Study: Sell GODFRYPHLP when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GODFRYPHLP 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
118362.6645291664.442589.310154.95-3545.45-16606.50.731.320.02408.06
242284.1645242153.334940.8922175.61-3633.2-10990.771.361.550.033939.65
343821.1345252055.565695.9620717.13-4928.89-16397.821.161.440.028973.8
492829.5345242153.338292.8827994.46-5057.12-15884.481.641.870.0482062.88
511168945242153.338623.9623078.23-4537.41-18526.321.92.170.0582481.98
612654545291664.447848.630985.44-6316.52-22456.141.242.250.062812.11
781688.6445261957.788387.3130849.98-7177.97-24561.41.171.60.0351815.3
811340344261859.0910135.1331628.85-8339.48-28685.261.221.760.0452577.34
912545844251956.8211845.5930291.23-8983.24-46992.031.321.740.0432851.32
1052621.6144251956.8211914.1530511.34-12906.95-66752.990.921.210.0151195.95
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GODFRYPHLP Performance, X=6, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jun 2019 (3.15%)
2018121 Aug 2018 (-3.36%)
2017112 Apr 2017 (-1.31%)
2015130 Jan 2015 (15.49%)
2014617 Jun 2014 (1.45%), 05 Aug 2014 (3.27%), 12 Sep 2014 (1.67%), 30 Oct 2014 (-0.98%), 02 Dec 2014 (-0.86%), 31 Dec 2014 (4.34%)
2013416 Jan 2013 (-0.05%), 01 Feb 2013 (2.73%), 31 May 2013 (13.76%), 03 Dec 2013 (0.9%)
2012415 Feb 2012 (1.26%), 14 Mar 2012 (-4.58%), 05 Jun 2012 (1.44%), 07 Nov 2012 (1.4%)
2011203 Feb 2011 (2.08%), 16 Mar 2011 (-0.31%)
2010216 Jun 2010 (-2.15%), 08 Jul 2010 (-3.45%)
2008429 Jan 2008 (5.93%), 16 Apr 2008 (-3.55%), 26 May 2008 (-2.97%), 23 Jun 2008 (11.24%)
2007202 Aug 2007 (2.7%), 13 Nov 2007 (-3.66%)
2006222 Jun 2006 (-5.69%), 10 Jul 2006 (6.19%)
2004503 Mar 2004 (0.17%), 19 Apr 2004 (-3.94%), 12 Jul 2004 (0.4%), 27 Jul 2004 (1.8%), 10 Aug 2004 (0.94%)
2003112 Jun 2003 (-2.46%)
2002316 Jul 2002 (0.22%), 06 Aug 2002 (3.46%), 16 Oct 2002 (6.09%)
2001107 Mar 2001 (2.88%)
2000129 Nov 2000 (3.18%)
1999222 Jun 1999 (1.39%), 01 Dec 1999 (8.15%)
1998108 Jun 1998 (6.14%)
1996126 Mar 1996 (-11.23%)

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
200trail-12.91-6359.1885216424.717851.9634599.06-2675.79-3941.872.930.96-0.0025-74.81
atrnil26.66-26704.3353163730.1916220.0241715.71-7735.8-13497.12.10.91-0.0088-503.86
atrtrail24.65-30274.556018423011105.9941715.71-5480.53-13497.12.030.87-0.011-504.58
200nil32.21-36404.2984176720.249332.3611831.06-2911.26-39873.210.81-0.018-433.38
200trail32-32992.2185216424.716583.7211831.06-2675.79-3941.872.460.81-0.018-388.14
200trail21.77-38331.7587256228.745247.917974-2734.35-3951.061.920.77-0.024-440.59
atrtrail-15.38-55858.85601842309684.6434908.49-5480.53-13497.11.770.76-0.021-930.98
atrtrail34.88-59493.57601842309482.7224736.57-5480.53-13497.11.730.74-0.024-991.56
atrnil312.1-80016.744884016.6728517.3262573.57-7703.88-13497.13.70.74-0.023-1667.02
200nil21.85-52392.1286226425.586150.287974-2932.78-3978.492.10.72-0.031-609.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 24.71%, which is not acceptable. Avoid this strategy. Average return per trade is -0.037%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:0.963

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jun 2019 (-1.14%)
2018221 Aug 2018 (0.15%), 28 Aug 2018 (-1.13%)
2017312 Apr 2017 (-1.87%), 17 Apr 2017 (1.52%), 21 Apr 2017 (-1.32%)
2015230 Jan 2015 (-1.07%), 04 Feb 2015 (17.3%)
20141217 Jun 2014 (-1.38%), 18 Jun 2014 (-1.56%), 24 Jun 2014 (0.19%), 05 Aug 2014 (0.58%), 12 Sep 2014 (2.69%), 30 Oct 2014 (-1.84%), 10 Nov 2014 (-1.82%), 11 Nov 2014 (-1.28%), 13 Nov 2014 (-1.16%), 02 Dec 2014 (-1.36%), 09 Dec 2014 (2.99%), 31 Dec 2014 (4.91%)
2013716 Jan 2013 (-1.19%), 17 Jan 2013 (-1.8%), 21 Jan 2013 (-1.0%), 24 Jan 2013 (-1.2%), 01 Feb 2013 (3.0%), 31 May 2013 (-1.63%), 03 Dec 2013 (-1.21%)
2012815 Feb 2012 (-1.74%), 17 Feb 2012 (-1.41%), 22 Feb 2012 (3.16%), 14 Mar 2012 (-1.01%), 05 Jun 2012 (0.28%), 07 Nov 2012 (-1.63%), 08 Nov 2012 (-1.47%), 13 Nov 2012 (1.56%)
2011403 Feb 2011 (-1.05%), 04 Feb 2011 (-1.18%), 16 Mar 2011 (-1.24%), 28 Mar 2011 (-1.44%)
2010316 Jun 2010 (-0.51%), 28 Jun 2010 (-0.67%), 08 Jul 2010 (-1.69%)
2008529 Jan 2008 (-1.79%), 16 Apr 2008 (-1.68%), 17 Apr 2008 (-1.37%), 26 May 2008 (-1.51%), 23 Jun 2008 (10.84%)
2007402 Aug 2007 (-1.43%), 03 Aug 2007 (1.13%), 13 Nov 2007 (-1.34%), 20 Nov 2007 (-1.08%)
2006622 Jun 2006 (-1.31%), 27 Jun 2006 (-1.73%), 10 Jul 2006 (-1.14%), 11 Jul 2006 (-1.34%), 12 Jul 2006 (-1.82%), 13 Jul 2006 (6.78%)
20041003 Mar 2004 (-0.83%), 08 Mar 2004 (-1.26%), 09 Mar 2004 (2.11%), 19 Apr 2004 (-1.73%), 12 Jul 2004 (-1.79%), 15 Jul 2004 (-1.97%), 23 Jul 2004 (-1.36%), 27 Jul 2004 (-1.0%), 11 Aug 2004 (-0.33%), 17 Aug 2004 (-1.17%)
2003312 Jun 2003 (-1.93%), 17 Jun 2003 (-1.14%), 18 Jun 2003 (-1.1%)
2002516 Jul 2002 (0.59%), 26 Jul 2002 (2.73%), 06 Aug 2002 (1.59%), 16 Oct 2002 (-1.46%), 18 Oct 2002 (-1.58%)
2001107 Mar 2001 (8.86%)
2000429 Nov 2000 (-1.06%), 04 Dec 2000 (-1.08%), 05 Dec 2000 (-1.2%), 06 Dec 2000 (-0.95%)
1999222 Jun 1999 (9.46%), 01 Dec 1999 (-1.89%)
1998108 Jun 1998 (-1.28%)
1996226 Mar 1996 (-1.0%), 27 Mar 1996 (-1.0%)



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