Study: Buy GODREJCP when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy GODREJCP when above 200 SMA and RSI is oversold" 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
1-5667.9893633.336181.589243.54-4035.46-8516.741.530.77-0.026-629.78
2-14141.5694544.442777.5210564.04-5050.32-13225.20.550.44-0.062-1571.28
317773.1897277.784883.0511960.01-8204.09-16281.970.62.080.0621974.8
46629.0296366.675164.0713544.61-8118.46-22083.590.641.270.019736.56
523396366.676267.7413445.15-12457.82-15595.760.51.010.0006225.89
629141.7297277.788766.3412261.84-16111.35-18436.040.541.90.073237.97
753853.6196366.6712891.824854.57-7832.39-19225.791.653.290.125983.73
862869.1398188.8911202.1219053.01-26747.8-26747.80.423.350.126985.46
987477.1398188.8912675.9723806.83-13930.61-13930.610.917.280.229719.68
1011197998188.8915436.0149198.26-11509.58-11509.581.3410.730.1912442.06
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:10.7

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Sep 2018 (-5.75%)
2010228 Jan 2010 (8.96%), 16 Dec 2010 (4.67%)
2009118 Dec 2009 (5.6%)
2006107 Jun 2006 (5.41%)
2005127 Apr 2005 (24.6%)
2004119 Mar 2004 (5.33%)
2002210 Dec 2002 (0.4%), 30 Dec 2002 (6.77%)

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
atrnil312.09151120117463.6429012.0957659.74-12991.1-18443.172.233.910.1413738.2
atrnil25.3683425.36117463.6419341.438439.83-12991.1-18443.171.492.610.17584.12
atrtrail34.7350550.3116554.5516936.2827679.86-10213.48-18443.171.661.990.074595.48
atrtrail24.3630811.58116554.5513646.4918894.5-10213.48-18443.171.341.60.052801.05
atrtrail-15.9127024.73115645.4516229.944116.46-9020.8-18443.171.81.50.0352456.79

In the table above, row 1 shows the best exit criterion. Profit factor is 3.91. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 6.87%, which is very good. 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:3.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Sep 2018 (-4.78%)
2010228 Jan 2010 (14.17%), 16 Dec 2010 (14.05%)
2009118 Dec 2009 (13.84%)
2006307 Jun 2006 (-7.3%), 08 Jun 2006 (-9.22%), 09 Jun 2006 (28.83%)
2005127 Apr 2005 (12.62%)
2004119 Mar 2004 (-4.68%)
2002210 Dec 2002 (8.55%), 30 Dec 2002 (9.48%)



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