Study: Buy AUROPHARMA when above 200 SMA and near 50 SMA and above 50 SMA

home > technical-strategy > auropharma > 21

In this study, we evaluate the performance of strategy "Buy AUROPHARMA when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
140769.0870412958.573505.9912399.21-3550.92-15749.120.991.40.024582.42
216420870403057.147411.9223964.23-4408.94-19409.281.682.240.0612345.84
317055870403057.148608.9841887.73-5793.36-28447.261.491.980.052436.55
414809870412958.579805.7461241.93-8756.46-28185.651.121.580.0342115.68
520592370412958.5711040.9141311.48-8508.79-24596.771.31.830.0492941.75
630074970412958.5713671.8652538.5-8958.52-26205.551.532.160.064296.41
73164497042286014183.7369355.27-9973.83-31314.041.422.130.0574520.71
827302870393155.7115106.5966100.33-10197.71-34282.291.481.860.0483900.4
922377070383254.2914950.7546445.5-10761.21-46772.551.391.650.0393196.71
1024901870383254.2915637.1250201.2-10787.26-41306.561.451.720.0443557.4
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
AUROPHARMA Performance, X=2, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Jan 2019 (2.17%), 29 Jan 2019 (3.26%), 07 May 2019 (-1.82%)
2017309 Aug 2017 (3.13%), 09 Oct 2017 (0.41%), 25 Oct 2017 (3.75%)
2016307 Jan 2016 (-1.01%), 29 Jan 2016 (-8.2%), 28 Oct 2016 (-0.33%)
2015806 Jan 2015 (3.58%), 05 Feb 2015 (-8.98%), 10 Mar 2015 (2.51%), 26 Mar 2015 (7.94%), 28 May 2015 (4.31%), 17 Jun 2015 (1.91%), 08 Oct 2015 (4.86%), 04 Dec 2015 (-1.12%)
2014225 Jul 2014 (-1.37%), 17 Dec 2014 (5.5%)
2013516 Jan 2013 (2.18%), 01 Feb 2013 (-0.31%), 11 Apr 2013 (4.63%), 23 May 2013 (1.77%), 03 Jul 2013 (1.9%)
2012208 Aug 2012 (-6.32%), 30 Aug 2012 (8.04%)
2011110 Jan 2011 (2.91%)
2010402 Feb 2010 (3.61%), 13 Apr 2010 (-0.32%), 29 Apr 2010 (0.05%), 10 Dec 2010 (3.95%)
2009230 Oct 2009 (5.75%), 16 Nov 2009 (-0.69%)
2007330 Mar 2007 (-1.02%), 27 Apr 2007 (5.55%), 12 Jul 2007 (-1.71%)
2006516 May 2006 (-3.46%), 05 Jul 2006 (-2.99%), 20 Jul 2006 (-0.89%), 12 Sep 2006 (3.94%), 26 Sep 2006 (0.08%)
2005325 Aug 2005 (3.95%), 06 Oct 2005 (-0.8%), 18 Nov 2005 (-1.92%)
2004304 Feb 2004 (1.45%), 13 Apr 2004 (-0.28%), 11 Jun 2004 (-1.09%)
2003227 Feb 2003 (-0.15%), 24 Apr 2003 (4.4%)
2002714 Feb 2002 (1.47%), 28 Feb 2002 (0.36%), 09 Apr 2002 (7.92%), 10 May 2002 (-1.07%), 10 Jun 2002 (4.71%), 01 Jul 2002 (-1.55%), 19 Aug 2002 (1.25%)
2001103 Jan 2001 (0.26%)
2000110 Feb 2000 (-9.7%)
1999821 May 1999 (-1.82%), 08 Jun 1999 (-0.51%), 23 Jun 1999 (-1.91%), 12 Jul 1999 (2.77%), 12 Aug 1999 (11.98%), 30 Aug 1999 (6.2%), 21 Sep 1999 (11.86%), 29 Oct 1999 (-1.06%)
1997421 Apr 1997 (0.42%), 16 Jun 1997 (1.57%), 02 Jul 1997 (-1.87%), 05 Nov 1997 (-1.85%)

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-13.1414369199287128.2811526.3330510.1-2521.78-3911.34.571.80.0391451.43
atrtrail35.1816171483325138.5515123.1432272.6-6318.16-14424.282.391.50.0321948.36
atrnil37.6714784370224831.4323976.7238101.77-7909.26-14424.283.031.390.0292112.05
atrtrail-15.9311999683325138.5513819.4557335.15-6318.16-14424.282.191.370.0241445.74
50trail31.9565396.351003169317825.2311707.68-2567.91-3911.33.051.370.027653.96
50trail21.6257529.3106406637.745815.457896.36-2652.86-3911.32.191.330.027542.73
50nil32.255541.1799306930.38614.111773.32-2940.32-3948.182.931.270.022561.02
atrtrail24.2964910.7683325138.5512098.0323498.03-6318.16-14424.281.911.20.016782.06
50nil21.7438901.58106396736.795955.517896.36-2886.02-3911.32.061.20.018367
atrnil25.7733641.2774264835.1415910.125401.18-7917.11-14424.282.011.090.008454.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 28.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019711 Jan 2019 (0.18%), 29 Jan 2019 (1.22%), 04 Feb 2019 (-1.55%), 06 Feb 2019 (-0.98%), 08 Feb 2019 (-1.5%), 11 Feb 2019 (-1.4%), 07 May 2019 (-1.5%)
2017409 Aug 2017 (-1.32%), 10 Aug 2017 (-1.23%), 09 Oct 2017 (2.33%), 25 Oct 2017 (-1.25%)
2016507 Jan 2016 (-1.18%), 12 Jan 2016 (-1.74%), 14 Jan 2016 (-1.27%), 29 Jan 2016 (-1.52%), 28 Oct 2016 (-0.85%)
20151106 Jan 2015 (6.21%), 05 Feb 2015 (-1.92%), 10 Mar 2015 (-1.33%), 26 Mar 2015 (14.16%), 28 May 2015 (2.78%), 03 Jun 2015 (-1.4%), 04 Jun 2015 (-1.22%), 17 Jun 2015 (5.77%), 08 Oct 2015 (10.73%), 04 Dec 2015 (-1.34%), 16 Dec 2015 (5.33%)
2014225 Jul 2014 (-1.18%), 17 Dec 2014 (3.95%)
20131116 Jan 2013 (1.08%), 22 Jan 2013 (-1.32%), 28 Jan 2013 (-1.25%), 01 Feb 2013 (-1.8%), 05 Feb 2013 (-1.16%), 11 Apr 2013 (15.26%), 23 May 2013 (-1.37%), 29 May 2013 (-1.48%), 03 Jun 2013 (2.26%), 03 Jul 2013 (2.49%), 16 Jul 2013 (-1.12%)
2012308 Aug 2012 (-1.58%), 30 Aug 2012 (-1.08%), 31 Aug 2012 (5.6%)
2011210 Jan 2011 (-1.03%), 18 Jan 2011 (-1.5%)
2010402 Feb 2010 (-0.59%), 13 Apr 2010 (-1.39%), 29 Apr 2010 (-0.87%), 10 Dec 2010 (2.23%)
2009330 Oct 2009 (-1.23%), 03 Nov 2009 (6.74%), 13 Nov 2009 (-1.06%)
2007430 Mar 2007 (-1.23%), 02 Apr 2007 (-0.43%), 27 Apr 2007 (3.01%), 12 Jul 2007 (-1.96%)
2006716 May 2006 (-1.66%), 05 Jul 2006 (-1.49%), 20 Jul 2006 (-1.15%), 24 Jul 2006 (-0.31%), 12 Sep 2006 (2.39%), 22 Sep 2006 (-1.94%), 25 Sep 2006 (-0.53%)
2005425 Aug 2005 (7.47%), 06 Oct 2005 (-1.13%), 18 Nov 2005 (-1.48%), 23 Nov 2005 (3.92%)
2004404 Feb 2004 (-1.03%), 06 Feb 2004 (-1.38%), 13 Apr 2004 (-1.04%), 11 Jun 2004 (-1.21%)
2003227 Feb 2003 (-1.48%), 24 Apr 2003 (9.98%)
20021014 Feb 2002 (1.68%), 28 Feb 2002 (-1.36%), 01 Mar 2002 (-1.13%), 09 Apr 2002 (3.79%), 10 May 2002 (-1.33%), 10 Jun 2002 (5.15%), 01 Jul 2002 (-1.87%), 04 Jul 2002 (-0.3%), 19 Aug 2002 (-1.15%), 22 Aug 2002 (-0.91%)
2001103 Jan 2001 (-1.17%)
2000110 Feb 2000 (-1.7%)
1999921 May 1999 (-1.47%), 08 Jun 1999 (-0.69%), 23 Jun 1999 (-1.49%), 12 Jul 1999 (-1.32%), 12 Aug 1999 (-1.19%), 30 Aug 1999 (-1.62%), 07 Sep 1999 (9.85%), 21 Sep 1999 (13.31%), 29 Oct 1999 (-1.08%)
1997521 Apr 1997 (-1.19%), 23 Apr 1997 (-1.27%), 16 Jun 1997 (12.51%), 02 Jul 1997 (-1.12%), 05 Nov 1997 (-1.19%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play