Study: Sell GODREJCP when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell GODREJCP when below 200 SMA and near 50 SMA and below 50 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
1-6269.7129141548.282598.495197.37-2843.24-6378.750.910.85-0.016-216.2
2-11478.1829141548.284340.7819276.32-4816.6-10877.570.90.84-0.015-395.8
3-16793.6629151451.724925.4916250-6476.86-22279.050.760.81-0.018-579.09
41250229181162.075381.6217960.53-7669.74-19221.60.71.150.012431.1
59778.3329161355.175960.0817171.05-6583.3-19629.540.911.110.0095337.18
69589.229151451.726742.0418486.84-6538.67-20844.511.031.10.0086330.66
735077.5429171258.627204.8721327.53-7283.77-22328.950.991.40.031209.57
827724.529191065.526221.7823721.44-9048.94-17871.330.691.310.024956.02
93088.7929171258.626777.0917265.14-9343.48-26435.250.731.030.0026106.51
101721.9329161355.177222.4622198.04-8756.73-235870.821.020.001359.38
Although, strategy looks good but profit factor on day 3 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
50trail21.83-31906.78521339256053.157748.65-2835.84-3950.182.130.71-0.037-613.59
50nil21.83-33703.34521339256053.157748.65-2881.9-3950.182.10.7-0.039-648.14
50trail32.35-36222.5951104119.617661.7111323.83-2752.19-3950.182.780.68-0.038-710.25
atrtrail34.23-48498.993983120.5111272.0522388.26-4473.4-9864.352.520.65-0.04-1243.56
50nil32.56-41988.184884016.679106.9411323.83-2871.09-3950.183.170.63-0.045-874.75
atrnil37.5-62374.843262618.7517651.2622388.26-6472.4-10027.092.730.63-0.048-1949.21
atrnil26-63112.283382524.2412310.6214925.51-6463.89-10027.091.90.61-0.055-1912.49
atrtrail23.85-61018.563983120.519707.114925.51-4473.4-9864.352.170.56-0.057-1564.58
50trail-12.92-50429.7851104119.616240.9913947.37-2752.19-3950.182.270.55-0.056-988.82
atrtrail-14.46-72461.553983120.518276.7314608.36-4473.4-9864.351.850.48-0.075-1857.99

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODREJCP Performance, Profit Factor:0.712

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191012 Mar 2019 (-1.51%), 13 Mar 2019 (2.99%), 18 Mar 2019 (3.35%), 17 May 2019 (-1.72%), 27 May 2019 (-1.37%), 14 Jun 2019 (-1.21%), 19 Jun 2019 (-1.11%), 28 Jun 2019 (-1.25%), 13 Aug 2019 (3.77%), 13 Sep 2019 (-1.02%)
2016128 Dec 2016 (-1.96%)
20141120 Feb 2014 (-1.15%), 26 Feb 2014 (-1.98%), 28 Apr 2014 (-1.61%), 29 Apr 2014 (-1.23%), 06 May 2014 (3.12%), 03 Jun 2014 (-1.27%), 19 Jun 2014 (-1.24%), 09 Jul 2014 (-1.46%), 10 Jul 2014 (-1.43%), 11 Jul 2014 (-1.62%), 16 Jul 2014 (-1.63%)
2011503 Mar 2011 (-1.51%), 07 Mar 2011 (2.18%), 21 Mar 2011 (3.46%), 30 Mar 2011 (-1.8%), 19 Dec 2011 (3.67%)
2008428 Apr 2008 (-1.51%), 09 Sep 2008 (-1.28%), 11 Sep 2008 (-1.22%), 20 Nov 2008 (-1.24%)
20072117 Jan 2007 (-1.64%), 22 Jan 2007 (-0.97%), 31 Jan 2007 (2.57%), 01 Mar 2007 (2.82%), 26 Mar 2007 (3.87%), 05 Apr 2007 (-1.5%), 16 May 2007 (-1.07%), 22 May 2007 (-1.67%), 28 May 2007 (3.15%), 09 Jul 2007 (2.32%), 16 Jul 2007 (-1.34%), 17 Jul 2007 (-1.17%), 07 Aug 2007 (-1.11%), 22 Aug 2007 (-1.21%), 23 Aug 2007 (2.05%), 29 Aug 2007 (-1.4%), 18 Sep 2007 (-1.39%), 19 Sep 2007 (-1.66%), 21 Sep 2007 (-1.83%), 03 Oct 2007 (-1.61%), 15 Nov 2007 (-1.41%)



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