Study: Sell CENTURYTEX when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
18534.9169756.256008.6515785.84-6506.13-26611.690.921.190.012533.43
249127.491610662.58789.3837311.99-6461.05-19490.251.362.270.0533070.47
3-2994.311688508897.0814875.12-9271.37-28869.050.960.96-0.0032-187.14
414960.7216885011208.8932399.61-9338.8-23275.861.21.20.014935.04
5-13518.54167943.7511746.9145894.85-10638.55-35082.461.10.86-0.01-844.91
6-2869.53167943.7514021.5152794.26-11224.46-35532.231.250.97-0.002-179.35
7-6387.216885010423.828480.75-11222.2-20202.40.930.93-0.0062-399.2
8-14890.5816885011938.3224893.06-13799.65-28673.160.870.87-0.013-930.66
9-13441.516885011995.9423975.86-13676.13-29685.160.880.88-0.011-840.09
10890.491611568.759458.7829232.91-20631.22-33433.280.461.010.000755.66
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:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jul 2019 (-0.82%)
2018105 Feb 2018 (1.8%)
2015104 Feb 2015 (4.83%)
2014119 Dec 2014 (1.18%)
2013123 Dec 2013 (-9.75%)
2012108 May 2012 (5.94%)
2010106 May 2010 (-1.12%)
2008119 Feb 2008 (3.07%)
2007219 Mar 2007 (-1.98%), 07 Jun 2007 (-0.33%)
2006106 Jun 2006 (18.66%)
2004125 Feb 2004 (0.95%)
2003114 Feb 2003 (-5.39%)
2002226 Mar 2002 (1.19%), 20 Sep 2002 (5.55%)
1997103 Sep 1997 (0.8%)

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
atrnil25.561041851881044.4424309.0551594.23-9028.71-15198.462.692.150.0645788.08
atrtrail24.1149778.661961331.5821711.7651594.23-6191.69-15198.463.511.620.0342619.93
atrnil313.72-7497.091841422.2233754.9150897.52-10179.77-25797.123.320.95-0.0043-416.5
200trail31.46-6326.62451920.839251.5911301.29-2767.61-3953.063.340.88-0.011-263.61
200nil31.54-9910.012451920.839251.5911301.29-2956.21-3953.063.130.82-0.017-412.92
200trail21.36-13651.4525619246450.957867.03-2755.64-3953.062.340.74-0.028-546.06
atrtrail34.53-24134.051951426.3212766.8627970.59-6283.45-15198.462.030.73-0.026-1270.21
atrtrail-14.53-24134.051951426.3212766.8627970.59-6283.45-15198.462.030.73-0.026-1270.21
200nil21.36-17522.4825619246450.957867.03-2959.38-3993.72.180.69-0.035-700.9
200trail-12.04-21494.582442016.677821.69438.62-2639.05-3953.062.960.59-0.045-895.61

In the table above, row 1 shows the best exit criterion. Profit factor is 2.15. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 2.89%, which is very good. Sharpe Ratio is 0.064, 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:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019129 Jul 2019 (-3.3%)
2018205 Feb 2018 (7.48%), 15 Feb 2018 (8.26%)
2015104 Feb 2015 (7.83%)
2014119 Dec 2014 (-4.21%)
2013123 Dec 2013 (-3.44%)
2012108 May 2012 (11.13%)
2010106 May 2010 (7.67%)
2008119 Feb 2008 (16.97%)
2007219 Mar 2007 (-7.6%), 07 Jun 2007 (-4.76%)
2006106 Jun 2006 (25.8%)
2004225 Feb 2004 (-5.59%), 10 Mar 2004 (-4.6%)
2003114 Feb 2003 (-4.18%)
2002226 Mar 2002 (-4.31%), 20 Sep 2002 (12.12%)
1997103 Sep 1997 (-3.15%)



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