Study: Buy GODFRYPHLP when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-1500723101343.481775.912907.61-2520.47-5657.890.70.54-0.053-652.48
2-14092.7223111247.833700.5613285.71-4566.57-18181.820.810.74-0.021-612.73
3-11847.732381534.786531.3713593.28-4273.25-23366.481.530.82-0.014-515.12
4-39810.742381534.787049.3112614.05-6413.68-26690.341.10.59-0.04-1730.9
5-73730.832391439.135861.8418978.1-9034.81-23863.640.650.42-0.068-3205.69
6-96607.132381534.786057.8718544.71-9671.34-34159.780.630.33-0.082-4200.31
7-1025272391439.136982.722766.92-11812.23-41184.570.590.38-0.071-4457.69
8-1109192391439.136952.8523812.03-12392.45-51267.220.560.36-0.068-4822.55
9-14642823101343.485236.8520518.8-15292.01-62217.630.340.26-0.082-6366.42
10-14045523101343.486874.8118488.72-16092.52-57520.660.430.33-0.078-6106.72
Although, strategy looks good but profit factor on day 1 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
atrnil27.58-622.992481633.3313787.7220954.31-6932.8-11258.521.990.99-0.00053-25.96
atrnil38.46-10775.29246182519412.5431431.46-7069.48-11258.522.750.92-0.0077-448.97
atrtrail24.33-39782.842762122.2211630.2218368.53-5217.34-11258.522.230.64-0.04-1473.44
50trail21.95-38074.313782921.626059.097076.26-2984.38-3931.162.030.56-0.056-1029.04
50trail32.23-40768.323562917.147629.7810614.39-2984.38-3931.162.560.53-0.056-1164.81
atrtrail34.73-53103.52652119.2311292.1320300.51-5217.34-11258.522.160.52-0.058-2042.44
50nil32.61-50186.073342912.1210276.3910862.37-3147.99-3931.163.260.45-0.071-1520.79
50nil22.15-48423.53462817.656607.477241.58-3145.3-3931.162.10.45-0.079-1424.22
atrtrail-15.54-66695.092642215.3811113.6321235.35-5052.26-11258.522.20.4-0.079-2565.2
50trail-12.81-68969.52312296.457910.0315068.18-2923.78-3931.162.710.19-0.14-2224.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.013%, 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:0.994

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 May 2019 (-3.51%)
2017129 May 2017 (9.18%)
2015131 Aug 2015 (10.48%)
2014129 Apr 2014 (-3.31%)
2012122 Jun 2012 (-3.85%)
2011113 Jan 2011 (-4.74%)
2010606 Feb 2010 (-3.44%), 26 Mar 2010 (7.14%), 05 May 2010 (4.06%), 07 May 2010 (-2.4%), 14 May 2010 (-3.07%), 29 Jul 2010 (-2.31%)
2009119 Nov 2009 (8.46%)
2008220 Jun 2008 (-2.47%), 25 Sep 2008 (-2.75%)
2007205 Sep 2007 (6.77%), 15 Oct 2007 (-4.5%)
2005117 Feb 2005 (-3.47%)
2004102 Nov 2004 (3.54%)
2003312 Sep 2003 (-3.15%), 04 Nov 2003 (-2.87%), 10 Nov 2003 (5.51%)
2002115 Jan 2002 (-3.99%)
1999102 Dec 1999 (-5.63%)



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