Study: Buy CENTURYTEX when near 200 SMA and above 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
148026.3645242153.334999.1711903.47-3426.36-10763.451.461.670.0421067.25
215631.5545222348.896742.2217616.58-5769.45-17806.731.171.120.0091347.37
339803.3945232251.119276.4226459.01-7888.83-19524.411.181.230.017884.52
449366.3345242153.3311689.8128852.87-11009.01-29411.761.061.210.0161097.03
5-6504.2445252055.5610064.0928226.02-12905.32-31722.80.780.97-0.0021-144.54
6-75575.4645212446.6714072.5941909.2-15462.49-1123850.910.8-0.015-1679.45
7-85386.6345202544.4416509.7746476.22-16623.28-1151440.990.79-0.016-1897.48
8-11768045202544.4416135.8659926.57-17615.87-1145210.920.73-0.021-2615.11
9-11515545192642.2217303.6853102.89-17074.03-1157561.010.74-0.021-2559
10-25383.0544212347.7316093.1949843.29-15797.39-58142.081.020.93-0.0058-576.89

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.67. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, which is low, don't trade solely on the basis of this study.

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
200trail-12.7788272.0465174826.1512393.1136895.87-2550.23-3993.534.861.720.0321358.03
nilnil-1148026.3645242153.334999.1711903.47-3426.36-10763.451.461.670.0421067.25
200trail21.359574.967283941.796069.547546.52-2830.05-3993.532.141.540.04889.18
200nil31.896275264214332.819152.7411319.78-3010.59-3993.533.041.480.034980.5
200nil21.3355334.666283842.426069.547546.52-3016.12-3993.532.011.480.037838.4
200trail31.6549770.0265194629.238889.6711319.78-2589.86-3993.533.431.420.029765.69
atrtrail34.9498986.8954183633.3318995.638004.91-6748.16-20915.072.811.410.0261833.09
atrtrail-15.7679619.3354183633.3317919.6249013.23-6748.16-20915.072.661.330.0211474.43
atrnil37.5987635.5149163332.6527844.8243170.42-10844.9-21291.982.571.240.0191788.48
atrtrail24.3547657.2254183633.3316143.9525336.61-6748.16-20915.072.391.20.015882.54
atrnil25.8233922.55020304018205.8228780.28-11006.46-21291.981.651.10.0092678.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 26.15%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019711 Mar 2019 (-0.11%), 24 Jul 2019 (-1.53%), 31 Jul 2019 (-1.19%), 14 Aug 2019 (-1.39%), 19 Aug 2019 (-1.3%), 12 Sep 2019 (-0.14%), 01 Oct 2019 (-1.29%)
2018206 Feb 2018 (-1.99%), 09 Feb 2018 (-0.56%)
2016107 Apr 2016 (-1.01%)
2015224 Mar 2015 (0.18%), 11 Jun 2015 (13.43%)
2014415 Dec 2014 (-1.7%), 18 Dec 2014 (-1.21%), 22 Dec 2014 (-1.62%), 24 Dec 2014 (-0.1%)
2013525 Feb 2013 (-1.71%), 05 Nov 2013 (-1.11%), 13 Nov 2013 (-0.48%), 06 Dec 2013 (-1.4%), 10 Dec 2013 (-1.27%)
2012207 Feb 2012 (0.19%), 04 May 2012 (-1.76%)
2011203 Nov 2011 (-0.48%), 08 Nov 2011 (-1.83%)
2010525 Feb 2010 (9.36%), 10 May 2010 (-1.55%), 16 Aug 2010 (3.28%), 25 Aug 2010 (-2.0%), 02 Sep 2010 (3.69%)
2008231 Jan 2008 (3.92%), 26 Feb 2008 (-1.36%)
2007520 Mar 2007 (3.0%), 29 Mar 2007 (-0.76%), 10 Apr 2007 (-1.07%), 08 Jun 2007 (-1.42%), 12 Jun 2007 (18.45%)
2006323 Jun 2006 (-1.87%), 04 Jul 2006 (-0.38%), 07 Jul 2006 (2.57%)
2004524 Feb 2004 (-1.9%), 18 May 2004 (-1.26%), 16 Jul 2004 (-1.64%), 21 Jul 2004 (-1.21%), 06 Aug 2004 (1.55%)
2003321 Feb 2003 (5.53%), 04 Mar 2003 (-1.09%), 22 Apr 2003 (-1.76%)
2002522 Mar 2002 (-1.95%), 12 Sep 2002 (2.28%), 19 Sep 2002 (-1.58%), 13 Dec 2002 (-0.68%), 24 Dec 2002 (13.39%)
2001230 Apr 2001 (-1.63%), 24 May 2001 (5.41%)
2000416 Jun 2000 (-1.01%), 20 Jun 2000 (-1.72%), 29 Jun 2000 (12.81%), 22 Dec 2000 (-1.6%)
1999215 Jan 1999 (-1.45%), 27 Dec 1999 (6.31%)
1998225 Mar 1998 (-1.45%), 06 May 1998 (-1.03%)
1996224 Jun 1996 (-1.59%), 25 Jun 1996 (-1.08%)



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