Study: Sell GODREJPROP when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell GODREJPROP when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GODREJPROP 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. buy 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
149966.041514193.333659.588102.3-1268.02-1268.022.8940.40.423331.07
253896.471511473.335571.0513585.49-1846.28-3888.543.028.30.243593.1
330245.71510566.676307.8612041.29-6566.59-21127.250.961.920.0792016.38
434267.25158753.339939.329285.68-6463.88-217731.541.760.0642284.48
523128.46158753.337807.9227524.76-5619.27-18698.671.391.590.0491541.9
627363.21157846.6711402.2639169.85-6556.57-16031.451.741.520.0451824.21
715970.07157846.6710873.9341329.07-7518.43-16500.61.451.270.0251064.67
817683.71596608837.9651632.51-10309.65-20207.250.861.290.0231178.91
938076.38158753.3312208.8362701.12-8513.47-18652.851.431.640.0442538.43
1044340.06158753.3312109.9153267.65-7505.6-16301.321.611.840.0582956

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 40.4. Strategy is very good and impressively bearish. Percentage of profitable trades is 93.33%, which is excellent. Average return per trade is 1.67%, which is not very high, but percentage of profitable trades compensates for it.
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.
GODREJPROP Performance, X=1, Profit Factor:40.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020105 Mar 2020 (4.05%)
2019219 Nov 2019 (2.44%), 06 Dec 2019 (0.12%)
2018204 Jun 2018 (0.84%), 27 Jun 2018 (2.17%)
2015224 Mar 2015 (2.35%), 23 Apr 2015 (2.6%)
2013126 Feb 2013 (2.82%)
2011520 May 2011 (2.09%), 03 Jun 2011 (-0.63%), 21 Sep 2011 (2.92%), 10 Oct 2011 (0.79%), 15 Nov 2011 (0.7%)
2010218 Oct 2010 (1.24%), 13 Dec 2010 (0.48%)

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-1149966.041514193.333659.588102.3-1268.02-1268.022.8940.40.423331.07
200trail-13.7542191.4720713351064850646.4-2488.04-3977.764.282.30.0562109.57
200nil21.9133421.5823111247.836187.717930.42-2886.94-3977.762.141.960.0971453.11
200trail21.9128289.3823111247.835642.577930.42-2814.91-3977.7621.840.0861229.97
200nil32.7131877.682181338.18770.0711895.64-2944.84-3977.762.981.830.0811517.98
200trail32.4828124.952191242.866878.2111895.64-2814.91-3977.762.441.830.0791339.28
atrnil27.1242197.11167943.7515399.7120440.51-7288.99-8433.82.111.640.0722637.32
atrtrail-14.9427488.071881044.4410059.8450598.54-5299.07-8078.131.91.520.0371527.12
atrtrail24.2819836.341881044.449103.3819718.67-5299.07-8078.131.721.370.0411102.02
atrtrail34.616467.541881044.447432.2829578.01-5299.07-8078.131.41.120.013359.31
atrnil311.71-37268.081421214.2924644.9429578.01-7213.16-10220.253.420.57-0.073-2662.01

In the table above, row 1 shows the best exit criterion. Profit factor is 40.4. Strategy is very good and impressively bearish. Percentage of profitable trades is 93.33%, which is excellent. Average return per trade is 1.67%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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