Study: Sell GODFRYPHLP when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
117313.9375271.436093.2314947.01-6576.11-12679.640.932.320.0672473.42
2-12804.6473442.868058.3412817.44-9244.92-26700.130.870.65-0.032-1829.23
3-2871.6974357.148301.2515066.99-12025.57-27862.20.690.92-0.0066-410.24
414679.6875271.4310519.4815813.01-18958.86-26517.910.551.390.032097.1
518478.6275271.4312075.6716746.65-20949.87-33318.430.581.440.0332639.8
6210.5275271.4310549.2217113.82-26267.8-36429.90.410.0003430.07
7-19282.9774357.1416332.2627235.77-28204-38724.640.580.77-0.024-2754.71
88326.1774357.1420136.6430081.3-24073.47-34446.130.841.120.011189.45
92356.7274357.1418457.3427235.77-23824.21-34466.750.771.030.003336.67
10-859.4374357.1415980.6419853.11-21594-34277.660.740.99-0.0012-122.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.32. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
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=1, Profit Factor:2.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Jan 2018 (1.95%)
2015115 Apr 2015 (-0.24%)
2013108 May 2013 (-6.34%)
2009206 Apr 2009 (2.72%), 27 Apr 2009 (7.47%)
2001130 Oct 2001 (1.67%)
2000112 Jul 2000 (1.42%)

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
atrtrail23.653716.4410555016473.621106.17-5730.32-10050.052.872.870.0955371.64
nilnil-1117313.9375271.436093.2314947.01-6576.11-12679.640.932.320.0672473.42
atrnil2443140.9795455.5616387.7921106.17-9699.49-11514.21.692.110.0754793.44
atrtrail-16.229898.8610464016115.225102.15-5760.33-10050.052.81.870.0522989.89
atrtrail34.921005.5810464013891.8822514.89-5760.33-10050.052.411.610.0412100.56
atrnil36.111584.9193633.3320338.0823435.09-9904.89-11514.22.051.030.0025176.1

In the table above, row 1 shows the best exit criterion. Profit factor is 2.87. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 2.69%, which is very good. Sharpe Ratio is 0.095, 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:2.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Jan 2018 (5.24%)
2015115 Apr 2015 (7.81%)
2013208 May 2013 (-4.86%), 09 May 2013 (-5.03%)
2009306 Apr 2009 (10.55%), 15 Apr 2009 (-1.32%), 27 Apr 2009 (10.08%)
2001130 Oct 2001 (-0.97%)
2000212 Jul 2000 (-2.15%), 14 Jul 2000 (7.5%)



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