Study: Buy GODREJCP when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy GODREJCP when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
125509.7797534454.643134.710244.29-3196.12-10714.290.981.180.015262.99
296569.4197574058.764606.4427523.25-4149.95-13860.721.111.580.039995.56
315725697564157.736338.9433689.29-4822.56-16474.491.311.80.0491621.2
417951197534454.647460.2125204.4-4906.37-17784.261.521.830.0531850.63
522822597514652.589303.730807.39-5353.55-15875.641.741.930.0582352.84
623147997554256.79100.1929388.14-6405.51-22491.251.421.860.0542386.38
724160297554256.79521.8934421.7-6716.7-26879.441.421.860.0522490.75
827358897583959.799417.835530.36-6990.88-29971.331.3520.0592820.49
929786497613662.899705.0346393.3-8170.65-33686.571.192.010.0593070.76
1039366397574058.7612044.7768662.08-7322.21-35182.651.642.340.0684058.38
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
GODREJCP Performance, X=10, Profit Factor:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018610 Jan 2018 (14.22%), 06 Feb 2018 (4.82%), 19 Mar 2018 (3.62%), 11 Apr 2018 (1.69%), 16 May 2018 (3.65%), 07 Sep 2018 (-12.5%)
2017618 Apr 2017 (10.06%), 01 Aug 2017 (-4.41%), 19 Sep 2017 (1.73%), 06 Oct 2017 (-1.02%), 23 Oct 2017 (3.5%), 21 Nov 2017 (2.78%)
2016613 Jan 2016 (-7.91%), 01 Feb 2016 (-1.32%), 03 Mar 2016 (6.71%), 03 Aug 2016 (-2.39%), 22 Sep 2016 (3.01%), 18 Oct 2016 (-1.05%)
20151107 Jan 2015 (14.08%), 17 Mar 2015 (-6.43%), 06 Apr 2015 (2.93%), 14 May 2015 (-2.44%), 04 Jun 2015 (-0.14%), 09 Jul 2015 (7.97%), 25 Aug 2015 (-7.59%), 15 Sep 2015 (-3.27%), 23 Oct 2015 (3.77%), 13 Nov 2015 (-2.25%), 01 Dec 2015 (4.78%)
2014427 Jun 2014 (-1.33%), 14 Jul 2014 (7.29%), 25 Nov 2014 (2.79%), 22 Dec 2014 (-1.04%)
20131402 Jan 2013 (2.28%), 25 Jan 2013 (-0.5%), 15 Feb 2013 (2.99%), 05 Mar 2013 (2.27%), 16 Apr 2013 (9.93%), 11 Jun 2013 (-7.46%), 01 Jul 2013 (3.58%), 06 Aug 2013 (-2.86%), 12 Sep 2013 (-1.2%), 03 Oct 2013 (-1.2%), 18 Oct 2013 (1.35%), 06 Nov 2013 (2.8%), 04 Dec 2013 (-1.47%), 27 Dec 2013 (-4.21%)
2012205 Nov 2012 (-1.1%), 23 Nov 2012 (4.63%)
2011321 Jan 2011 (-17.59%), 01 Aug 2011 (-3.37%), 02 Nov 2011 (-5.18%)
2010603 Mar 2010 (6.19%), 29 Mar 2010 (13.63%), 29 Jul 2010 (2.33%), 12 Aug 2010 (9.64%), 12 Oct 2010 (5.01%), 24 Nov 2010 (-1.55%)
2009403 Feb 2009 (-0.81%), 30 Mar 2009 (7.88%), 13 Jul 2009 (34.33%), 14 Dec 2009 (-3.46%)
2008326 May 2008 (-1.21%), 27 Jun 2008 (-7.0%), 07 Aug 2008 (2.48%)
2006419 May 2006 (-5.77%), 19 Jul 2006 (-6.23%), 22 Sep 2006 (6.66%), 12 Oct 2006 (2.54%)
2005710 Feb 2005 (-2.16%), 04 Mar 2005 (2.48%), 13 Apr 2005 (-4.16%), 09 May 2005 (13.42%), 22 Sep 2005 (5.5%), 11 Oct 2005 (0.63%), 26 Oct 2005 (2.36%)
2004921 Jan 2004 (17.43%), 04 Mar 2004 (-7.41%), 02 Jul 2004 (-0.51%), 20 Jul 2004 (0.5%), 03 Aug 2004 (4.13%), 13 Sep 2004 (0.58%), 27 Sep 2004 (1.81%), 09 Oct 2004 (0.21%), 26 Oct 2004 (19.16%)
2003824 Jan 2003 (2.65%), 19 Mar 2003 (2.08%), 09 May 2003 (1.86%), 04 Aug 2003 (-0.13%), 20 Aug 2003 (17.45%), 27 Oct 2003 (4.64%), 17 Nov 2003 (0.71%), 02 Dec 2003 (14.47%)
2002402 Aug 2002 (8.62%), 10 Oct 2002 (2.64%), 25 Oct 2002 (-0.73%), 20 Nov 2002 (-4.05%)

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
atrnil28.0726496692425045.6515132.231956.36-7411.72-13585.712.041.710.0582880.07
atrtrail25.13230204117526544.4410878.7831956.36-5161.43-13585.712.111.690.0491967.55
50trail-13.431677531484610231.089522.0357263.69-2649.61-3994.213.591.620.0321133.47
atrtrail35.78209533116506643.111002.1147934.54-5160.2-13585.712.131.620.041806.32
atrnil311.2323610882285434.1522723.0147934.54-7409.92-13585.713.071.590.0452879.37
atrtrail-16.52196287116506643.110737.254765.34-5160.2-13585.712.081.580.0351692.13
50trail32.181320341525210034.217741.7411919.03-2705.36-3994.212.861.490.039868.64
50nil32.51126738144509434.728252.2211887.39-3041.21-3994.212.711.440.038880.12
50trail21.8279714.58159639639.625577.427946.02-2829.82-3994.211.971.290.028501.35
50nil21.9979019.83153639041.185594.427946.02-3038.1-3994.211.841.290.028516.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 45.65%, which is not acceptable. Avoid this strategy. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.058, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018610 Jan 2018 (4.02%), 06 Feb 2018 (5.94%), 19 Mar 2018 (5.4%), 11 Apr 2018 (4.8%), 16 May 2018 (5.38%), 07 Sep 2018 (-3.22%)
2017618 Apr 2017 (4.17%), 01 Aug 2017 (-3.27%), 04 Aug 2017 (-3.96%), 19 Sep 2017 (-2.49%), 06 Oct 2017 (-2.78%), 21 Nov 2017 (5.33%)
2016513 Jan 2016 (-3.31%), 01 Feb 2016 (-3.65%), 03 Mar 2016 (7.02%), 03 Aug 2016 (-3.05%), 22 Sep 2016 (-2.96%)
20151217 Mar 2015 (-4.24%), 06 Apr 2015 (8.17%), 14 May 2015 (8.07%), 22 May 2015 (-4.23%), 04 Jun 2015 (8.88%), 09 Jul 2015 (7.67%), 25 Aug 2015 (9.75%), 15 Sep 2015 (-5.08%), 23 Oct 2015 (7.1%), 13 Nov 2015 (-4.28%), 24 Nov 2015 (-3.63%), 11 Dec 2015 (6.5%)
2014427 Jun 2014 (6.88%), 25 Nov 2014 (-2.77%), 01 Dec 2014 (-2.91%), 22 Dec 2014 (8.06%)
20131002 Jan 2013 (7.26%), 16 Apr 2013 (7.56%), 11 Jun 2013 (-3.57%), 01 Jul 2013 (-3.64%), 06 Aug 2013 (-5.0%), 12 Sep 2013 (-3.61%), 03 Oct 2013 (-3.34%), 18 Oct 2013 (7.42%), 04 Dec 2013 (-3.08%), 27 Dec 2013 (-2.91%)
2012105 Nov 2012 (8.09%)
2011321 Jan 2011 (-3.79%), 01 Aug 2011 (-3.14%), 02 Nov 2011 (-3.62%)
2010703 Mar 2010 (8.86%), 29 Mar 2010 (7.59%), 29 Jul 2010 (9.86%), 12 Oct 2010 (8.53%), 15 Oct 2010 (9.5%), 24 Nov 2010 (-3.65%), 26 Nov 2010 (-3.85%)
2009403 Feb 2009 (-3.82%), 30 Mar 2009 (7.86%), 13 Jul 2009 (12.82%), 14 Dec 2009 (-3.56%)
2008526 May 2008 (-3.31%), 28 May 2008 (7.21%), 02 Jun 2008 (-4.34%), 27 Jun 2008 (-3.71%), 07 Aug 2008 (-4.32%)
2006419 May 2006 (-5.06%), 19 Jul 2006 (-6.79%), 22 Sep 2006 (9.3%), 12 Oct 2006 (8.11%)
2005510 Feb 2005 (-4.06%), 04 Mar 2005 (6.16%), 13 Apr 2005 (-3.15%), 09 May 2005 (7.76%), 22 Sep 2005 (9.39%)
2004921 Jan 2004 (-6.57%), 04 Mar 2004 (-4.3%), 02 Jul 2004 (-2.13%), 20 Jul 2004 (4.7%), 13 Sep 2004 (-3.19%), 22 Sep 2004 (6.59%), 04 Oct 2004 (-3.97%), 18 Oct 2004 (-3.66%), 25 Oct 2004 (6.85%)
2003924 Jan 2003 (-3.37%), 19 Mar 2003 (-2.79%), 22 Mar 2003 (5.74%), 09 May 2003 (-3.27%), 21 May 2003 (-3.13%), 04 Aug 2003 (-3.42%), 20 Aug 2003 (5.54%), 27 Oct 2003 (8.06%), 17 Nov 2003 (7.88%)
2002202 Aug 2002 (15.98%), 10 Oct 2002 (-4.36%)



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