Study: Sell AJANTPHARM when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell AJANTPHARM when below 200 SMA and near 50 SMA and below 50 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
1-20806.139201951.282926.1811753.9-4175.25-125000.70.74-0.027-533.49
2-21887.7339201951.284022.1718473.45-5385.85-16749.750.750.79-0.02-561.22
3-45532.4939201951.286111.4638400-8829.56-48853.440.690.73-0.023-1167.5
4-66301.439192048.726409.7520800-9404.33-32584.270.680.65-0.038-1700.04
5-70179.8739201951.286152.7219842.83-10170.23-34427.540.60.64-0.041-1799.48
6-11120639182146.156412.2923379.17-10791.76-34858.810.590.51-0.057-2851.43
7-21214239172243.59749831194.69-15436.73-58965.750.490.38-0.077-5439.54
8-17992639172243.598828.9138274.34-15000.77-57085.290.590.45-0.064-4613.48
9-23812539172243.599437.7240818.58-18116.65-77021.620.520.4-0.067-6105.77
10-19712939182146.159675.8344247.79-17680.67-68054.440.550.47-0.06-5054.59
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
50trail21.53-61952.1766155122.736107.137842.84-3010.96-3969.852.030.6-0.055-938.67
50nil21.59-69103.8866145221.216507.197842.84-3080.86-3969.852.110.57-0.061-1047.03
atrtrail35.35-12617248103820.8316334.7141342.65-7618.93-22299.512.140.56-0.05-2628.59
atrnil39.54-1474673763116.2229729.6841342.65-10511.14-22299.512.830.55-0.059-3985.6
50trail31.94-72498.866125418.187200.3711603.46-2942.65-3969.852.450.54-0.059-1098.47
atrtrail24.85-13381948103820.8315570.0527561.77-7618.93-22299.512.040.54-0.059-2787.9
atrnil27.87-1545843883021.0520322.0327561.77-10572-22299.511.920.51-0.071-4068
50nil32.08-97170.696585712.319982.4111603.46-3105.79-3969.853.210.45-0.08-1494.93
atrtrail-15.67-16297148103820.8312654.8531096.88-7618.93-22299.511.660.44-0.079-3395.23
50trail-12.36-11066266105615.155194.2612847.44-2903.65-3969.851.790.32-0.12-1676.7

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, Profit Factor:0.597

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Mar 2019 (3.92%), 21 May 2019 (-1.88%)
2018212 Jul 2018 (3.45%), 15 Nov 2018 (-1.72%)
2017816 Feb 2017 (3.29%), 14 Mar 2017 (-1.05%), 30 Mar 2017 (-1.05%), 03 Apr 2017 (-1.44%), 11 Apr 2017 (-1.55%), 18 Apr 2017 (3.64%), 16 Oct 2017 (2.25%), 08 Nov 2017 (-1.19%)
2016129 Jan 2016 (-1.92%)
20111225 Jan 2011 (-1.38%), 31 Jan 2011 (-1.39%), 01 Feb 2011 (-1.6%), 04 Feb 2011 (-1.44%), 21 Feb 2011 (-1.35%), 23 Feb 2011 (3.76%), 01 Mar 2011 (-1.93%), 03 Mar 2011 (0.25%), 08 Mar 2011 (-1.32%), 10 Mar 2011 (-1.34%), 29 Mar 2011 (-1.2%), 31 Mar 2011 (-1.17%)
2009312 Feb 2009 (-1.11%), 16 Feb 2009 (-1.43%), 31 Mar 2009 (-1.54%)
2008508 Apr 2008 (-1.33%), 19 Jun 2008 (3.82%), 31 Jul 2008 (-1.16%), 24 Dec 2008 (2.91%), 29 Dec 2008 (3.11%)
2007127 Apr 2007 (-1.98%)
20061510 Feb 2006 (-1.86%), 16 Feb 2006 (3.87%), 20 Apr 2006 (-1.07%), 27 Apr 2006 (-1.29%), 02 Aug 2006 (-1.47%), 04 Aug 2006 (-1.71%), 07 Aug 2006 (-1.75%), 18 Sep 2006 (-1.34%), 25 Sep 2006 (-1.69%), 29 Sep 2006 (-1.6%), 18 Oct 2006 (-1.59%), 19 Oct 2006 (-1.73%), 02 Nov 2006 (-0.73%), 27 Dec 2006 (-1.4%), 28 Dec 2006 (-1.56%)
2004319 Apr 2004 (-1.91%), 03 May 2004 (-1.32%), 12 May 2004 (-1.36%)
2003301 Jan 2003 (2.81%), 08 Jan 2003 (-1.83%), 14 Jan 2003 (-1.58%)
20021008 Apr 2002 (-1.73%), 09 May 2002 (-1.1%), 20 May 2002 (3.83%), 30 May 2002 (-1.83%), 04 Jun 2002 (-1.98%), 05 Jun 2002 (-1.97%), 10 Jun 2002 (-1.9%), 25 Jun 2002 (2.04%), 27 Jun 2002 (-1.52%), 19 Jul 2002 (2.85%)
2001110 Oct 2001 (-1.49%)



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