Study: Buy AJANTPHARM when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy AJANTPHARM when near 200 SMA and 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 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. 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
1-59425.6936122433.335217.9420040.9-5085.04-22596.151.030.51-0.054-1650.71
2-67267.9136122433.338514.5230265.85-7060.09-22275.641.210.6-0.043-1868.55
3-57140.7436152141.678386.7232217.19-8711.5-34134.620.960.69-0.032-1587.24
4-8383936162044.448049.1128959.28-10631.23-39903.850.760.61-0.043-2328.86
5-103775361818507753.3438733.03-13518.6-49839.740.570.57-0.043-2882.63
6-15457636152141.677315.6131674.21-12586.2-45833.330.580.42-0.067-4293.78
7-11669636171947.229509.7929718.88-14650.67-45833.330.650.58-0.042-3241.56
8-80177.5836162044.4411226.2740630.09-12989.9-41502.680.860.69-0.029-2227.15
9-12584736152141.679210.9531277.15-12571.95-43373.580.730.52-0.052-3495.74
10-12564436142238.8912264.0436538.46-13515.48-60909.090.910.58-0.043-3490.11
Although, strategy looks good but profit factor on day 6 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
atrnil39.5842463.933382524.2432909.3242414.85-8832.43-17255.083.731.190.0161286.79
atrnil28.062198.134102429.4121660.3528437.68-8933.56-17255.082.421.010.00164.65
atrtrail25.18-41042.539102925.6416440.0928437.68-7084.26-14138.292.320.8-0.021-1052.37
atrtrail35.46-48894.893993023.0817546.537275.37-6893.78-14138.292.550.76-0.023-1253.72
200trail21.17-26771.9852153728.855584.427664-2987.52-3853.261.870.76-0.03-514.85
200nil21.17-27359.6652153728.855584.427664-3003.41-3853.261.860.75-0.031-526.15
200trail-11.82-39561.25508421610202.0227565.61-2885.18-3853.263.540.67-0.029-791.22
200trail31.37-39783.8551114021.577237.8110865.9-2985-3853.262.420.67-0.042-780.08
200nil31.41-47340.251104119.617752.6810865.9-3045.54-3853.262.550.62-0.05-928.24
atrtrail-15.87-99856.273983120.5113526.1129943.72-6711.78-14138.292.020.52-0.06-2560.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 24.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AJANTPHARM Performance, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Jan 2019 (-2.91%)
2018801 Feb 2018 (-3.59%), 08 Feb 2018 (-4.09%), 14 Mar 2018 (-3.45%), 23 Mar 2018 (-3.51%), 02 May 2018 (-2.66%), 31 Aug 2018 (-2.87%), 06 Sep 2018 (-3.0%), 30 Nov 2018 (-3.44%)
2017424 Jan 2017 (-3.42%), 14 Feb 2017 (-2.8%), 17 Mar 2017 (-1.95%), 12 Dec 2017 (-3.65%)
2016210 Mar 2016 (-3.15%), 22 Dec 2016 (-3.16%)
2011121 Jan 2011 (-5.71%)
2010129 Dec 2010 (-4.6%)
2009104 May 2009 (21.21%)
2008113 May 2008 (-8.63%)
2007223 Mar 2007 (18.51%), 22 Oct 2007 (-6.68%)
2006501 Feb 2006 (-5.17%), 10 Jul 2006 (-6.98%), 28 Aug 2006 (16.68%), 16 Oct 2006 (-4.74%), 29 Dec 2006 (12.1%)
2005330 Mar 2005 (18.64%), 28 Apr 2005 (15.31%), 15 Dec 2005 (13.8%)
2004212 Feb 2004 (-7.11%), 06 Sep 2004 (15.39%)
2002114 May 2002 (-6.82%)
2001126 Nov 2001 (-6.32%)



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