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

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when near 200 SMA and above 200 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
1-29829.7647262155.323290.259719.07-5494.11-16858.240.60.74-0.022-634.68
24214.0547242351.064576.3318307.69-4592.09-15694.0311.040.002989.66
3402.4147202742.556341.7426372.32-4682.68-19848.331.3510.000238.56
418358.8847262155.326570.0943675.42-7260.17-27959.120.91.120.0078390.61
524899.0247192840.439819.3453102.63-5773.88-18573.81.71.150.0098529.77
6-13222.6447252253.19750327923.63-9127.16-29767.830.820.93-0.0054-281.33
7-24073.3447222546.817821.7445704.06-7846.06-33864.2110.88-0.0091-512.2
819765.4747222546.819011.5841646.78-7139.57-33808.331.261.110.0076420.54
95513.9747212644.689471.3437708.83-7437.85-24378.111.271.030.0021117.32
1047795.9347242351.0610051.0638902.15-8409.97-21393.031.21.250.0181016.93
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
atrnil35.96-64084.9957124521.0523417.0836393.24-7668.67-18449.933.050.81-0.018-1124.3
200nil32.03-44120.672135918.069665.3711927.54-2877.46-3984.863.360.74-0.026-612.79
atrtrail33.93-73902.0661144722.9513424.3131440.57-5571.11-16167.082.410.72-0.025-1211.51
200trail31.85-49664.55751560207614.1711782.51-2731.28-3984.862.790.7-0.031-662.19
atrnil25-10824059154425.4215373.1424262.16-7700.85-18449.9320.68-0.036-1834.58
atrtrail23.68-86492.1862164625.8111239.5820960.38-5789.69-16167.081.940.68-0.034-1395.04
atrtrail-14.52-97648.1661144722.9511728.1644290.53-5571.11-16167.082.110.63-0.034-1600.79
200nil21.77-65487.2873165721.926248.127951.69-2902.76-3984.862.150.6-0.048-897.09
200trail21.66-70290.6576166021.056041.977951.69-2782.7-3984.862.170.58-0.052-924.88
200trail-12.35-96609.1974116314.866554.1118463.29-2677.85-3984.862.450.43-0.064-1305.53

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 21.05%, which is not acceptable. Avoid this strategy. Average return per trade is -0.56%, 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:0.814

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Aug 2018 (8.69%)
2017507 Jul 2017 (7.8%), 09 Aug 2017 (9.89%), 30 Nov 2017 (-3.19%), 11 Dec 2017 (-3.02%), 20 Dec 2017 (-2.87%)
2016817 May 2016 (-2.72%), 06 Jun 2016 (-2.87%), 08 Jul 2016 (-2.6%), 26 Jul 2016 (-2.53%), 01 Sep 2016 (8.32%), 03 Nov 2016 (-2.85%), 07 Nov 2016 (-3.45%), 11 Nov 2016 (-4.11%)
2013620 Mar 2013 (-4.86%), 11 Jun 2013 (-4.24%), 25 Jul 2013 (-4.21%), 12 Aug 2013 (-6.04%), 22 Aug 2013 (-6.28%), 29 Aug 2013 (18.2%)
2012304 May 2012 (-4.85%), 09 Jul 2012 (-3.85%), 08 Aug 2012 (-4.2%)
2010225 May 2010 (-3.36%), 21 Jun 2010 (8.17%)
2007128 Feb 2007 (-4.09%)
2006216 Oct 2006 (-2.98%), 10 Nov 2006 (-3.37%)
2005310 Jun 2005 (-3.78%), 24 Jun 2005 (-3.76%), 07 Jul 2005 (15.21%)
2004330 Sep 2004 (-3.21%), 06 Oct 2004 (-3.49%), 29 Oct 2004 (-3.32%)
2003507 Mar 2003 (-3.41%), 13 Mar 2003 (-3.22%), 21 Mar 2003 (-3.28%), 10 Apr 2003 (-2.78%), 23 Apr 2003 (8.17%)
2002421 May 2002 (-3.35%), 23 May 2002 (10.46%), 17 Jul 2002 (-2.63%), 16 Aug 2002 (-3.09%)
2001305 Dec 2001 (-3.75%), 21 Dec 2001 (-5.19%), 26 Dec 2001 (15.72%)
2000230 Nov 2000 (-5.68%), 22 Dec 2000 (-5.85%)
1998202 Feb 1998 (15.54%), 06 Nov 1998 (-9.22%)
1997711 Feb 1997 (-2.9%), 31 Mar 1997 (-4.81%), 12 Apr 1997 (14.33%), 21 Oct 1997 (-3.35%), 29 Oct 1997 (-3.31%), 04 Nov 1997 (-3.19%), 05 Dec 1997 (-3.43%)



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