Study: Sell GODREJCP when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell GODREJCP when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GODREJCP 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
111888.3335191654.293833.0513166.79-3808.73-16562.51.011.20.015339.67
210372.0335221362.864183.116787.51-6281.25-18593.750.671.130.01296.34
340242.0335201557.146241.0817584.43-5638.64-16562.51.111.480.0351149.77
475974.1435231265.716208.6925174.73-5568.81-13333.331.112.140.0642170.69
571016.0735191654.298363.7724385.92-5493.47-13549.041.521.810.0552029.03
658795.0735221362.867125.5520384.91-7535.93-19706.080.951.60.0431679.86
716042.69352114606786.8820043.05-9034.42-29458.920.751.130.01458.36
8-13824.1935191654.297096.9422803.24-9291.63-25584.50.760.91-0.0089-394.98
9-6112.6635181751.437690.2426664.98-8502.18-21108.880.90.96-0.0038-174.65
1022752.7935191654.298066.8221410.48-8157.3-21233.570.991.170.015650.08
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
GODREJCP Performance, X=4, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019408 Jan 2019 (0.29%), 23 Jan 2019 (4.89%), 20 Sep 2019 (0.71%), 10 Oct 2019 (-3.87%)
2018203 Oct 2018 (12.59%), 03 Dec 2018 (2.5%)
2016518 Jan 2016 (6.62%), 10 Feb 2016 (1.5%), 11 Nov 2016 (1.97%), 30 Nov 2016 (-0.65%), 16 Dec 2016 (2.52%)
2014522 Apr 2014 (3.58%), 15 May 2014 (1.21%), 18 Jun 2014 (0.56%), 02 Jul 2014 (0.13%), 16 Jul 2014 (-3.87%)
2013211 Dec 2013 (1.42%), 26 Dec 2013 (-2.33%)
2011731 Jan 2011 (10.05%), 04 Mar 2011 (4.25%), 20 Apr 2011 (0.34%), 05 May 2011 (-0.42%), 19 May 2011 (-0.14%), 07 Oct 2011 (-1.34%), 16 Nov 2011 (1.92%)
2009105 Mar 2009 (3.45%)
2008407 Mar 2008 (-6.67%), 29 Apr 2008 (-3.9%), 10 Jul 2008 (6.74%), 02 Sep 2008 (2.1%)
2007212 Dec 2007 (1.75%), 31 Dec 2007 (-0.29%)
2004123 Mar 2004 (0.3%)
2003114 Feb 2003 (-6.17%)
2002108 Apr 2002 (-3.75%)

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
200nil32.373690.6759154425.428964.6811963.06-2972.26-3930.683.021.030.002862.55
200trail32.06-2969.462164625.817980.4411963.06-2840.36-3930.682.810.98-0.0023-47.89
atrtrail35.17-18700.0146143230.4310718.7238638.85-5273.82-12404.972.030.89-0.0096-406.52
200nil21.8-18543.4661184329.516020.277975.38-2951.36-3930.682.040.85-0.017-303.99
atrtrail-15.43-35643.8846143230.439508.4437128.65-5273.82-12404.971.80.79-0.019-774.87
200trail21.71-29319.5262174527.425932.467975.38-2892.7-3930.682.050.77-0.028-472.9
atrnil27.33-51376.9839112828.2115905.9725759.24-8083.66-12404.971.970.77-0.028-1317.36
atrtrail25-45475.346143230.438806.225759.24-5273.82-12404.971.670.73-0.028-988.59
200trail-12.87-50110.2661144722.955982.8728374.75-2848.31-3930.682.10.63-0.038-821.48
atrnil38.78-1135743763116.2222971.238638.85-8109.72-12404.972.830.55-0.06-3069.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.03. 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 25.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.031%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0028, 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.
GODREJCP Performance, Profit Factor:1.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 Jan 2019 (-1.92%), 21 Jan 2019 (-1.62%), 23 Jan 2019 (-1.0%), 20 Sep 2019 (-1.22%), 26 Sep 2019 (-1.68%), 01 Oct 2019 (-1.52%)
2018303 Oct 2018 (3.3%), 03 Dec 2018 (4.52%), 12 Dec 2018 (-1.24%)
2016618 Jan 2016 (4.97%), 10 Feb 2016 (5.15%), 11 Nov 2016 (-1.55%), 30 Nov 2016 (-1.91%), 06 Dec 2016 (-1.6%), 16 Dec 2016 (-1.56%)
20141306 Jan 2014 (4.31%), 22 Apr 2014 (4.73%), 15 May 2014 (-1.34%), 20 May 2014 (5.54%), 18 Jun 2014 (-1.58%), 20 Jun 2014 (-1.85%), 01 Jul 2014 (-1.05%), 02 Jul 2014 (-1.03%), 03 Jul 2014 (-1.32%), 08 Jul 2014 (-1.08%), 10 Jul 2014 (-1.56%), 11 Jul 2014 (-1.74%), 16 Jul 2014 (-1.59%)
2013311 Dec 2013 (-1.78%), 19 Dec 2013 (-1.52%), 26 Dec 2013 (-1.14%)
20111231 Jan 2011 (-1.97%), 04 Mar 2011 (4.3%), 20 Apr 2011 (-1.63%), 05 May 2011 (-1.25%), 17 May 2011 (-1.9%), 19 May 2011 (-1.84%), 20 May 2011 (-1.35%), 25 May 2011 (-1.85%), 07 Oct 2011 (-1.73%), 18 Oct 2011 (-1.41%), 16 Nov 2011 (4.17%), 29 Nov 2011 (-1.24%)
2009105 Mar 2009 (4.18%)
2008904 Jan 2008 (-1.26%), 08 Jan 2008 (-1.41%), 07 Mar 2008 (-1.77%), 18 Mar 2008 (-1.67%), 19 Mar 2008 (4.17%), 24 Mar 2008 (5.98%), 29 Apr 2008 (-1.56%), 10 Jul 2008 (3.96%), 02 Sep 2008 (3.84%)
2007212 Dec 2007 (-1.51%), 31 Dec 2007 (-1.6%)
2004123 Mar 2004 (4.11%)
2003114 Feb 2003 (-1.06%)
2002208 Apr 2002 (-1.0%), 09 Apr 2002 (-1.0%)



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