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

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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 and RSI is below 50" 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
1-5253.0630141646.672781.4713182.42-2762.11-10867.81.010.88-0.0092-175.1
2-18585.22301515503717.8416705-4956.85-12032.260.750.75-0.021-619.51
3-2590.0530191163.334654.5215990.8-8275.09-19489.620.560.97-0.0023-86.34
424911.5130191163.335881.3818811.28-7894.07-15569.430.751.290.021830.38
58960.7301812606911.2118084.98-9620.1-22454.040.721.080.0061298.69
6-813.6130171356.676974.4922484.11-9183.07-19455.780.760.99-0.00057-27.12
721137.16301812607531.6626898.08-9536.06-25909.930.791.180.013704.57
855121.2630191163.337627.6627054.84-8164.02-193750.931.610.0371837.38
921577.5530191163.338706.2834814.19-13076.53-27656.120.671.150.011719.25
10246.9830201066.677865.7837259.41-15706.86-30332.520.510.000128.23
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.6935760.1435102528.5721789.8234740.66-7285.52-10508.192.991.20.0151021.72
atrtrail24.599487.0337132435.149729.6123160.44-4874.91-10411.6221.080.0063256.41
atrnil27.1411708.7535122334.2914804.4223160.44-7214.97-10411.622.051.070.0064334.54
50trail-13.181472.4545123326.677576.1721675.59-2710.35-3880.662.81.020.001132.72
atrtrail35.11469.5137132435.149035.9534740.66-4874.91-10411.621.8510.0002812.69
50trail32.56-1271.145133228.896646.8211754-2739.99-3880.662.430.99-0.0012-28.25
atrtrail-15.57-16464.4137132435.147733.3425693.64-4874.91-10411.621.590.86-0.012-444.98
50nil33.36-14910.594293321.439813.5311754-3128.25-3937.53.140.86-0.014-355.01
50trail22.2-14568.7445143131.115208.917836-2822.37-3880.661.850.83-0.017-323.75
50nil22.41-26635.144123227.276292.387836-3191.99-3937.51.970.74-0.029-605.34

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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018317 Jan 2018 (9.1%), 03 May 2018 (8.99%), 21 Sep 2018 (17.37%)
2017318 Apr 2017 (-4.14%), 11 Oct 2017 (-3.57%), 23 Nov 2017 (-2.84%)
2015104 Jun 2015 (-4.06%)
2014521 Aug 2014 (-2.75%), 16 Sep 2014 (-3.86%), 25 Sep 2014 (-3.51%), 10 Oct 2014 (-2.95%), 22 Dec 2014 (10.5%)
2013723 Jan 2013 (-2.57%), 25 Jan 2013 (-2.66%), 01 Feb 2013 (8.66%), 27 Jun 2013 (-5.25%), 21 Oct 2013 (-2.64%), 28 Oct 2013 (-2.51%), 29 Nov 2013 (-3.62%)
2012102 Mar 2012 (-4.36%)
2008123 Jun 2008 (8.45%)
2006110 Nov 2006 (-4.42%)
2004211 May 2004 (-4.14%), 25 May 2004 (-3.37%)
2003122 Jan 2003 (6.86%)
2002123 Oct 2002 (-4.35%)
2001119 Jul 2001 (15.8%)
2000307 Jun 2000 (-5.21%), 17 Aug 2000 (-4.95%), 28 Aug 2000 (13.39%)
1996520 Sep 1996 (-3.71%), 07 Oct 1996 (-3.38%), 11 Nov 1996 (-2.98%), 22 Nov 1996 (-3.28%), 28 Nov 1996 (9.82%)



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