Study: Buy GODREJCP when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy GODREJCP when 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
131110.39301515505520.813853.35-3446.77-8106.81.61.60.0451037.01
2-10766.87301515505969.2210564.04-6687.02-16278.320.890.89-0.012-358.9
311789.930171356.677612.5521092.04-9047.96-20554.030.841.10.0094393
426212.0430171356.676590.1121154.45-6601.52-22997.3411.310.023873.73
523593.9330141646.678588.2124801.3-6040.06-25894.181.421.240.019786.46
6-700.0430131743.339503.0423613.9-7308.21-31392.261.30.99-0.00051-23.33
725690.2530161453.338174.2629167.86-7506.99-25243.871.091.240.019856.34
852070.4430161453.339747.1534827.16-7420.28-23529.411.311.50.0351735.68
991349.1930191163.339947.7830776.6-8878.07-17716.411.121.940.0623044.97
1013977330191163.3311178.849198.26-6602.25-14954.731.692.920.0854659.09
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
GODREJCP Performance, X=10, Profit Factor:2.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (-5.85%)
2017202 Aug 2017 (-0.07%), 22 Aug 2017 (1.58%)
2016411 Jan 2016 (-6.62%), 29 Apr 2016 (5.35%), 09 Aug 2016 (0.37%), 03 Nov 2016 (-7.48%)
2015316 Mar 2015 (-3.06%), 30 Mar 2015 (14.84%), 07 Sep 2015 (0.53%)
2014213 Oct 2014 (-0.31%), 11 Dec 2014 (0.72%)
2013222 Jan 2013 (5.82%), 12 Jun 2013 (-3.2%)
2011105 Aug 2011 (3.83%)
2010325 Jan 2010 (1.46%), 18 Oct 2010 (10.66%), 16 Dec 2010 (4.67%)
2009115 Dec 2009 (-0.7%)
2006306 Jun 2006 (0.33%), 11 Sep 2006 (7.85%), 31 Oct 2006 (-2.75%)
2005217 Feb 2005 (4.97%), 27 Apr 2005 (24.6%)
2004313 Jan 2004 (5.87%), 17 Mar 2004 (-2.78%), 05 Jul 2004 (2.27%)
2003112 Aug 2003 (7.62%)
2002206 Dec 2002 (-3.51%), 27 Dec 2002 (2.87%)

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
atrnil312.8221654838162242.1124458.3137050.92-7944.78-14272.23.082.240.085698.63
atrtrail34.871201594623235012273.443178.72-7049.09-14272.21.741.740.0482612.16
atrnil25.612619442182442.8617296.5128785.81-7714.32-14272.22.241.680.0553004.61
atrtrail-15.796150.5146222447.8311878.9544348.28-6882.77-14272.21.731.580.0382090.23
atrtrail23.9176902.314623235010392.6728785.81-7049.09-14272.21.471.470.0371671.79

In the table above, row 1 shows the best exit criterion. Profit factor is 2.24. 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 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 2.85%, which is very good. Sharpe Ratio is 0.08, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODREJCP Performance, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018211 Sep 2018 (-3.69%), 24 Sep 2018 (-4.8%)
2017302 Aug 2017 (-3.64%), 10 Aug 2017 (-3.89%), 22 Aug 2017 (11.6%)
2016429 Apr 2016 (8.62%), 09 Aug 2016 (-2.94%), 03 Nov 2016 (-2.54%), 09 Nov 2016 (-2.93%)
2015216 Mar 2015 (-4.44%), 07 Sep 2015 (18.02%)
2014213 Oct 2014 (-4.85%), 16 Oct 2014 (-5.42%)
2013322 Jan 2013 (8.78%), 12 Jun 2013 (-3.88%), 13 Jun 2013 (12.21%)
2011105 Aug 2011 (-3.39%)
2010425 Jan 2010 (-4.39%), 29 Jan 2010 (14.45%), 18 Oct 2010 (14.59%), 16 Dec 2010 (14.05%)
2009215 Dec 2009 (-4.09%), 18 Dec 2009 (13.84%)
2006306 Jun 2006 (-7.14%), 11 Sep 2006 (14.63%), 31 Oct 2006 (-4.37%)
2005217 Feb 2005 (-3.79%), 27 Apr 2005 (12.62%)
2004413 Jan 2004 (18.53%), 17 Mar 2004 (-4.51%), 19 Mar 2004 (-4.68%), 05 Jul 2004 (6.49%)
2003112 Aug 2003 (9.19%)
2002506 Dec 2002 (-2.57%), 09 Dec 2002 (-2.7%), 10 Dec 2002 (8.55%), 27 Dec 2002 (-2.76%), 30 Dec 2002 (9.48%)



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