Study: Buy CENTURYTEX when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CENTURYTEX when 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
1-23667.1751292256.865157.0816630.76-7873.75-29910.90.650.86-0.011-464.06
216307751312060.789628.8228000-6770.79-20473.771.422.20.0613197.6
341307.751282354.99604.2832026.43-9896.18-29780.030.971.180.012809.95
411806451272452.9413597.2646129.54-10377.58-24365.481.311.470.0312314.98
515036551262550.9816487.5247961.63-11132.43-35336.541.481.540.0342948.33
676834.5851262550.9815386.0150409.31-12928.07-37901.861.191.240.0171506.56
786108.0551252649.0215311.1346043.37-11410.39-48970.751.341.290.021688.39
872483.5251262550.9814981.6456297.57-12681.57-64138.681.181.230.0151421.25
946121.8951272452.9415064.4370802.81-15025.74-42686.8911.130.009904.35
1017893.3951242747.0617942.8375973-15286.47-33152.761.171.040.0032350.85
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CENTURYTEX Performance, X=2, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019319 Jun 2019 (1.43%), 08 Jul 2019 (-0.48%), 24 Jul 2019 (2.31%)
2018102 Feb 2018 (-2.47%)
2017224 May 2017 (4.3%), 15 Nov 2017 (4.35%)
2016324 May 2016 (5.65%), 27 Oct 2016 (6.11%), 11 Nov 2016 (-4.97%)
2015307 May 2015 (6.09%), 08 Jun 2015 (2.66%), 28 Jul 2015 (6.81%)
2014527 Jan 2014 (0.4%), 30 Apr 2014 (14.0%), 16 Sep 2014 (2.34%), 07 Oct 2014 (4.45%), 09 Dec 2014 (0.4%)
2013324 Jan 2013 (1.81%), 08 Feb 2013 (0.83%), 22 Feb 2013 (-6.45%)
2012127 Apr 2012 (-1.52%)
2010227 Jan 2010 (7.32%), 03 May 2010 (-2.56%)
2009422 Jun 2009 (4.08%), 13 Jul 2009 (12.15%), 19 Aug 2009 (5.53%), 27 Oct 2009 (-5.09%)
2008121 Jan 2008 (8.91%)
2007424 Jan 2007 (2.06%), 09 Feb 2007 (-9.0%), 28 Feb 2007 (-1.66%), 27 Jul 2007 (9.24%)
2006119 May 2006 (-8.18%)
2005212 Jan 2005 (1.74%), 19 Oct 2005 (-1.17%)
2004316 Jan 2004 (-0.08%), 03 Feb 2004 (1.63%), 28 Sep 2004 (2.32%)
2003231 Jan 2003 (2.11%), 29 Oct 2003 (10.78%)
2002312 Mar 2002 (-0.28%), 25 Jul 2002 (-10.24%), 03 Sep 2002 (-0.32%)
2001128 Feb 2001 (-3.79%)
1999403 Aug 1999 (-3.83%), 20 Sep 1999 (1.82%), 15 Oct 1999 (13.91%), 29 Oct 1999 (-1.6%)
1996306 May 1996 (1.68%), 20 May 1996 (0.0%), 25 Jun 1996 (-4.02%)

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
atrtrail34.7710385679324740.5115751.2454285.44-8514.54-21360.411.851.260.0171314.64
atrtrail-15.4710445079314839.2416459.5492697-8454.07-21360.411.951.260.0151322.15
atrtrail24.0557984.6279324740.5114317.7536190.29-8514.54-21360.411.681.140.011733.98
atrnil39.2573786.167194828.3632673.0154285.44-11395.86-27582.662.871.130.0111101.29
atrnil26.3563180.2669264337.6821314.4536190.29-11418.5-27582.661.871.130.011915.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 40.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019319 Jun 2019 (3.58%), 08 Jul 2019 (2.99%), 24 Jul 2019 (-0.85%)
2018102 Feb 2018 (-3.25%)
2017224 May 2017 (0.4%), 15 Nov 2017 (4.95%)
2016524 May 2016 (8.96%), 27 Oct 2016 (9.32%), 11 Nov 2016 (-5.9%), 15 Nov 2016 (-5.38%), 21 Nov 2016 (12.22%)
2015407 May 2015 (4.44%), 08 Jun 2015 (-2.16%), 11 Jun 2015 (15.59%), 28 Jul 2015 (5.67%)
2014927 Jan 2014 (1.17%), 30 Apr 2014 (12.15%), 16 Sep 2014 (-1.24%), 22 Sep 2014 (-3.77%), 24 Sep 2014 (-3.13%), 07 Oct 2014 (0.46%), 16 Oct 2014 (12.9%), 09 Dec 2014 (-2.71%), 15 Dec 2014 (-3.89%)
2013524 Jan 2013 (-1.49%), 29 Jan 2013 (-2.14%), 08 Feb 2013 (-2.13%), 14 Feb 2013 (0.34%), 22 Feb 2013 (-3.08%)
2012227 Apr 2012 (-3.99%), 02 May 2012 (-5.24%)
2010427 Jan 2010 (1.89%), 05 Feb 2010 (4.13%), 03 May 2010 (-3.43%), 04 May 2010 (-2.96%)
2009622 Jun 2009 (2.88%), 13 Jul 2009 (27.14%), 19 Aug 2009 (8.45%), 27 Oct 2009 (-4.68%), 29 Oct 2009 (14.94%), 03 Nov 2009 (19.35%)
2008121 Jan 2008 (-8.96%)
2007624 Jan 2007 (-1.82%), 08 Feb 2007 (-3.9%), 09 Feb 2007 (-4.44%), 12 Feb 2007 (5.34%), 28 Feb 2007 (-6.88%), 27 Jul 2007 (4.36%)
2006219 May 2006 (-9.94%), 22 May 2006 (-3.04%)
2005412 Jan 2005 (2.39%), 19 Oct 2005 (-5.51%), 20 Oct 2005 (-3.38%), 24 Oct 2005 (-1.55%)
2004516 Jan 2004 (-5.13%), 19 Jan 2004 (-3.67%), 22 Jan 2004 (1.99%), 30 Jan 2004 (3.21%), 28 Sep 2004 (13.4%)
2003231 Jan 2003 (-0.84%), 29 Oct 2003 (22.14%)
2002612 Mar 2002 (-1.99%), 20 Mar 2002 (-4.5%), 25 Jul 2002 (-7.87%), 29 Jul 2002 (-8.71%), 02 Aug 2002 (1.73%), 03 Sep 2002 (-4.77%)
2001228 Feb 2001 (-3.36%), 08 Mar 2001 (-10.68%)
1999603 Aug 1999 (-4.89%), 20 Sep 1999 (-6.36%), 27 Sep 1999 (0.17%), 15 Oct 1999 (23.36%), 27 Oct 1999 (-8.93%), 29 Oct 1999 (-10.27%)
1996406 May 1996 (-1.57%), 20 May 1996 (-0.72%), 24 May 1996 (-2.92%), 25 Jun 1996 (-2.06%)



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