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

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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 ADX is Trending" 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
18937.22213959.092898.174891.3-3193.22-9155.950.911.310.025406.24
235921.612217577.274179.7627523.25-7026.86-13860.720.592.020.051632.8
353197.622213959.096322.2433689.29-3221.28-12200.11.962.830.0672418.07
454578.182213959.096393.9823114.02-3171.51-6661.942.022.910.0862480.83
538472.2422101245.457718.3217395.8-3225.91-9032.962.391.990.061748.74
654135.9122121054.558123.0519868.28-4334.07-9740.881.872.250.0722460.72
736090.1822121054.558541.7823819.98-6641.12-17718.331.291.540.0381640.46
843691.8122121054.558808.6225938.68-6201.16-16705.191.421.70.0461985.99
949741.062214863.648491.3830623.49-8642.29-23393.230.981.720.0462260.96
1057403.532214863.648656.4726834.31-7973.38-24992.541.091.90.0562609.25
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=4, Profit Factor:2.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Sep 2018 (-3.33%)
2017101 Aug 2017 (0.29%)
2015109 Jul 2015 (5.04%)
2013302 Jan 2013 (0.9%), 25 Jan 2013 (-1.79%), 11 Jun 2013 (-1.7%)
2011102 Nov 2011 (1.13%)
2010212 Oct 2010 (-2.36%), 24 Nov 2010 (-1.76%)
2008107 Aug 2008 (2.48%)
2005309 May 2005 (11.56%), 22 Sep 2005 (5.51%), 24 Oct 2005 (-0.51%)
2004213 Sep 2004 (1.45%), 09 Oct 2004 (-0.92%)
2003604 Feb 2003 (-1.28%), 22 Mar 2003 (0.1%), 09 May 2003 (1.07%), 04 Aug 2003 (-0.63%), 28 Oct 2003 (6.07%), 17 Nov 2003 (1.73%)
2002102 Aug 2002 (4.23%)

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
atrtrail26.2667037.0527101737.0414556.0531956.36-4619.03-8011.833.151.850.0552482.85
atrnil29.3376777.4724101441.6717481.6931956.36-7002.82-8630.512.51.780.063199.06
atrnil311.781912.92371630.4327628.1547934.54-6967.76-8630.513.971.730.053561.43
atrtrail37.1239956.292681830.7715444.9747934.54-4644.64-8011.833.331.480.0291536.78
atrtrail-17.3535461.432681830.7714883.1251724.86-4644.64-8011.833.21.420.0261363.9
50nil33.15-4222.653492526.478641.6311794.22-3279.89-3994.212.630.95-0.0054-124.2
50nil22.63-12371.0635112431.435995.147862.82-3263.23-3994.211.840.84-0.019-353.46
50trail22.02-14484.4340112927.55897.767862.82-2736.54-3994.212.160.82-0.021-362.11
50trail32.38-18347.873993023.086671.7211794.22-2613.11-3994.212.550.77-0.025-470.46
50trail-12.97-21117.773993023.086363.9628828.8-2613.11-3994.212.440.73-0.022-541.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. 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 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 1.24%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.055, 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:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Sep 2018 (-3.22%)
2017201 Aug 2017 (-3.27%), 04 Aug 2017 (-3.2%)
2015109 Jul 2015 (7.67%)
2013302 Jan 2013 (-0.63%), 25 Jan 2013 (-2.42%), 11 Jun 2013 (-3.57%)
2011102 Nov 2011 (-1.27%)
2010312 Oct 2010 (8.53%), 15 Oct 2010 (9.5%), 24 Nov 2010 (-2.81%)
2008107 Aug 2008 (-0.2%)
2005409 May 2005 (7.76%), 22 Sep 2005 (1.55%), 24 Oct 2005 (-4.01%), 28 Oct 2005 (7.85%)
2004313 Sep 2004 (-0.87%), 09 Oct 2004 (-2.77%), 18 Oct 2004 (-2.71%)
2003704 Feb 2003 (0.33%), 22 Mar 2003 (5.74%), 09 May 2003 (-1.6%), 21 May 2003 (-1.18%), 04 Aug 2003 (-3.31%), 28 Oct 2003 (-2.23%), 17 Nov 2003 (7.88%)
2002102 Aug 2002 (15.98%)



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