Study: Buy GODFRYPHLP when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when below 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
161498.4101574456.444514.5325591.27-4450.68-15897.441.011.310.019608.9
2130487101564555.456949.145239.54-5748.06-20631.231.211.50.0291291.95
3161493101574456.448461.7244585.99-7291.47-33837.211.161.50.0291598.94
4187487101574456.449928.2764118.9-8600.55-29132.741.151.50.0291856.31
5196729101574456.4410887.1154777.07-9632.63-35888.011.131.460.0291947.81
6220030101534852.4812332.1951507.43-9032.84-37831.591.371.510.0312178.51
7277878101604159.4111843.1261146.5-10553.9-35897.21.121.640.0372751.26
8309565101515050.515175.7358137.35-9287.94-33295.161.631.670.0393065
931889610053475314587.4953354.56-9664.71-34814.191.511.70.043188.96
1040637810057435714339.5366752.99-9557.55-37259.411.51.990.0514063.78
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-15.6330869173759843.3513896.8131741-7259.09-20556.771.911.470.0251912.54
atrtrail34.93299794173759843.3513482.4741282.64-7259.09-20556.771.861.420.0281732.91
atrnil27.18318100144608441.6718097.4439457.36-9139.84-20556.771.981.410.0322209.03
atrtrail24.22268513173789545.0912381.3134728.42-7339.25-20556.771.691.390.0281552.1
atrnil310.76316288138459332.6126233.3555476.54-9292.61-20556.772.821.370.0272291.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 43.35%, which is not acceptable. Avoid this strategy. Average return per trade is 0.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019103 Jun 2019 (-3.21%)
20181825 Jan 2018 (-2.98%), 31 Jan 2018 (-3.09%), 02 Feb 2018 (-3.99%), 06 Feb 2018 (2.29%), 07 Mar 2018 (8.24%), 23 Mar 2018 (8.73%), 10 May 2018 (-2.79%), 14 May 2018 (-2.76%), 18 May 2018 (-2.36%), 23 May 2018 (-3.17%), 29 May 2018 (-3.11%), 04 Jun 2018 (-0.52%), 16 Jul 2018 (-3.28%), 18 Jul 2018 (14.68%), 21 Sep 2018 (-5.79%), 25 Sep 2018 (-5.89%), 04 Oct 2018 (-6.59%), 08 Oct 2018 (0.56%)
20171006 Mar 2017 (24.56%), 18 Apr 2017 (6.76%), 02 Aug 2017 (-3.83%), 03 Aug 2017 (-3.87%), 08 Aug 2017 (-4.08%), 09 Aug 2017 (-4.24%), 10 Aug 2017 (-5.06%), 25 Sep 2017 (3.95%), 07 Nov 2017 (2.01%), 06 Dec 2017 (0.39%)
2016726 Apr 2016 (-5.11%), 28 Apr 2016 (-6.68%), 05 May 2016 (1.18%), 24 Jun 2016 (6.18%), 16 Nov 2016 (-8.27%), 20 Dec 2016 (-4.42%), 26 Dec 2016 (17.19%)
2015906 Feb 2015 (-3.91%), 09 Feb 2015 (-3.02%), 24 Feb 2015 (-3.54%), 26 Feb 2015 (-1.59%), 20 Mar 2015 (-3.63%), 25 Mar 2015 (-3.27%), 27 Mar 2015 (21.39%), 05 Jun 2015 (-3.36%), 29 Jun 2015 (20.9%)
2014423 Jun 2014 (0.34%), 08 Jul 2014 (-3.16%), 10 Jul 2014 (7.27%), 16 Dec 2014 (4.56%)
20131506 Feb 2013 (-1.28%), 15 Feb 2013 (-1.56%), 21 Feb 2013 (-2.4%), 04 Mar 2013 (-1.13%), 21 Mar 2013 (-3.26%), 25 Mar 2013 (-3.56%), 01 Apr 2013 (-4.05%), 15 Apr 2013 (-4.4%), 18 Apr 2013 (-4.69%), 04 Jun 2013 (-2.76%), 10 Jun 2013 (1.48%), 19 Jul 2013 (9.55%), 30 Sep 2013 (3.26%), 11 Nov 2013 (-2.65%), 18 Nov 2013 (2.85%)
2012401 Mar 2012 (5.69%), 06 Jun 2012 (10.55%), 06 Nov 2012 (-2.02%), 19 Nov 2012 (-0.84%)
2011409 Feb 2011 (-1.67%), 16 Feb 2011 (10.91%), 19 Dec 2011 (-4.7%), 20 Dec 2011 (3.02%)
2010717 Jun 2010 (0.76%), 05 Aug 2010 (-2.21%), 06 Aug 2010 (-0.32%), 13 Sep 2010 (-0.16%), 04 Oct 2010 (0.08%), 14 Oct 2010 (-2.2%), 29 Oct 2010 (13.67%)
2009523 Jan 2009 (8.94%), 11 Feb 2009 (2.45%), 24 Feb 2009 (-5.73%), 03 Mar 2009 (-5.53%), 17 Mar 2009 (19.0%)
20081221 Jan 2008 (-10.28%), 04 Mar 2008 (-4.05%), 07 Mar 2008 (-5.6%), 27 Jun 2008 (-3.02%), 30 Jun 2008 (-3.54%), 06 Oct 2008 (-4.59%), 07 Oct 2008 (-4.83%), 08 Oct 2008 (-5.7%), 10 Oct 2008 (0.93%), 14 Nov 2008 (-8.34%), 18 Nov 2008 (-9.42%), 21 Nov 2008 (-0.91%)
2007402 Mar 2007 (-4.81%), 07 Mar 2007 (4.75%), 01 Aug 2007 (-2.32%), 19 Oct 2007 (10.77%)
2006406 Jun 2006 (-6.26%), 08 Jun 2006 (0.76%), 15 Jun 2006 (14.3%), 22 Sep 2006 (3.28%)
2004503 Mar 2004 (-1.92%), 15 Mar 2004 (-2.92%), 18 Mar 2004 (-1.82%), 22 Mar 2004 (0.93%), 17 May 2004 (-1.16%)
2003527 Jan 2003 (0.21%), 11 Feb 2003 (-1.92%), 12 Feb 2003 (-1.87%), 17 Mar 2003 (1.13%), 31 Mar 2003 (3.84%)
2002910 Apr 2002 (1.44%), 24 Apr 2002 (7.73%), 21 May 2002 (-3.79%), 17 Jul 2002 (1.59%), 29 Jul 2002 (-3.11%), 13 Aug 2002 (-0.97%), 28 Aug 2002 (1.79%), 19 Sep 2002 (-1.43%), 07 Oct 2002 (14.06%)
20011227 Feb 2001 (-6.24%), 28 Feb 2001 (3.23%), 13 Mar 2001 (5.48%), 23 Mar 2001 (-0.0%), 02 Apr 2001 (0.76%), 25 Apr 2001 (-5.0%), 08 May 2001 (-3.32%), 14 May 2001 (3.48%), 15 Jun 2001 (-3.8%), 18 Jun 2001 (-4.54%), 22 Jun 2001 (10.55%), 17 Sep 2001 (15.75%)
20001324 Jan 2000 (-2.17%), 01 Feb 2000 (-4.6%), 08 Feb 2000 (-0.61%), 14 Feb 2000 (7.71%), 06 Mar 2000 (-8.41%), 14 Mar 2000 (-7.73%), 22 Mar 2000 (-7.03%), 24 Apr 2000 (5.16%), 03 May 2000 (4.89%), 14 Aug 2000 (4.35%), 04 Sep 2000 (4.11%), 26 Sep 2000 (0.99%), 10 Oct 2000 (2.83%)
1999722 Jun 1999 (-2.92%), 25 Jun 1999 (-4.23%), 28 Jun 1999 (65.87%), 01 Nov 1999 (-5.02%), 02 Nov 1999 (3.61%), 16 Nov 1999 (4.58%), 21 Dec 1999 (1.8%)
1998308 Jun 1998 (2.13%), 16 Jun 1998 (0.51%), 23 Jun 1998 (18.96%)
1997131 Mar 1997 (3.02%)
19961426 Mar 1996 (8.97%), 10 May 1996 (5.49%), 21 May 1996 (-0.24%), 28 May 1996 (11.81%), 02 Jul 1996 (-3.29%), 04 Jul 1996 (-3.16%), 08 Jul 1996 (-3.55%), 15 Jul 1996 (5.36%), 13 Aug 1996 (-3.43%), 20 Aug 1996 (-0.47%), 26 Aug 1996 (8.12%), 07 Nov 1996 (0.03%), 03 Dec 1996 (-3.66%), 04 Dec 1996 (0.7%)



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