Study: Buy GODFRYPHLP when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when there is Golden 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: 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
113427.44221111504008.0218259.86-2787.34-10379.021.441.440.024610.34
230479.4522121054.555556.4214208.31-3619.76-11159.521.541.840.0481385.43
3-26432.542291340.915313.6610662.06-5711.96-13009.190.930.64-0.036-1201.48
4-33840.222281436.365506.5711505.62-5563.77-14941.730.990.57-0.045-1538.19
5-67409.012261627.275598.3112985.31-6312.43-14588.650.890.33-0.088-3064.05
6-88413.312251722.736697.5116359.55-7170.64-19021.280.930.27-0.11-4018.79
7-97783.732251722.736635.179053.65-7703.5-23730.50.860.25-0.11-4444.72
8-1055912251722.738263.3713448.01-8641.63-28113.480.960.28-0.1-4799.59
9-75998.162281436.367771.4113994.81-9869.24-26510.640.790.45-0.069-3454.46
10-95999.122281436.366447.5912023.28-10541.42-27631.210.610.35-0.09-4363.6
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
atrtrail-15.2137895.432491537.512525.9877905.86-4989.22-8632.252.511.510.021578.98
atrtrail34.8426477.82259163612249.2248146.87-5235.32-8926.772.341.320.0181059.11
atrtrail24.3614657.12259163610935.8132097.91-5235.32-8926.772.091.170.012586.28
atrnil25.96-7413.33257182817489.6332097.91-7213.38-10500.822.420.94-0.0053-296.53
atrnil37.6-13115.87255202026690.7948146.87-7328.49-10500.823.640.91-0.0075-524.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018118 Dec 2018 (-3.54%)
2017115 May 2017 (-2.45%)
2016106 Sep 2016 (2.74%)
2015209 Jan 2015 (-2.04%), 19 Aug 2015 (-4.32%)
2014125 Feb 2014 (-3.71%)
2013130 Jan 2013 (-2.72%)
2012220 Apr 2012 (-4.15%), 23 Apr 2012 (1.56%)
2011125 Apr 2011 (-0.06%)
2010221 Jul 2010 (-1.7%), 01 Dec 2010 (-3.13%)
2009118 Jun 2009 (38.95%)
2008320 Jun 2008 (-2.47%), 23 Jun 2008 (-2.44%), 11 Sep 2008 (-0.9%)
2007315 Jan 2007 (1.05%), 26 Apr 2007 (4.42%), 03 Oct 2007 (-3.6%)
2004113 Sep 2004 (0.68%)
2003111 Jul 2003 (1.93%)
2001111 Dec 2001 (4.26%)
2000126 Dec 2000 (0.77%)
1997131 Jan 1997 (-0.2%)



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