Study: Buy GODFRYPHLP when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when near 200 SMA and above 200 SMA and RSI is above 50" 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
173355.6827171062.966191.1426758.49-3189.38-8297.091.943.30.0752716.88
21300972719870.378319.2931005.54-3496.14-7944.482.385.650.124818.42
31633052718966.6710489.4442557.4-2833.9-7147.083.77.40.126048.33
414539127161159.2611824.130973.87-3981.34-8978.152.974.320.115384.84
51214202718966.679589.125474.99-5687.1-9905.081.693.370.0984497.03
61535622719870.3710578.2329422.01-5928.1-11489.811.784.240.115687.47
71383012718966.6710822.631612.44-6278.43-11764.711.723.450.0935122.26
81625972718966.6712648.6338185.7-7230.92-17132.351.753.50.0966022.11
91730222718966.6713860.8740094.99-8497.09-20573.531.633.260.0926408.22
101928022720774.0712811.3341318.03-9060.69-17647.061.414.040.117140.81

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 7.4. Strategy is very good and impressively bullish. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 3.02%, which is very good.
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=3, Profit Factor:7.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018103 Sep 2018 (4.54%)
2017227 Mar 2017 (2.24%), 11 Apr 2017 (-1.3%)
2016212 Jul 2016 (11.33%), 03 Aug 2016 (10.68%)
2014231 Oct 2014 (3.83%), 26 Nov 2014 (0.08%)
2013129 Jan 2013 (-1.32%)
2012217 Jan 2012 (6.19%), 07 Feb 2012 (1.45%)
2010425 Jun 2010 (-2.33%), 09 Jul 2010 (2.07%), 29 Jul 2010 (-0.49%), 02 Nov 2010 (7.23%)
2008205 May 2008 (1.08%), 28 May 2008 (1.92%)
2007213 Apr 2007 (2.92%), 05 Sep 2007 (6.11%)
2006226 Jun 2006 (4.25%), 29 Nov 2006 (21.28%)
2004321 Apr 2004 (-0.18%), 26 Jul 2004 (-1.42%), 20 Aug 2004 (2.87%)
2003222 May 2003 (-3.57%), 13 Jun 2003 (-0.67%)
2002110 Oct 2002 (-1.47%)
1999125 Nov 1999 (4.34%)

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-131633052718966.6710489.4442557.4-2833.9-7147.083.77.40.126048.33
atrtrail34.411287613417175012001.1430522.77-4426.99-11265.692.712.710.0743787.08
atrtrail23.821046563417175010583.2320348.52-4426.99-11265.692.392.390.0733078.12
atrtrail-15.9492171.47341717509848.8433396.19-4426.99-11265.692.222.220.0572710.93
atrnil36.3112383829121741.3820504.0130522.77-7188.82-13542.72.852.010.0634270.28
200trail31.864856.8544172738.648308.1711911.76-2828.96-3980.382.941.850.0531474.02
200trail-13.0961036.0843152834.889255.7237505.94-2778.56-3980.383.331.780.0351419.44
atrnil24.6693293.443216165013363.5620348.52-7532.72-13542.71.771.770.0562915.42
200nil21.7355015.3944212347.736147.017941.17-3220.51-3980.381.911.740.0541250.35
200nil32.0260658.2943162737.21923211911.76-3224.21-3980.382.861.70.0481410.66
200trail21.6247881.4145202544.446125.597941.17-2985.22-3980.382.051.640.0481064.03

In the table above, row 1 shows the best exit criterion. Profit factor is 7.4. Strategy is very good and impressively bullish. Percentage of profitable trades is 66.67%, which is good. Average return per trade is 3.02%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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