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

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX when near 200 SMA and below 200 SMA and RSI is below 50" 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
162637.7624141058.336661.4330204.08-3062.23-8341.812.183.050.0692609.91
256833.9224131154.179693.2737311.99-6288.96-15150.21.541.820.0422368.08
37498.0424111345.8311206.1241632.65-8905.33-28869.051.261.060.0047312.42
445675.92412125012714.850612.24-8908.47-18452.381.431.430.0251903.16
512002824111345.8322275.05111435-9615.18-18154.762.321.960.0375001.18
612903624111345.8324090.79114223-10458.69-34347.832.31.950.0385376.49
712598624131154.1720530.06113593-12809.55-33043.481.61.890.0385249.41
811513724131154.1721115114841-14487.07-26956.521.461.720.0344797.38
91196242412125022495.68112851-12527.02-23397.761.81.80.0364984.33
101391622416866.6717434.45110040-17473.65-27881.71120.0425798.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.05. Strategy is very good and impressively bearish. Percentage of profitable trades is 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
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.
CENTURYTEX Performance, X=1, Profit Factor:3.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jul 2019 (0.97%), 03 Oct 2019 (2.12%)
2018105 Feb 2018 (-1.17%)
2015206 Jan 2015 (0.32%), 04 Feb 2015 (1.23%)
2014119 Dec 2014 (-1.55%)
2012208 May 2012 (2.29%), 30 Jul 2012 (1.06%)
2010106 May 2010 (3.42%)
2008119 Feb 2008 (3.73%)
2007219 Mar 2007 (-1.38%), 07 Jun 2007 (-0.67%)
2006206 Jun 2006 (7.89%), 03 Jul 2006 (-1.43%)
2004225 Feb 2004 (-0.52%), 20 May 2004 (-3.44%)
2003114 Feb 2003 (-4.17%)
2002326 Mar 2002 (1.04%), 20 Sep 2002 (3.22%), 23 Dec 2002 (-0.98%)
2000118 Jul 2000 (15.1%)
1997220 Aug 1997 (0.99%), 03 Sep 1997 (3.26%)
1995113 Dec 1995 (-0.0%)

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-1162637.7624141058.336661.4330204.08-3062.23-8341.812.183.050.0692609.91
atrnil25.5910671627111640.7423980.2551594.23-9816.67-19269.942.441.680.0443952.44
atrtrail23.7931000.012891932.1418467.2551594.23-7116.07-19269.942.61.230.0151107.14
200trail21.371247.1735112431.436343.957867.03-2855.68-3953.062.221.020.001735.63
200nil21.37-2623.8735112431.436343.957867.03-3016.97-3993.72.10.96-0.0034-74.97
atrnil313.88-13101.8256192431456.5950897.52-10623.23-25797.122.960.94-0.0055-524.07
200trail31.58-4847.043382524.248260.9311301.29-2837.38-3953.062.910.93-0.0059-146.88
atrtrail-14.96-14926.352882028.5715969.4260463.39-7134.09-19269.942.240.9-0.0072-533.08
200nil31.64-13104.333372621.219290.3811301.29-3005.27-3953.063.090.83-0.016-397.1
atrtrail34.21-39251.742882028.5712928.7536138-7134.09-19269.941.810.72-0.024-1401.85
200trail-12.09-33198.373372621.215418.939438.62-2735.8-3953.061.980.53-0.055-1006.01

In the table above, row 1 shows the best exit criterion. Profit factor is 3.05. Strategy is very good and impressively bearish. Percentage of profitable trades is 58.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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