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

home > technical-strategy > godfryphlp > 51

In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when ADX is Trending and 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
13353.8574357.144545.110464.39-4942.18-8919.290.921.230.017479.12
2-11424.1573442.866592.5215862.75-7800.43-15505.320.850.63-0.035-1632.02
3-6831.4473442.868795.7419680.23-8304.67-20540.821.060.79-0.017-975.92
4-26056.572528.577114.6813689.03-8057.17-21860.270.880.35-0.075-3722.36
5-25983.4572528.5710323.6420174.26-9326.14-21353.361.110.44-0.065-3711.92
6-32046.9472528.571565.612389.29-7035.63-15404.690.220.089-0.17-4578.13
7-36577.9472528.577155.477778.68-10177.77-22766.920.70.28-0.1-5225.42
8-61018.3471614.293080.933080.93-10683.21-23812.030.290.048-0.2-8716.91
9-63945.1971614.292371.332371.33-11052.75-20518.80.210.036-0.26-9135.03
10-63688.21707000-9098.32-18488.7200-0.33-9098.32

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.23. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. 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
atrtrail22.8910272.2893633.3315782.3927740.78-6179.15-7548.062.551.280.0191141.36
nilnil-113353.8574357.144545.110464.39-4942.18-8919.290.921.230.017479.12
atrtrail33.33-385.7392722.2220864.9341611.17-6016.51-7548.063.470.99-0.0006-42.86
atrnil23.44-1764.3192722.2223614.2527740.78-6998.97-9650.173.370.96-0.0031-196.03
atrnil34.11-17125.4991811.1141611.1741611.17-7342.08-9743.865.670.71-0.025-1902.83
atrtrail-13.56-37403.2492722.222356.184593.66-6016.51-7548.060.390.11-0.22-4155.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016128 Dec 2016 (-3.61%)
2012216 Jan 2012 (-3.7%), 17 Jan 2012 (-3.77%)
2010206 Aug 2010 (-2.48%), 09 Aug 2010 (0.06%)
2008314 Mar 2008 (9.74%), 01 Jul 2008 (-1.59%), 22 Oct 2008 (13.87%)
2007105 Sep 2007 (-3.38%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play