Study: Sell GODFRYPHLP when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when below 200 SMA and near 50 SMA and below 50 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
142582.1757322556.143753.5520077.49-3101.25-11418.171.211.550.032747.06
240241.6657312654.395448.7428118.81-4948.82-23705.831.11.310.019705.99
345953.3157381966.675699.2927981.06-8979.98-37483.480.631.270.017806.2
492352.1457391868.426747.8128773.14-9489.57-42914.870.711.540.0321620.21
580447.157381966.677274.9928910.1-10315.93-41773.440.711.410.0261411.35
688470.4657352261.48017.427636.68-8733.57-39042.420.921.460.0291552.11
773638.4757362163.168171.5927963.84-10501.84-42489.710.781.330.0221291.9
899263.7757362163.168450.3333651.51-9759.44-41608.730.871.480.0291741.47
910412957362163.169339.837332.34-11052.58-48713.970.851.450.0271826.82
1066901.7857372064.918805.7938629.98-12945.63-68118.360.681.260.0161173.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.55. 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 56.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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-1142582.1757322556.143753.5520077.49-3101.25-11418.171.211.550.032747.06
atrnil31263767.1753153828.323708.634740.66-7680.57-12177.073.091.220.0171203.15
atrnil27.9759778.2358223637.9315286.3723160.44-7681.17-12177.071.991.220.0191030.66
50trail-13.2732322.8688276130.687254.8932747.83-2681.3-3960.322.711.20.012367.31
atrtrail24.839940.6171314043.668224.4523160.44-5375.43-11986.161.531.190.014562.54
atrtrail35.2529876.0571314043.667899.7934740.66-5375.43-11986.161.471.140.0093420.79
50trail32.518422.4488295932.956167.9611754-2719.46-3960.322.271.110.0091209.35
50trail22.1212608.2688325636.365340.227836-2826.41-3960.321.891.080.0071143.28
50nil33.375885.2281216025.939103.6211754-3088.18-3960.322.951.030.002872.66
50nil22.364862.9385295634.126139.227836-3092.4-3960.321.991.030.002757.21
atrtrail-15.944984.9471314043.667096.8532108.4-5375.43-11986.161.321.020.001770.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 56.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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.
GODFRYPHLP Performance, X=1, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018317 Jan 2018 (1.25%), 03 May 2018 (-0.09%), 21 Sep 2018 (6.59%)
2017506 Jan 2017 (-0.21%), 18 Apr 2017 (0.6%), 11 Oct 2017 (0.02%), 01 Nov 2017 (0.78%), 23 Nov 2017 (0.58%)
2015205 Feb 2015 (10.04%), 04 Jun 2015 (1.72%)
2014717 Jan 2014 (2.3%), 04 Feb 2014 (-5.71%), 08 Aug 2014 (-1.59%), 16 Sep 2014 (0.86%), 10 Oct 2014 (0.3%), 28 Oct 2014 (-1.04%), 22 Dec 2014 (1.14%)
2013623 Jan 2013 (-1.06%), 27 Jun 2013 (-0.88%), 30 Jul 2013 (-4.74%), 05 Sep 2013 (-0.75%), 15 Oct 2013 (0.24%), 29 Nov 2013 (-2.84%)
2012102 Mar 2012 (-0.74%)
2010308 Jul 2010 (-1.52%), 24 Sep 2010 (1.78%), 08 Oct 2010 (1.92%)
2009218 Feb 2009 (0.42%), 27 Mar 2009 (-1.17%)
2008331 Mar 2008 (-0.66%), 23 Jun 2008 (-0.23%), 22 Jul 2008 (0.56%)
2006309 Oct 2006 (0.54%), 21 Oct 2006 (3.13%), 10 Nov 2006 (-1.04%)
2004412 Apr 2004 (-0.79%), 11 May 2004 (-2.01%), 25 May 2004 (1.4%), 01 Jul 2004 (2.03%)
2003222 Jan 2003 (0.61%), 05 May 2003 (0.31%)
2002416 Sep 2002 (4.2%), 23 Oct 2002 (1.73%), 25 Nov 2002 (1.62%), 31 Dec 2002 (0.99%)
2001206 Jul 2001 (0.88%), 16 Aug 2001 (4.61%)
2000307 Jun 2000 (-1.81%), 17 Aug 2000 (-1.8%), 09 Nov 2000 (-3.5%)
1996704 Apr 1996 (-0.95%), 15 May 1996 (-0.22%), 21 Jun 1996 (2.99%), 10 Sep 1996 (1.73%), 25 Sep 1996 (-1.9%), 11 Nov 1996 (2.19%), 28 Nov 1996 (-1.52%)



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