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

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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 and RSI is above 50" 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
148049.66502921583704.7510244.29-2828.01-6594.951.311.810.056960.99
277811.64503119625482.6127523.25-4849.96-12931.921.131.840.0531556.23
334253.86502822566292.7633689.29-6451.98-16474.490.981.240.018685.08
460992.01502624527608.6525204.4-5701.38-149391.331.450.0331219.84
548630.22502723548342.0126100.09-7678.44-23978.81.091.280.022972.6
642645.1502921588187.8928654.73-9276.37-23744.930.881.220.018852.9
748096.19502624529569.4634421.7-8362.9-26879.441.141.240.019961.92
883168.24502921588971.5930487.3-8428.94-29971.331.061.470.0331663.36
9100521503020609486.8530987.09-9204.2-33686.571.031.550.0372010.43
101431085029215811026.1934928.91-8411.95-35182.651.311.810.0492862.17

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.84. 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 62%, which is good. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.

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
nilnil-1277811.64503119625482.6127523.25-4849.96-12931.921.131.840.0531556.23
50nil32.6588196.169264337.688550.1611887.39-3118.79-3994.212.741.660.0521278.2
50trail32.3877682.2272264636.117844.6611919.03-2745.2-3994.212.861.620.0471078.92
50trail-13.4665722.6270234732.868325.8428828.8-2675.99-3994.213.111.520.031938.89
atrnil39.461136705017333420571.2626636.76-7152.79-13585.712.881.480.042273.39
atrnil26.7793891.752223042.3113985.1317757.84-7126.04-13585.711.961.440.041805.61
atrtrail35.571738.9256223439.2911257.1326272.49-5174.06-13585.712.181.410.031281.05
50nil22.1451394.9373314242.475818.727946.02-3071.08-3994.211.891.40.037704.04
50trail22.0440467.02753045405546.397946.02-2798.33-3994.211.981.320.03539.56
atrtrail-16.2152466.5856223439.2910381.1240363.78-5174.06-13585.712.011.30.021936.9
atrtrail24.9342613.5456223439.299933.2517721.25-5174.06-13585.711.921.240.021760.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 62%, which is good. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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, X=2, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Jan 2018 (1.59%)
2017319 Sep 2017 (-2.06%), 06 Oct 2017 (4.64%), 21 Nov 2017 (0.57%)
2016414 Jan 2016 (-5.63%), 01 Feb 2016 (-2.3%), 03 Mar 2016 (0.82%), 30 Oct 2016 (-2.52%)
2015807 Jan 2015 (6.6%), 06 Apr 2015 (5.0%), 14 May 2015 (6.69%), 04 Jun 2015 (1.32%), 15 Sep 2015 (-6.47%), 23 Oct 2015 (2.94%), 24 Nov 2015 (2.33%), 11 Dec 2015 (4.14%)
2014225 Nov 2014 (-1.18%), 22 Dec 2014 (-0.72%)
2013725 Jan 2013 (0.14%), 15 Feb 2013 (3.46%), 01 Jul 2013 (-3.63%), 12 Sep 2013 (-0.35%), 03 Oct 2013 (3.26%), 18 Oct 2013 (1.65%), 27 Dec 2013 (1.23%)
2011221 Jan 2011 (-3.94%), 02 Nov 2011 (2.17%)
2010203 Mar 2010 (0.64%), 12 Aug 2010 (2.99%)
2009130 Mar 2009 (0.67%)
2008230 Jun 2008 (-3.16%), 07 Aug 2008 (2.48%)
2006219 Jul 2006 (-4.07%), 26 Oct 2006 (4.25%)
2005404 Mar 2005 (1.25%), 09 May 2005 (13.76%), 11 Oct 2005 (-1.52%), 26 Oct 2005 (-0.4%)
2004420 Jul 2004 (0.23%), 03 Aug 2004 (0.38%), 06 Oct 2004 (0.72%), 20 Oct 2004 (0.0%)
2003624 Jan 2003 (-1.62%), 09 May 2003 (1.44%), 20 Aug 2003 (0.33%), 31 Oct 2003 (4.85%), 17 Nov 2003 (-3.19%), 02 Dec 2003 (2.43%)
2002224 Oct 2002 (-0.55%), 20 Nov 2002 (-2.77%)



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