Study: Buy GODFRYPHLP when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy GODFRYPHLP when above 200 SMA and RSI is oversold" 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
1-37965.111046405884.5916372.8-10250.58-34558.570.570.38-0.062-3796.51
2-36606.561046408247.1416455.19-11599.19-38303.790.710.47-0.05-3660.66
3-44520.061037307636.3913150.71-9632.75-36087.940.790.34-0.068-4452.01
4-49589.131055504494.169739.71-14411.99-35792.490.310.31-0.073-4958.91
5-37288.1410373013734.0922491.6-11212.91-36313.871.220.52-0.05-3728.81
65919.8210464015517.9736041.14-9358.67-34732.361.661.110.0071591.98
7-1126110464016767.2938476.07-13055.03-36131.391.280.86-0.012-1126.1
8-40988.3710464013154.6529502.52-15601.16-35236.360.840.56-0.047-4098.84
9-65548.5610373014214.1222984.89-15455.84-37052.490.920.39-0.077-6554.86
10-91501.5710373012716.9320875.73-18521.76-39633.30.690.29-0.1-9150.16
Although, strategy looks good but profit factor on day 4 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
atrnil24.54-10629.211331023.0826172.7638564.35-8914.75-14133.412.940.88-0.011-817.63
atrnil35.92-24312.821321115.3839035.1757846.52-9307.56-14133.414.190.76-0.02-1870.22
atrtrail23.86-20659.721431121.4318304.938564.35-6870.4-14133.412.660.73-0.024-1475.69
atrtrail34.21-32351.151431121.4314407.7620223.82-6870.4-14133.412.10.57-0.048-2310.8
atrtrail-14.5-32769.821431121.4314268.220131.65-6870.4-14133.412.080.57-0.049-2340.7

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 23.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.41%, 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:0.881

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Feb 2016 (19.28%), 15 Nov 2016 (-7.07%)
2011216 Nov 2011 (-5.03%), 24 Nov 2011 (-4.87%)
2007225 Jul 2007 (-3.48%), 31 Jul 2007 (-3.36%)
2006317 Mar 2006 (-3.3%), 22 Mar 2006 (6.74%), 22 May 2006 (13.24%)
2003124 Sep 2003 (-3.23%)
2001126 Feb 2001 (-5.57%)
1999211 Jun 1999 (-4.31%), 14 Jun 1999 (-4.37%)



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