Study: Sell GODFRYPHLP when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when there is Dead 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: 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
12436.5522121054.554059.9110464.39-4628.24-15483.870.881.050.004110.75
2-23282.46221111504971.415862.75-7087.99-21198.330.70.7-0.027-1058.29
3-55038.2221111504672.5119680.23-9675.99-24303.140.480.48-0.05-2501.74
4-75059.182281436.365468.8218629.72-8486.41-32585.170.640.37-0.065-3411.78
5-76925.392281436.366957.2620174.26-9470.24-32990.480.730.42-0.063-3496.61
6-61026.712291340.914888.921247.11-8078.98-33923.450.610.42-0.058-2773.94
7-59089.9522101245.456594.4217490.38-10419.51-35559.970.630.53-0.047-2685.91
8-1283022291340.913879.5415396.46-12555.21-39291.860.310.21-0.1-5831.9
9-1136852281436.367005.9820538.88-12123.8-30405.690.580.33-0.093-5167.51
10-1030542281436.366641.9419045.42-11156.38-31690.440.60.34-0.089-4684.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.05. 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 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.055%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.004, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
atrnil311.6914298.242662023.0826712.3941611.17-7298.81-12722.353.661.10.0076549.93
atrtrail23.629702.632671926.9215682.1827740.78-5266.98-12722.352.981.10.0073373.18
nilnil-112436.5522121054.554059.9110464.39-4628.24-15483.870.881.050.004110.75
atrnil26.19-9894.972671926.9218048.1827740.78-7170.12-12722.352.520.93-0.0068-380.58
atrtrail34.04-21329.992662023.0813963.8841611.17-5255.66-12722.352.660.8-0.016-820.38
atrtrail-14.12-58347.52662023.087794.315866.3-5255.66-12722.351.480.44-0.072-2244.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 23.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0076, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017114 Sep 2017 (11.11%)
2016202 Jun 2016 (-4.71%), 28 Dec 2016 (-4.83%)
2015115 Jan 2015 (-3.18%)
2014130 Jul 2014 (-3.03%)
2013128 Feb 2013 (8.77%)
2012316 Jan 2012 (-3.7%), 17 Jan 2012 (-3.77%), 21 Dec 2012 (10.03%)
2011113 Apr 2011 (-3.12%)
2010412 Jul 2010 (-1.83%), 13 Jul 2010 (-2.04%), 06 Aug 2010 (-2.48%), 09 Aug 2010 (-2.47%)
2008314 Mar 2008 (-4.87%), 01 Jul 2008 (-3.86%), 22 Oct 2008 (20.81%)
2007224 Apr 2007 (-3.01%), 05 Sep 2007 (-3.38%)
2006114 Jul 2006 (12.83%)
2004102 Apr 2004 (-3.45%)
2002109 Aug 2002 (-3.74%)
2001116 Apr 2001 (-6.36%)
1999209 Dec 1999 (-5.79%), 13 Dec 1999 (16.58%)
1996128 Mar 1996 (-3.35%)



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