Study: Buy GODFRYPHLP when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when 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
1-6720.4351292256.864058.3610647.71-5655.13-18723.870.720.95-0.0042-131.77
2-5657.6651312060.785048.6616431.38-8108.31-30191.10.620.97-0.0026-110.93
314565.8251262550.987837.8824087.02-7568.76-28612.721.041.080.0055285.6
4-20531.551252649.027779.6924596.16-8270.15-50885.030.940.9-0.0069-402.58
5-82346.1251282354.97595.8627651.01-12827.4-54260.650.590.72-0.023-1614.63
6-81522.9851252649.029589.7126666.67-12356.37-52263.470.780.75-0.023-1598.49
7-96827.7451213041.1813364.5443428.57-12582.77-51997.181.060.74-0.023-1898.58
8-48758.8851222943.1414105.1151809.52-12381.77-52467.111.140.86-0.011-956.06
9-21542.2951203139.2216906.9449904.76-11602.62-51041.671.460.94-0.0049-422.4
10-67383.2951203139.2215117.5553333.33-11926.92-52302.631.270.82-0.015-1321.24
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
atrtrail23.98-60678.0993326134.4111054.1936491.4-6793.64-18517.051.630.85-0.013-652.45
atrnil25.86-87313.0378235529.4917179.636491.4-8771.71-18517.051.960.82-0.018-1119.4
atrtrail-14.76-86944.6793306332.2611155.0848101.05-6692.02-18517.051.670.79-0.017-934.89
atrtrail34.28-86984.6793306332.2611153.7543881.35-6692.02-18517.051.670.79-0.017-935.32
atrnil36.95-12405476175922.3723882.143881.35-8983.9-18517.052.660.77-0.023-1632.29

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 34.41%, which is not acceptable. Avoid this strategy. Average return per trade is -0.33%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:0.854

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019512 Feb 2019 (2.43%), 02 May 2019 (-3.37%), 07 May 2019 (-2.94%), 23 May 2019 (0.07%), 30 May 2019 (-4.32%)
2017118 Jul 2017 (-2.94%)
2016318 Jan 2016 (18.25%), 11 Feb 2016 (-9.26%), 09 Nov 2016 (-5.21%)
2014319 May 2014 (8.33%), 06 Jun 2014 (-2.48%), 13 Jun 2014 (-4.05%)
2012609 May 2012 (9.65%), 23 May 2012 (8.47%), 30 May 2012 (-5.48%), 19 Jul 2012 (-2.65%), 23 Jul 2012 (1.63%), 03 Aug 2012 (-0.09%)
2011925 May 2011 (5.5%), 04 Oct 2011 (-4.81%), 05 Oct 2011 (10.56%), 14 Nov 2011 (-4.47%), 16 Nov 2011 (-3.6%), 30 Nov 2011 (-0.73%), 08 Dec 2011 (-1.97%), 12 Dec 2011 (-1.88%), 15 Dec 2011 (-4.36%)
2010528 Jan 2010 (-3.11%), 05 Feb 2010 (-2.25%), 18 Feb 2010 (-3.53%), 22 Feb 2010 (0.13%), 15 Mar 2010 (6.89%)
2009103 Nov 2009 (0.77%)
2007909 Feb 2007 (-3.04%), 13 Feb 2007 (-3.13%), 20 Feb 2007 (-3.7%), 22 Feb 2007 (-3.57%), 12 Jun 2007 (0.11%), 25 Jun 2007 (-1.16%), 16 Jul 2007 (-2.88%), 23 Jul 2007 (-3.0%), 25 Jul 2007 (-2.42%)
2006513 Mar 2006 (-3.42%), 17 Mar 2006 (-3.3%), 22 Mar 2006 (6.74%), 18 May 2006 (-5.37%), 22 May 2006 (1.43%)
2005323 Feb 2005 (-1.12%), 11 May 2005 (0.95%), 28 Jun 2005 (0.64%)
2004530 Jan 2004 (-4.16%), 03 Feb 2004 (-3.05%), 12 Feb 2004 (7.62%), 25 Feb 2004 (-3.32%), 12 Nov 2004 (3.9%)
2003315 Sep 2003 (-2.09%), 19 Sep 2003 (-3.49%), 25 Sep 2003 (6.51%)
2002323 Jan 2002 (-2.35%), 29 Jan 2002 (-1.64%), 14 Feb 2002 (-0.14%)
2001601 Feb 2001 (-1.4%), 06 Feb 2001 (-4.0%), 07 Feb 2001 (-4.66%), 08 Feb 2001 (-2.96%), 20 Feb 2001 (-4.04%), 26 Feb 2001 (-5.57%)
19991312 Jan 1999 (-1.57%), 15 Jan 1999 (7.06%), 07 Apr 1999 (-5.97%), 08 Apr 1999 (-6.65%), 09 Apr 1999 (-4.93%), 15 Apr 1999 (14.4%), 26 Apr 1999 (14.63%), 02 Jun 1999 (-1.0%), 10 Jun 1999 (-4.0%), 11 Jun 1999 (-4.31%), 04 Oct 1999 (-5.99%), 05 Oct 1999 (0.73%), 21 Oct 1999 (0.51%)
1998729 Jan 1998 (0.87%), 03 Feb 1998 (2.71%), 10 Feb 1998 (6.81%), 05 Jun 1998 (-5.14%), 16 Oct 1998 (-5.48%), 19 Oct 1998 (-6.13%), 20 Oct 1998 (13.62%)
1997603 Feb 1997 (2.13%), 18 Feb 1997 (6.25%), 28 Oct 1997 (-0.52%), 30 Oct 1997 (6.59%), 19 Nov 1997 (-3.05%), 25 Nov 1997 (-0.03%)



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