Study: Sell AUROPHARMA when below 200 SMA and near 50 SMA and below 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
1-17986.06115645.451735.163576.53-4443.65-8073.390.390.33-0.087-1635.1
2-29236.67115645.452765.965167.05-7177.74-21562.810.390.32-0.076-2657.88
3-14253.16115645.453249.089593.54-5083.09-11144.080.640.53-0.049-1295.74
4-30278.34113827.276339.7712740.89-6162.21-14507.091.030.39-0.078-2752.58
5-25336.26113827.277842.9619809.81-6108.14-14820.91.280.48-0.057-2303.3
6-6887.31114736.368930.4320466.21-6087.01-15379.561.470.84-0.014-626.12
79150.04117463.647698.4419271.23-11184.76-163490.691.20.016831.82
817455.49117463.648396.4917941.6-10329.99-15297.40.811.420.0321586.86
93492.28115645.459889.2615618.95-7659-18846.531.291.080.0062317.48
1017187.51116554.5510029.115170.65-8597.42-20916.861.171.40.0291562.5
Although, strategy looks good but profit factor on day 2 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
atrnil37.55-22714.32112918.1822133.5922682.87-7442.39-91252.970.66-0.037-2064.94
atrnil25.36-37470.05112918.1814755.7315121.91-7442.39-91251.980.44-0.082-3406.37
50trail21.71-19489.611421214.296250.457176.62-2665.87-3818.42.340.39-0.091-1392.11
50nil21.71-22258.941421214.296250.457176.62-2896.65-3818.42.160.36-0.1-1589.92
atrtrail24.17-42192.04121118.3315727.1615727.16-5265.38-8518.72.990.27-0.12-3516
atrtrail34.58-47721.16121118.3310198.0410198.04-5265.38-8518.71.940.18-0.17-3976.76
atrtrail-14.58-47721.16121118.3310198.0410198.04-5265.38-8518.71.940.18-0.17-3976.76
50nil32.15-38199.1513013000-2938.4-3818.400-1.05-2938.4
50trail32-32741.0914014000-2338.65-3818.400-0.5-2338.65
50trail-12-32741.0914014000-2338.65-3818.400-0.5-2338.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. 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.
AUROPHARMA Performance, Profit Factor:0.661

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Aug 2019 (-3.8%)
2018225 May 2018 (-3.18%), 12 Jun 2018 (-3.43%)
2017211 Jan 2017 (-2.82%), 09 Jun 2017 (-3.55%)
2012131 Jul 2012 (-4.02%)
2008115 Sep 2008 (-3.87%)
2007124 Oct 2007 (11.34%)
2005130 Jun 2005 (-4.26%)
2004206 Aug 2004 (-4.56%), 18 Nov 2004 (10.79%)



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