Study: Buy AJANTPHARM when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy AJANTPHARM when below 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
1-86428.4663243938.15297.8920349.43-5476.35-24783.150.970.6-0.041-1371.88
2-67385.5863283544.447248.4532148.9-7724.06-53560.040.940.75-0.022-1069.61
385832.6963263741.2713766.8543204.42-7354.2-28374.071.871.320.0231362.42
412565163323150.7913615.441932.17-10001.36-34218.921.361.410.0291994.45
515193563333052.3814300.0876142.13-10665.6-26053.71.341.470.0312411.66
621771062342854.8416689.2590355.33-12490.17-32874.661.341.620.043511.44
729987962342854.8419193.89117090-12596.9-42625.171.521.850.0484836.76
81967806231315019805.69104230-13457.95-53585.931.471.470.0313173.87
91398686231315019747.8577157.36-15235.99-50444.441.31.30.0232255.93
1099924.866231315018397.1459898.48-15173.76-480001.211.210.0171611.69
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
atrtrail-15.55107824117368130.7723937.53171241-9307.74-21891.242.571.140.0092921.57
atrtrail34.9422596.34117368130.7721570.173076.09-9307.74-21891.242.321.030.0025193.13
atrnil25.65-25171.88108307827.7827668.2156392.94-10964.34-21891.242.520.97-0.0029-233.07
atrtrail24.34-30644.97119388131.9318952.1248717.39-9269.45-21891.242.040.96-0.0039-257.52
atrnil39.2-37970.898197919.3943790.1984589.41-11012.46-21891.243.980.96-0.0039-387.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 30.77%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0092, 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:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019531 Jan 2019 (-3.84%), 01 Feb 2019 (-4.1%), 05 Feb 2019 (4.41%), 30 Apr 2019 (4.89%), 07 Jun 2019 (-1.41%)
20181605 Feb 2018 (-4.13%), 06 Feb 2018 (5.78%), 03 May 2018 (-3.14%), 04 May 2018 (-3.52%), 07 May 2018 (-3.58%), 10 May 2018 (-3.94%), 11 May 2018 (-3.86%), 18 May 2018 (-4.19%), 21 May 2018 (2.13%), 31 May 2018 (-4.24%), 05 Jun 2018 (15.81%), 21 Sep 2018 (-3.76%), 28 Sep 2018 (-3.78%), 04 Oct 2018 (-0.1%), 23 Oct 2018 (13.0%), 07 Dec 2018 (-4.2%)
20171124 Apr 2017 (-1.79%), 08 May 2017 (3.23%), 29 May 2017 (0.85%), 11 Jul 2017 (-2.71%), 18 Jul 2017 (-2.24%), 26 Jul 2017 (-2.51%), 31 Jul 2017 (-2.56%), 03 Aug 2017 (-2.51%), 08 Aug 2017 (-2.84%), 09 Aug 2017 (-0.94%), 27 Sep 2017 (1.72%)
2016313 Jan 2016 (-3.52%), 15 Jan 2016 (-3.93%), 26 Dec 2016 (4.38%)
2015313 Nov 2015 (-3.4%), 16 Nov 2015 (-0.05%), 09 Dec 2015 (-3.37%)
2011117 Jan 2011 (14.81%)
2010226 Nov 2010 (0.48%), 09 Dec 2010 (-6.96%)
2009125 Feb 2009 (2.76%)
20081118 Jan 2008 (-9.61%), 21 Jan 2008 (-10.95%), 22 Jan 2008 (2.68%), 24 Mar 2008 (7.22%), 01 Jul 2008 (-8.16%), 26 Sep 2008 (-6.05%), 29 Sep 2008 (-6.64%), 06 Oct 2008 (-8.41%), 08 Oct 2008 (-9.35%), 10 Oct 2008 (2.19%), 27 Oct 2008 (15.52%)
20061122 Feb 2006 (-4.42%), 02 Mar 2006 (-4.2%), 09 Mar 2006 (-2.86%), 17 Mar 2006 (-4.57%), 29 Mar 2006 (14.16%), 07 Jun 2006 (-10.65%), 08 Jun 2006 (20.24%), 03 Nov 2006 (-3.69%), 17 Nov 2006 (-3.87%), 24 Nov 2006 (-0.32%), 11 Dec 2006 (2.67%)
2005429 Mar 2005 (15.07%), 17 Oct 2005 (-4.65%), 19 Oct 2005 (-5.17%), 28 Oct 2005 (21.23%)
2004703 Feb 2004 (16.52%), 10 Mar 2004 (-5.68%), 16 Mar 2004 (-6.16%), 19 Mar 2004 (-6.55%), 22 Mar 2004 (28.3%), 14 May 2004 (-7.96%), 17 May 2004 (7.94%)
20031124 Jan 2003 (-4.59%), 27 Jan 2003 (-2.87%), 07 Feb 2003 (-5.11%), 11 Feb 2003 (2.72%), 05 Mar 2003 (-4.97%), 07 Mar 2003 (-4.16%), 17 Mar 2003 (-5.59%), 19 Mar 2003 (-2.09%), 26 Mar 2003 (-5.83%), 28 Mar 2003 (14.85%), 26 Jun 2003 (49.46%)
20021722 Jan 2002 (-6.51%), 30 Jan 2002 (-2.68%), 05 Feb 2002 (11.81%), 15 Mar 2002 (0.37%), 26 Mar 2002 (-2.37%), 04 Apr 2002 (1.0%), 21 May 2002 (6.74%), 23 Jul 2002 (-4.66%), 25 Jul 2002 (-4.99%), 29 Jul 2002 (-4.28%), 09 Aug 2002 (-2.33%), 22 Aug 2002 (-3.95%), 29 Aug 2002 (-4.98%), 03 Oct 2002 (-6.87%), 22 Oct 2002 (-4.15%), 29 Oct 2002 (-4.59%), 30 Dec 2002 (-3.47%)
20011422 Mar 2001 (-6.1%), 23 Mar 2001 (-6.48%), 02 Apr 2001 (-4.11%), 10 Apr 2001 (-7.46%), 11 Apr 2001 (-8.01%), 17 Apr 2001 (12.06%), 10 May 2001 (-7.88%), 15 May 2001 (8.74%), 22 Jun 2001 (-4.96%), 25 Jun 2001 (-5.58%), 26 Jun 2001 (-5.9%), 31 Jul 2001 (9.51%), 18 Sep 2001 (85.62%), 28 Dec 2001 (-8.41%)



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