Study: Buy GODFRYPHLP when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when near 200 SMA and above 200 SMA" 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
1105897603921654764.8126758.49-3806.23-13095.121.252.320.0551764.95
2147395603921656157.0931005.54-4415.8-15936.251.392.590.0672456.58
316698660402066.677189.0742557.4-6028.85-29702.971.192.380.0562783.1
4178208603624609404.1330973.87-6680.87-36916.551.412.110.0542970.13
597845.5760382263.337948.9125474.99-9282.41-47270.160.861.480.0291630.76
613248460372361.679868.3829912.28-10115.05-58514.850.981.570.0322208.06
711252660352558.3310379.7131612.44-10030.57-53691.651.031.450.0281875.43
82212996036246012533.6642543.86-9579.69-47100.421.311.960.0513688.32
92852386036246014582.657397.66-9988.99-47949.081.462.190.0584753.96
102399146036246013377.1546198.83-10069.31-51612.451.331.990.0513998.57

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 65%, which is good. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GODFRYPHLP Performance, X=2, Profit Factor:2.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018103 Sep 2018 (-2.86%)
2017327 Mar 2017 (2.1%), 11 Apr 2017 (-2.31%), 18 Jul 2017 (0.09%)
2016212 Jul 2016 (12.4%), 03 Aug 2016 (6.58%)
2014416 Jun 2014 (-0.58%), 07 Jul 2014 (-6.4%), 31 Oct 2014 (3.23%), 26 Nov 2014 (1.73%)
2013128 Jan 2013 (0.47%)
2012717 Jan 2012 (5.56%), 07 Feb 2012 (0.99%), 31 May 2012 (0.68%), 23 Jul 2012 (4.51%), 04 Sep 2012 (0.88%), 17 Sep 2012 (-0.09%), 09 Nov 2012 (-0.41%)
2011601 Feb 2011 (-1.03%), 10 Mar 2011 (1.12%), 24 Mar 2011 (-0.43%), 11 Apr 2011 (-0.25%), 25 May 2011 (1.61%), 15 Dec 2011 (-3.82%)
2010613 May 2010 (2.22%), 08 Jun 2010 (0.52%), 22 Jun 2010 (0.68%), 09 Jul 2010 (3.23%), 29 Jul 2010 (-0.68%), 02 Nov 2010 (4.38%)
2008405 May 2008 (0.82%), 28 May 2008 (2.24%), 20 Jun 2008 (-0.47%), 30 Sep 2008 (-7.0%)
2007723 Feb 2007 (0.81%), 13 Apr 2007 (3.37%), 31 Jul 2007 (-1.16%), 05 Sep 2007 (6.64%), 16 Oct 2007 (-0.67%), 30 Oct 2007 (3.99%), 15 Nov 2007 (1.24%)
2006226 Jun 2006 (2.07%), 29 Nov 2006 (15.5%)
2004401 Mar 2004 (-1.11%), 21 Apr 2004 (0.87%), 26 Jul 2004 (-2.45%), 20 Aug 2004 (2.68%)
2003222 May 2003 (-3.97%), 13 Jun 2003 (-0.67%)
2002612 Apr 2002 (2.66%), 03 May 2002 (3.64%), 23 May 2002 (4.58%), 20 Jun 2002 (2.69%), 19 Jul 2002 (-2.03%), 10 Oct 2002 (0.55%)
1999215 Jan 1999 (3.83%), 25 Nov 1999 (4.09%)
1998118 Jun 1998 (-7.97%)
1997203 Feb 1997 (2.16%), 18 Feb 1997 (2.64%)

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-12147395603921656157.0931005.54-4415.8-15936.251.392.590.0672456.58
atrnil26.1620216961303149.1814817.3424466.67-7817.77-13542.71.91.830.0593314.25
atrtrail34.7615551072294340.2813147.0530942.51-5250.11-12599.012.51.690.0412159.86
atrnil310.6516512651183335.2923455.0236700.01-7789.83-13542.73.011.640.0433237.76
200nil32.7311489988305834.099822.7311911.76-3099.7-3990.833.171.640.0431305.67
200trail32.3492950.5891316034.078178.9411911.76-2676.61-3980.383.061.580.0381021.43
atrtrail24.3112387772304241.6711399.324466.67-5192.9-12599.012.21.570.0381720.52
200nil22.2688754.6490395143.336371.987941.17-3132.41-3990.832.031.560.043986.16
200trail22.0877732.7892385441.36032.717941.17-2805.74-3980.382.151.510.039844.92
atrtrail-15.7410583972294340.2811434.2648101.05-5250.11-12599.012.181.470.0281469.98
200trail-13.2466944902763308609.8537505.94-2627.33-3980.383.281.40.021743.82

In the table above, row 1 shows the best exit criterion. Profit factor is 2.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 65%, which is good. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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