Study: Sell AJANTPHARM when near 200 SMA and below 200 SMA

home > technical-strategy > ajantpharm > 1

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell AJANTPHARM 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
156826.2632211165.623993.6820483.09-2458.27-7370.221.623.10.0841775.82
214323.232191359.385659.3318164.25-7169.54-38256.660.791.150.011447.6
353978.3432191359.387199.5214513.56-6370.2-16142.051.131.650.0511686.82
445564.0932191359.387877.1418328.14-8007.81-31891.890.981.440.0311423.88
5-7333.3832211165.628082.5729178.74-16097.04-58595.640.50.96-0.0032-229.17
6-48489.7832201262.57702.6520483.09-16878.57-68442.290.460.76-0.021-1515.31
7-24800.8132171553.129887.3820869.57-12859.08-88781.280.770.87-0.0095-775.03
826053.9732191359.3810527.8331471.14-13382.68-69249.390.791.150.011814.19
916464.4332191359.3810892.7133286.78-14653.62-82001.610.741.090.0062514.51
1010528.9632191359.3811128.9528119.18-15455.47-90234.060.721.050.0038329.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.1. Strategy is very good and impressively bearish. Percentage of profitable trades is 65.62%, which is good. Average return per trade is 0.89%, 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.
AJANTPHARM Performance, X=1, Profit Factor:3.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 May 2019 (1.98%)
2018402 Feb 2018 (5.79%), 23 Feb 2018 (-3.69%), 03 Dec 2018 (1.72%), 21 Dec 2018 (-0.0%)
2017306 Feb 2017 (0.21%), 27 Mar 2017 (0.64%), 08 Dec 2017 (0.22%)
2016109 Mar 2016 (-1.14%)
2011205 Jan 2011 (0.79%), 24 Jan 2011 (3.28%)
2010126 Nov 2010 (1.97%)
2009223 Apr 2009 (2.79%), 14 May 2009 (-1.86%)
2008123 May 2008 (1.13%)
2007529 Jan 2007 (-1.49%), 05 Mar 2007 (0.2%), 19 Apr 2007 (1.22%), 02 Nov 2007 (0.39%), 03 Dec 2007 (0.38%)
2006602 Feb 2006 (-0.0%), 15 May 2006 (-1.4%), 24 Aug 2006 (-2.2%), 21 Sep 2006 (1.39%), 18 Oct 2006 (-0.0%), 02 Nov 2006 (1.41%)
2005119 Dec 2005 (1.9%)
2004323 Feb 2004 (1.21%), 23 Apr 2004 (10.24%), 03 Sep 2004 (-0.74%)
2003109 Jun 2003 (3.06%)
2001116 Mar 2001 (-1.01%)

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-1156826.2632211165.623993.6820483.09-2458.27-7370.221.623.10.0841775.82
atrtrail24.48-27684.5542132930.9513564.3429732.13-7035.21-16168.031.930.86-0.014-659.16
atrnil25.72-44845.1439122730.7718633.5229732.13-9942.5-16168.031.870.83-0.019-1149.88
atrnil37.85-71346.753993023.0825741.8142251.21-10100.77-16168.032.550.76-0.027-1829.4
200nil21.75-47087.2359144523.736144.647770.6-2958.05-3872.412.080.65-0.047-798.09
200trail21.69-44965.5659154425.425383.617770.6-2857.26-3863.361.880.64-0.047-762.13
atrtrail34.83-97166.7542123028.579912.0828171.8-7203.72-16168.031.380.55-0.057-2313.49
200trail31.95-66828.9959124720.345455.711025.11-2814.84-3863.361.940.49-0.071-1132.69
atrtrail-14.9-11828142123028.578152.5728171.8-7203.72-16168.031.130.45-0.077-2816.21
200trail-12.34-74868.5359114818.645303.917975.78-2775.24-3863.361.910.44-0.074-1268.96
200nil32.14-98964.545975211.868267.1611025.11-3016.05-3885.32.740.37-0.11-1677.37

In the table above, row 1 shows the best exit criterion. Profit factor is 3.1. Strategy is very good and impressively bearish. Percentage of profitable trades is 65.62%, which is good. Average return per trade is 0.89%, 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.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play