Study: Sell AUROPHARMA 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 AUROPHARMA 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 AUROPHARMA 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
1-22972.5752272551.923151.6110593.34-4322.64-19338.840.730.79-0.018-441.78
2-11305.8852272551.924778.5517250.36-5613.06-22889.690.850.92-0.0057-217.42
361652.452322061.546257.5726578.33-6929.49-27422.30.91.440.0271185.62
473599.2752272551.929053.5443853.99-6833.85-38464.351.321.430.0231415.37
568665.5652282453.8510449.4950896.34-9330.01-49579.521.121.310.0181320.49
61113215226265012771.2956664.07-8489.7-34515.541.51.50.032140.8
717439052272551.9214321.7667342.17-8491.89-34117.31.691.820.0423353.66
811931852292355.7713244.5472174.59-11511.9-36796.671.151.450.0262294.58
994071.565226265014743.2269446.61-11125.08-36439.421.331.330.021809.07
1080571.1352292355.7713987.7861316.48-14133.67-42572.190.991.250.0161549.44
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
50trail-13.2113407177176022.0817203.5166015.59-2639.81-3818.46.521.850.0281741.18
atrtrail-15.5156816.8263204331.7515094.3167304.61-5699.29-14745.632.651.230.012901.85
atrnil25.8-43472.2354173731.4814590.2526258.32-7878.55-18891.921.850.85-0.015-805.04
atrtrail34.89-44895.0163204331.7510008.7234972.93-5699.29-14745.631.760.82-0.016-712.62
atrtrail24.37-47512.2763204331.759877.8626258.32-5699.29-14745.631.730.81-0.018-754.16
50trail22.08-41582.8277205725.975616.337560.96-2700.17-3818.42.080.73-0.03-540.04
atrnil38.26-89051.75011392220512.4934972.93-8068.95-18891.922.540.72-0.03-1781.03
50nil22.2-46808.76761957256221.587975.86-2895.07-3986.82.150.72-0.032-615.9
50trail32.34-48269.3377176022.086477.6110981.13-2639.81-3818.42.450.7-0.032-626.87
50nil32.8-53512.5870135718.578752.7810981.13-2935.06-3987.932.980.68-0.035-764.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.85. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 22.08%, which is not acceptable. Avoid this strategy. Average return per trade is 0.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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.
AUROPHARMA Performance, Profit Factor:1.85

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Aug 2019 (-1.0%), 21 Aug 2019 (-1.31%), 30 Sep 2019 (20.07%)
2018425 May 2018 (-1.91%), 12 Jun 2018 (-1.48%), 23 Jul 2018 (-1.12%), 25 Jul 2018 (-1.79%)
20171011 Jan 2017 (-0.22%), 13 Jan 2017 (-1.41%), 20 Jan 2017 (-0.85%), 30 Jan 2017 (1.48%), 22 Feb 2017 (0.93%), 15 Mar 2017 (-1.82%), 22 Mar 2017 (-1.62%), 28 Mar 2017 (-0.76%), 05 Apr 2017 (1.61%), 09 Jun 2017 (-1.0%)
2016823 May 2016 (0.97%), 27 May 2016 (-1.22%), 07 Jun 2016 (7.43%), 04 Jul 2016 (-1.78%), 07 Jul 2016 (-1.1%), 15 Jul 2016 (-1.13%), 18 Aug 2016 (-1.55%), 22 Aug 2016 (-0.98%)
2013117 Sep 2013 (-1.74%)
2012609 Jan 2012 (-1.09%), 02 Apr 2012 (-1.29%), 03 Apr 2012 (-1.62%), 04 Apr 2012 (-1.35%), 19 Jul 2012 (-1.28%), 31 Jul 2012 (-1.42%)
2011428 Apr 2011 (5.03%), 18 May 2011 (13.29%), 22 Jul 2011 (-1.01%), 04 Nov 2011 (33.01%)
2009321 Jan 2009 (-1.36%), 09 Feb 2009 (-1.63%), 25 Feb 2009 (-1.21%)
2008307 Jan 2008 (31.99%), 26 May 2008 (-1.68%), 15 Sep 2008 (-1.1%)
2007424 Oct 2007 (-1.0%), 31 Oct 2007 (-1.89%), 12 Dec 2007 (-1.51%), 17 Dec 2007 (-1.86%)
2005211 May 2005 (-1.53%), 30 Jun 2005 (-1.2%)
2004806 Aug 2004 (-1.27%), 03 Sep 2004 (-1.73%), 06 Sep 2004 (-1.67%), 08 Sep 2004 (-1.63%), 16 Sep 2004 (-1.12%), 20 Oct 2004 (-1.16%), 21 Oct 2004 (-1.87%), 18 Nov 2004 (-0.16%)
2003201 Jan 2003 (-1.11%), 03 Jan 2003 (-1.4%)
2002928 Aug 2002 (-1.42%), 03 Sep 2002 (0.91%), 11 Sep 2002 (3.03%), 18 Oct 2002 (1.28%), 01 Nov 2002 (1.53%), 26 Nov 2002 (-1.1%), 04 Dec 2002 (-0.52%), 16 Dec 2002 (-1.29%), 30 Dec 2002 (-1.43%)
2001313 Jun 2001 (18.85%), 28 Sep 2001 (4.7%), 01 Nov 2001 (-1.17%)
2000202 Jun 2000 (-1.78%), 07 Nov 2000 (-1.5%)
1997529 Jan 1997 (-1.26%), 04 Feb 1997 (-1.16%), 07 Feb 1997 (-1.23%), 10 Feb 1997 (-1.38%), 07 Nov 1997 (0.11%)



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