Study: Buy AUROPHARMA when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
1-33659.311037303002.425802.45-6095.22-15998.20.490.21-0.11-3365.93
2-25097.561055507447.2524213.79-12466.76-23390.630.60.6-0.041-2509.76
34857.1610555013776.2836483.09-12804.85-23840.021.081.080.006485.72
4-38968.0710464014339.235036.17-16054.15-34101.010.890.6-0.042-3896.81
5-13137.4910464017453.6833382.55-13825.37-31479.611.260.84-0.014-1313.75
6-34812.4610464015332.7528510.26-16023.91-28121.210.960.64-0.041-3481.25
7-10769.2410464019450.0436173.04-14761.57-28848.481.320.88-0.011-1076.92
8-30009.9410464016205.2833116.79-15805.18-35911.61.030.68-0.031-3000.99
9-38679.9910464018046.7438298.53-18477.83-37384.90.980.65-0.036-3868
10-12801.210373028367.8841769.04-13986.4-30570.92.030.87-0.012-1280.12
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
atrtrail-13.43-12715.341441028.5720528.9651908.9-9483.12-12882.252.160.87-0.011-908.24
atrnil33.29-21139.51431121.4326595.2240996.47-9175.01-12882.252.90.79-0.02-1509.96
atrtrail32.64-32889.211441028.5715485.4940996.47-9483.12-12882.251.630.65-0.034-2349.23
atrnil22.71-47734.721431121.4317730.1527330.98-9175.01-12882.251.930.53-0.061-3409.62
atrtrail22.43-52889.341441028.5710485.4627330.98-9483.12-12882.251.110.44-0.072-3777.81

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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.45%, 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:0.866

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018104 Sep 2018 (14.13%)
2017109 Aug 2017 (0.84%)
2012308 May 2012 (-4.93%), 09 May 2012 (-5.36%), 01 Aug 2012 (-3.68%)
2010130 Jul 2010 (0.13%)
2009218 May 2009 (-5.77%), 19 May 2009 (25.95%)
2003131 Jan 2003 (-3.89%)
2002109 Jan 2002 (-4.54%)
1999219 Feb 1999 (-5.77%), 22 Feb 1999 (-6.44%)
1998101 Jan 1998 (-3.74%)
1997131 Dec 1997 (-3.3%)



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