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

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In this study, we evaluate the performance of strategy "Buy GODREJCP when near 200 SMA and above 200 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
173044.5140251562.54773.215541.67-3085.69-9827.261.552.580.0861826.11
2108001402416607191.4424261.6-4037.1-9872.611.782.670.0842700.02
372506.2640231757.57370.8126348.68-5707.2-14433.781.291.750.0481812.66
458406.77402218557286.4223583.78-5660.8-17550.251.291.570.0391460.17
555437.08402218557919.520029.92-6599.55-20510.771.21.470.0361385.93
675285.98402218558585.3824958.2-6310.69-25902.561.361.660.0471882.15
797797.3940211952.510096.0135043.56-6011.51-13022.831.681.860.0552444.93
877418.034020205011181.4430784.12-7310.54-20261.851.531.530.0411935.45
957650.834022185510457.3823356.51-9578.42-26122.191.091.330.0281441.27
1073594.0340211952.512595.7228073.57-10048.21-26122.191.251.390.0321839.85

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.67. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.084, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GODREJCP Performance, X=2, Profit Factor:2.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jan 2019 (-1.13%), 30 Sep 2019 (-3.98%)
2018128 Sep 2018 (-0.42%)
2017124 Jan 2017 (1.29%)
2016429 Jan 2016 (1.0%), 03 Mar 2016 (0.82%), 05 Dec 2016 (-1.8%), 30 Dec 2016 (1.54%)
2015104 Dec 2015 (3.0%)
2014602 Jan 2014 (-0.88%), 28 Mar 2014 (9.41%), 21 Apr 2014 (-1.6%), 17 Jun 2014 (-0.04%), 07 Jul 2014 (-1.41%), 17 Dec 2014 (5.29%)
2013106 Dec 2013 (1.19%)
2012124 Jan 2012 (5.51%)
2011511 Apr 2011 (1.17%), 11 May 2011 (1.17%), 27 Sep 2011 (0.0%), 12 Oct 2011 (-0.15%), 30 Nov 2011 (-1.26%)
2010121 Dec 2010 (4.29%)
2009220 Feb 2009 (-4.57%), 09 Mar 2009 (-4.03%)
2008803 Jan 2008 (0.94%), 27 Feb 2008 (2.5%), 30 Apr 2008 (5.75%), 28 May 2008 (3.62%), 02 Jul 2008 (-4.07%), 07 Aug 2008 (2.48%), 01 Sep 2008 (-2.04%), 05 Dec 2008 (-4.94%)
2007213 Apr 2007 (1.96%), 06 Dec 2007 (1.37%)
2006214 Jun 2006 (10.23%), 14 Sep 2006 (1.7%)
2003306 Jan 2003 (12.13%), 17 Feb 2003 (5.19%), 17 Mar 2003 (2.74%)

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-12108001402416607191.4424261.6-4037.1-9872.611.782.670.0842700.02
atrnil26.119526642222052.3815772.1740444.54-7586.09-12595.072.082.290.0874649.19
atrtrail24.3213714844182640.9114325.2940444.54-4642.59-9192.533.092.140.0673117
atrnil310.4216208438142436.8424590.1660666.81-7590.75-12595.073.241.890.0594265.38
200nil32.4183438.7254193535.199613.7311642.41-2834.92-3998.433.391.840.061545.16
atrtrail35.1476288.142152735.7113639.4631042.08-4751.99-10478.142.871.590.0411816.38
200trail31.8359346.8358184031.039140.4611642.41-2629.54-3998.433.481.560.0431023.22
200nil21.644195058233539.666204.67761.6-2878.74-3998.432.161.420.038723.28
200trail21.530964.1760223836.676150.367761.6-2745.89-3998.432.241.30.028516.07
200trail-12.8925204.2857134422.8110158.0920275-2428.43-3998.434.181.240.017442.18
atrtrail-15.6723047.842152735.7110090.1119895.61-4751.99-10478.142.121.180.016548.76

In the table above, row 1 shows the best exit criterion. Profit factor is 2.67. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 1.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.084, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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