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

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In this study, we evaluate the performance of strategy "Sell AUROPHARMA when near 200 SMA and below 200 SMA and RSI is below 50" 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
1-61307.272451920.833865.8113802.82-4244.02-14449.150.910.24-0.093-2554.47
2-86022.382481633.333477.269239.44-7115.03-22688.290.490.24-0.1-3584.27
3-78970.3324111345.835686.2316112.68-10886.07-30686.930.520.44-0.065-3290.43
4-69773.8124101441.677463.2722084.51-10314.75-29209.480.720.52-0.053-2907.24
5-61980.1824111345.839088.3732507.04-12457.86-37055.280.730.62-0.038-2582.51
6-65035.7124131154.177787.1632450.7-15115.34-38176.110.520.61-0.037-2709.82
7-10693624111345.838364.7521971.83-15303.67-45053.270.550.46-0.059-4455.65
8-13576624111345.8310069.7321689.43-18964.11-59665.140.530.45-0.062-5656.93
9-2245682491537.59057.8618678.56-20405.9-77321.160.440.27-0.092-9356.99
10-21048324101441.678615.8615333.15-21188.67-57990.870.410.29-0.094-8770.11
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
atrnil25.89-20824.062891932.1415910.7423458.59-8632.67-17844.461.840.87-0.013-743.72
atrtrail24.4-36920.47301218408758.6221703.06-7890.22-17844.461.110.74-0.026-1230.68
200nil32.25-31765.764073317.59584.9811843.48-2995.78-3998.353.20.68-0.034-794.14
200trail31.98-30616.084193221.957061.3211843.48-2942.75-3998.352.40.67-0.034-746.73
200trail21.73-35888.624193221.956475.487895.65-2942.75-3998.352.20.62-0.046-875.33
200nil21.73-36713.254193221.956475.487895.65-2968.52-3998.352.180.61-0.047-895.45
200trail-12.61-42779.254193221.955709.8514850.79-2942.75-3998.351.940.55-0.053-1043.4
atrnil39.11-99705.12742314.8124115.6335187.88-8529.03-17844.462.830.49-0.063-3692.78
atrtrail35.21-77542.8729101934.487246.3126456.76-7895.05-17844.460.920.48-0.06-2673.89
atrtrail-15.31-87230.529101934.486277.5521641.4-7895.05-17844.460.80.42-0.075-3007.95

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 32.14%, which is not acceptable. Avoid this strategy. Average return per trade is -0.37%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AUROPHARMA Performance, Profit Factor:0.873

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017228 Sep 2017 (-3.43%), 19 Dec 2017 (5.89%)
2016425 Feb 2016 (-6.4%), 19 May 2016 (5.42%), 07 Jun 2016 (5.72%), 09 Nov 2016 (-4.08%)
2013401 Apr 2013 (-5.89%), 14 Jun 2013 (-4.43%), 20 Jun 2013 (9.07%), 29 Jul 2013 (8.82%)
2012216 Jul 2012 (7.31%), 22 Aug 2012 (-4.01%)
2010226 May 2010 (-3.44%), 01 Jun 2010 (-3.28%)
2007123 Mar 2007 (-4.02%)
2006416 Jun 2006 (-8.92%), 23 Oct 2006 (-2.53%), 01 Nov 2006 (-3.07%), 13 Nov 2006 (-3.33%)
2005108 Nov 2005 (-4.91%)
2004117 Jun 2004 (10.85%)
2003211 Mar 2003 (6.79%), 17 Mar 2003 (-3.65%)
2001209 Jan 2001 (11.73%), 24 Dec 2001 (-5.46%)
1998106 Feb 1998 (-4.74%)
1997224 Jan 1997 (-3.82%), 24 Feb 1997 (-2.6%)



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