Study: Sell GODFRYPHLP when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
15696.681912763.162491.357433.74-3457.08-16606.50.721.240.013299.83
233824.061911857.895964.4512689.24-3973.11-10990.771.52.060.0611780.21
345839.871911857.897228.4320717.13-4209.11-14681.111.722.360.0672412.62
481865.371912763.169970.4527994.46-5397.15-15884.481.853.170.0884308.7
572605.841913668.427840.617741.59-4887-18526.321.63.480.0923821.36
658068.461915478.956183.2322484.11-8670.01-22456.140.712.670.0733056.23
731734.11910952.639349.7426898.08-6862.59-24561.41.361.510.0321670.22
855599.061813572.228834.5625283.91-11850.06-28685.260.751.940.0543088.84
946619.051812666.6711347.3226412.4-14924.79-46992.030.761.520.0332589.95
10-31701.421812666.678330.2618377.26-21944.09-66752.990.380.76-0.019-1761.19
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GODFRYPHLP Performance, X=5, Profit Factor:3.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jun 2019 (1.78%)
2014117 Jun 2014 (0.28%)
2013101 Feb 2013 (2.41%)
2012205 Jun 2012 (1.68%), 07 Nov 2012 (0.97%)
2011203 Feb 2011 (7.97%), 16 Mar 2011 (-0.73%)
2010116 Jun 2010 (-2.06%)
2008229 Jan 2008 (2.92%), 23 Jun 2008 (8.87%)
2007202 Aug 2007 (2.45%), 13 Nov 2007 (-0.19%)
2004103 Mar 2004 (-0.13%)
2002216 Jul 2002 (0.22%), 06 Aug 2002 (5.75%)
2001107 Mar 2001 (7.11%)
1999122 Jun 1999 (8.57%)
1998108 Jun 1998 (-2.29%)
1996126 Mar 1996 (-9.26%)

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
atrtrail26.1468020.12211115012108.841715.71-5925.16-12293.262.042.040.0513091.82
atrnil27.8291471.932211115016958.0541715.71-8642.42-12293.261.961.960.064157.81
200trail-13.0336214.3232122037.57060.0821675.59-2425.33-3579.042.911.750.0361131.7
atrtrail36.542732.26221111509809.9124736.57-5925.16-12293.261.661.660.0391942.38
200trail32.0928575.5432122037.56423.5111831.06-2425.33-3579.042.651.590.038892.99
atrtrail-16.7737883.25221111509369.0924736.57-5925.16-12293.261.581.580.0361721.97
200nil32.2831375.5632102231.259125.7811831.06-2721.92-3675.083.351.520.036980.49
200trail21.7320777.6633132039.395329.567887.38-2425.33-3579.042.21.430.032629.63
atrnil318.534837.51205152531743.6562573.57-8258.72-12293.263.841.280.0191741.88
200nil21.797826.133112233.336155.37887.38-2721.92-3675.082.261.130.012237.15

In the table above, row 1 shows the best exit criterion. Profit factor is 2.04. 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 1.55%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014117 Jun 2014 (-0.23%)
2013101 Feb 2013 (5.77%)
2012205 Jun 2012 (-1.77%), 07 Nov 2012 (0.47%)
2011303 Feb 2011 (-3.92%), 04 Feb 2011 (3.16%), 16 Mar 2011 (-3.53%)
2010216 Jun 2010 (-0.62%), 28 Jun 2010 (-0.38%)
2008229 Jan 2008 (20.86%), 23 Jun 2008 (5.64%)
2007302 Aug 2007 (1.27%), 13 Nov 2007 (-6.15%), 20 Nov 2007 (-5.5%)
2004103 Mar 2004 (2.17%)
2002316 Jul 2002 (-0.78%), 26 Jul 2002 (5.91%), 06 Aug 2002 (1.72%)
2001107 Mar 2001 (11.75%)
1999122 Jun 1999 (7.88%)
1998108 Jun 1998 (-6.01%)
1996126 Mar 1996 (-3.69%)



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