Study: Sell CENTURYTEX when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX when below 200 SMA and RSI is overbought" 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
1-19457.66135838.466629.5817531.04-6575.7-16182.051.010.63-0.036-1496.74
2-1082071331023.085618.1415056.82-12506.17-32616.940.450.13-0.14-8323.64
3-87857.45135838.464600.213636.36-13857.3-31659.060.330.21-0.11-6758.27
4-82481.68137653.854487.837454.67-18982.75-51445.970.240.28-0.08-6344.74
5-124442136746.157965.714771.29-24605.24-1019790.320.28-0.067-9572.49
6-122533135838.4610736.5922904.37-22027.03-87062.40.490.3-0.074-9425.64
7-117267135838.4613883.7324557.26-23335.66-81278.540.590.37-0.07-9020.51
8-77831.55135838.4616633.2638488.78-20124.73-81887.370.830.52-0.044-5987.04
9-93941.17136746.1513179.4832585.6-24716.86-87366.820.530.46-0.052-7226.24
10-111124136746.1511773.8322432.11-25966.68-76712.330.450.39-0.068-8547.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.63. This strategy is not profitable and we advice you not to use it.

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
atrtrail22.6523691.126101638.4614272.7424710.02-7439.77-12735.551.921.20.016911.2
atrnil23.2816041.16259163616821.3824710.02-8459.45-12735.551.991.120.01641.65
atrtrail33.35-12078.7426101638.4610695.7630474.66-7439.77-12735.551.440.9-0.0091-464.57
atrtrail-13.5-20715.1426101638.469832.1227403.67-7439.77-12735.551.320.83-0.017-796.74
nilnil-11-19457.66135838.466629.5817531.04-6575.7-16182.051.010.63-0.036-1496.74
atrnil34.88-70009.59255202021155.6830474.66-8789.4-12735.552.410.6-0.046-2800.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012101 Feb 2012 (-5.04%)
2011104 Apr 2011 (1.62%)
2009331 Mar 2009 (-5.93%), 02 Apr 2009 (-1.73%), 13 Apr 2009 (12.36%)
2001126 Nov 2001 (-2.51%)
2000409 Jun 2000 (-6.37%), 08 Nov 2000 (9.53%), 23 Nov 2000 (-4.9%), 29 Nov 2000 (-3.17%)
1998502 Mar 1998 (8.88%), 21 Sep 1998 (10.16%), 23 Dec 1998 (-4.96%), 24 Dec 1998 (-4.97%), 28 Dec 1998 (9.67%)
19971109 Jan 1997 (-3.77%), 10 Jan 1997 (-3.67%), 15 Jan 1997 (-3.18%), 16 Jan 1997 (6.5%), 03 Mar 1997 (-1.77%), 05 Mar 1997 (5.94%), 30 Jun 1997 (-2.37%), 01 Jul 1997 (-2.43%), 02 Jul 1997 (1.19%), 09 Jul 1997 (-2.73%), 10 Jul 1997 (5.52%)



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