Study: Buy CESC when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy CESC when there is Golden Cross (50 DMA > 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy CESC 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
158580.831712570.596149.9319183.67-3043.67-6343.392.024.850.113445.93
231837.421771041.189848.3321640.9-3710.09-8370.262.651.860.0471872.79
341288.99178947.0611040.9532653.06-5226.51-13884.792.111.880.0452428.76
451128.03178947.0613415.324897.96-6243.82-13359.592.151.910.0523007.53
519218.31178947.0612907.7440428.06-9338.18-19235.191.381.230.0151130.49
617663.621771041.1815901.7857959.18-9364.88-18181.821.71.190.0111039.04
754333.85179852.9415584.7373877.55-10741.1-17703.351.451.630.0313196.11
876114.89179852.9417816.7688163.27-10529.49-19648.051.691.90.0384477.35
979154.36178947.0618839.5685714.29-7951.34-21449.362.372.110.0414656.14
10118875178947.0623764.6872244.9-7915.8-21698.7732.670.0636992.66

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.85. Strategy is very good and impressively bullish. Percentage of profitable trades is 70.59%, which is good. Average return per trade is 1.72%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CESC Performance, X=1, Profit Factor:4.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Jul 2019 (2.19%)
2018105 Jun 2018 (2.4%)
2016131 May 2016 (-0.38%)
2015115 Dec 2015 (-3.17%)
2013113 Jun 2013 (6.65%)
2012103 Apr 2012 (0.4%)
2011107 Sep 2011 (-1.2%)
2009101 Jun 2009 (2.91%)
2006125 Aug 2006 (1.4%)
2004105 Oct 2004 (1.62%)
2003208 Jan 2003 (0.72%), 30 May 2003 (9.59%)
2002124 May 2002 (0.26%)
2001108 Jan 2001 (-1.23%)
1999208 Mar 1999 (-1.63%), 15 Jul 1999 (4.52%)
1998130 Apr 1998 (4.24%)

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-1158580.831712570.596149.9319183.67-3043.67-6343.392.024.850.113445.93
atrnil27.09-530.332281436.3617878.0326255.79-10253.9-16188.81.741-0.00034-24.11
atrtrail-15.3-17452.89206143015087.1468845.89-7712.55-14420.131.960.84-0.01-872.64
atrtrail24.64-39662.392271531.829997.2223058.38-7309.53-14420.131.370.64-0.035-1802.84
atrnil38.4-70465.15204162023576.2133473.99-10298.13-16188.82.290.57-0.05-3523.26
atrtrail34.95-52824.7820614309191.8233473.99-7712.55-14420.131.190.51-0.05-2641.24

In the table above, row 1 shows the best exit criterion. Profit factor is 4.85. Strategy is very good and impressively bullish. Percentage of profitable trades is 70.59%, which is good. Average return per trade is 1.72%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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