Study: Buy CENTURYTEX when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CENTURYTEX when below 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
1-9269.38117467139.326499.8130666.18-4341.7-17777.781.50.97-0.0023-79.23
2-202701117496841.886270.1929253.73-7499.12-36078.430.840.6-0.038-1732.49
3-188559117526544.448106.536152.57-9386.1-41868.510.860.69-0.028-1611.61
4-181736116556147.419224.0741298.26-11296.06-37424.550.820.74-0.023-1566.69
5-231824116506643.111464.9143069.42-12198.03-36731.960.940.71-0.027-1998.48
6-320222116506643.112780.7845838.48-14534.26-50702.140.880.67-0.033-2760.54
7-450336116486841.3813108.3237423.92-15875.52-63333.850.830.58-0.043-3882.21
8-456715116476940.5214134.9747416.28-16247.23-58388.770.870.59-0.042-3937.2
9-454192116476940.5215557.6548271.71-17179.73-61197.340.910.62-0.039-3915.45
10-454484116486841.3816266.9360444.19-18166.13-70236.810.90.63-0.036-3917.97

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. 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 39.32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.04%, we advise you not to use this strategy.

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-11-9269.38117467139.326499.8130666.18-4341.7-17777.781.50.97-0.0023-79.23
atrtrail-14.77-1442752506918127.620162.74263001-8483.44-34179.942.380.91-0.0052-577.1
atrnil38.26-2810842094216720.137007.78102888-10990.48-35320.143.370.85-0.013-1344.9
atrtrail23.79-386782250701802816410.170640.28-8530.49-34179.941.920.75-0.022-1547.13
atrtrail34.27-4050492506918127.616383.465564.77-8483.44-34179.941.930.74-0.023-1620.19
atrnil25.77-4822252185316524.3124530.7470640.28-10802.15-34652.782.270.73-0.027-2212.04

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 39.32%, which is not acceptable. Avoid this strategy. Average return per trade is -0.04%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CENTURYTEX Performance, X=1, Profit Factor:0.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019525 Jan 2019 (-2.81%), 11 Feb 2019 (-0.26%), 29 Jul 2019 (-0.97%), 21 Aug 2019 (-2.82%), 11 Oct 2019 (-3.15%)
20181205 Feb 2018 (1.17%), 21 Feb 2018 (-1.9%), 09 Mar 2018 (4.58%), 23 Mar 2018 (1.54%), 02 May 2018 (-5.25%), 21 May 2018 (-0.91%), 05 Jun 2018 (0.4%), 25 Jun 2018 (3.17%), 16 Jul 2018 (3.71%), 21 Sep 2018 (-1.88%), 08 Oct 2018 (-1.26%), 06 Dec 2018 (2.13%)
2016315 Jan 2016 (-2.95%), 03 Feb 2016 (-0.82%), 29 Feb 2016 (4.29%)
2015206 Feb 2015 (-2.17%), 24 Aug 2015 (-2.07%)
2014116 Dec 2014 (-1.24%)
2013826 Feb 2013 (-0.43%), 18 Mar 2013 (-4.94%), 04 Apr 2013 (1.69%), 31 May 2013 (1.25%), 24 Jun 2013 (-0.94%), 08 Jul 2013 (-0.2%), 26 Jul 2013 (-4.29%), 13 Dec 2013 (-0.96%)
2012308 May 2012 (-2.29%), 01 Jun 2012 (0.82%), 26 Jul 2012 (-1.92%)
2011810 Jan 2011 (-2.29%), 27 Jan 2011 (-4.33%), 03 May 2011 (-1.97%), 17 May 2011 (-1.97%), 28 Jul 2011 (-0.1%), 12 Aug 2011 (-5.18%), 15 Nov 2011 (-1.9%), 12 Dec 2011 (1.67%)
2010506 May 2010 (-3.42%), 21 May 2010 (-0.81%), 30 Jul 2010 (0.32%), 16 Nov 2010 (-1.4%), 09 Dec 2010 (3.04%)
2009120 Feb 2009 (1.96%)
20081122 Jan 2008 (15.33%), 04 Mar 2008 (3.47%), 26 May 2008 (-1.69%), 09 Jun 2008 (1.17%), 23 Jun 2008 (0.98%), 15 Jul 2008 (-3.08%), 21 Aug 2008 (2.29%), 15 Sep 2008 (0.22%), 29 Sep 2008 (2.79%), 15 Oct 2008 (6.44%), 20 Nov 2008 (-0.42%)
2007105 Mar 2007 (1.94%)
2006108 Jun 2006 (13.79%)
2005128 Oct 2005 (5.09%)
2004327 Feb 2004 (1.72%), 15 Mar 2004 (-0.94%), 14 Jun 2004 (4.43%)
2003314 Feb 2003 (4.17%), 06 Mar 2003 (-2.58%), 26 Mar 2003 (0.79%)
2002426 Mar 2002 (-1.04%), 23 Sep 2002 (-2.41%), 16 Oct 2002 (-2.68%), 18 Dec 2002 (1.88%)
2001409 Mar 2001 (-8.89%), 21 Jun 2001 (-5.94%), 29 Aug 2001 (0.16%), 12 Sep 2001 (-0.17%)
2000717 Jan 2000 (-0.7%), 04 Feb 2000 (-3.92%), 22 Feb 2000 (-1.51%), 19 Jul 2000 (2.16%), 04 Aug 2000 (-0.29%), 19 Sep 2000 (1.26%), 06 Oct 2000 (-1.08%)
1999625 Jan 1999 (8.05%), 16 Feb 1999 (4.04%), 12 Mar 1999 (-0.9%), 15 Apr 1999 (8.14%), 01 Nov 1999 (6.84%), 16 Nov 1999 (-2.42%)
19981027 Jan 1998 (-3.2%), 13 Feb 1998 (2.82%), 13 May 1998 (4.44%), 29 May 1998 (-0.81%), 15 Jun 1998 (-2.16%), 01 Jul 1998 (-3.16%), 12 Aug 1998 (1.56%), 28 Aug 1998 (-3.36%), 16 Oct 1998 (0.0%), 03 Nov 1998 (-0.17%)
1997924 Feb 1997 (-2.42%), 31 Mar 1997 (-1.87%), 08 May 1997 (-5.0%), 28 May 1997 (0.14%), 25 Aug 1997 (2.15%), 19 Sep 1997 (-1.48%), 28 Oct 1997 (3.67%), 12 Nov 1997 (-1.77%), 04 Dec 1997 (-5.94%)
1996926 Jun 1996 (-0.85%), 15 Jul 1996 (0.77%), 02 Aug 1996 (-1.68%), 19 Aug 1996 (-3.27%), 16 Sep 1996 (-2.8%), 30 Sep 1996 (0.0%), 14 Nov 1996 (-0.25%), 28 Nov 1996 (-3.48%), 13 Dec 1996 (5.0%)



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