 17 Nov 1998 (-1.26%), 19 Nov 1998 (2.71%)
1997627 Feb 1997 (-1.52%), 17 Mar 1997 (9.12%), 29 Apr 1997 (-1.6%), 22 Aug 1997 (-0.25%), 27 Aug 1997 (1.02%), 24 Dec 1997 (-1.54%)
1996124 Jan 1996 (-1.53%)



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