Study: Buy AUROPHARMA when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when below 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
161797.1291504154.955817.3237274.24-5587.05-33675.461.041.270.016679.09
210808591494253.858916.5242161.18-7829.15-38220.921.141.330.0211187.75
3-20738.5291484352.7510231.4445559.49-11903.44-40385.280.860.96-0.0031-227.9
4-13153.6591464550.5511931.348668.62-12488.75-45202.020.960.98-0.0018-144.55
5-11446491484352.7512401.7350792.67-16505.76-56734.010.750.84-0.013-1257.85
6-43667.0591514056.0412240.8655871.94-16698.77-61952.860.730.93-0.005-479.86
7-53123.6791474451.6513473.0951469.91-15599.06-59006.730.860.92-0.006-583.78
8393.4991494253.8513604.0451008.16-15862.01-68687.940.8614.3e-054.32
9-13390.3491533858.2412988.7748976.45-18468.29-74307.130.70.98-0.0014-147.15
1075390.290504055.5615070.460735.72-16953.24-75155.340.891.110.0076837.67
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
atrtrail34.95394733168699941.0717976.5164581.68-8541.89-23486.252.11.470.0282349.6
atrtrail-16.13358243167689940.7217704.2676576.28-8541.89-23486.252.071.420.0252145.17
atrnil310.22299271140419929.2932584.58113831-10471.68-49536.123.111.290.022137.65
atrnil25.832905501575610135.6723414.4699072.23-10105.54-34417.772.321.280.021850.64
atrtrail24.1211213168699941.0715316.8143054.45-8541.89-23486.251.791.250.0181257.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 41.07%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, 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:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191013 May 2019 (-3.22%), 17 May 2019 (-1.2%), 03 Jun 2019 (-3.78%), 06 Jun 2019 (0.52%), 21 Jun 2019 (-3.95%), 15 Jul 2019 (-2.72%), 19 Jul 2019 (-0.68%), 24 Jul 2019 (-0.98%), 01 Oct 2019 (-2.79%), 07 Oct 2019 (-2.63%)
20181216 Jan 2018 (-0.03%), 29 Jan 2018 (-2.57%), 01 Feb 2018 (-2.73%), 06 Feb 2018 (0.02%), 19 Feb 2018 (-3.29%), 21 Feb 2018 (9.89%), 22 Mar 2018 (9.03%), 10 May 2018 (0.1%), 18 May 2018 (-3.26%), 31 May 2018 (-3.63%), 01 Jun 2018 (11.89%), 16 Jul 2018 (10.06%)
20171215 Feb 2017 (4.45%), 19 Apr 2017 (-2.51%), 25 Apr 2017 (-2.03%), 27 Apr 2017 (-2.51%), 02 May 2017 (1.59%), 22 May 2017 (-2.93%), 23 May 2017 (-3.42%), 24 May 2017 (-2.32%), 29 May 2017 (11.79%), 28 Sep 2017 (10.3%), 01 Dec 2017 (-3.24%), 06 Dec 2017 (2.58%)
20161025 Feb 2016 (19.21%), 24 May 2016 (9.32%), 24 Jun 2016 (9.91%), 03 Aug 2016 (0.54%), 16 Aug 2016 (1.38%), 04 Nov 2016 (1.75%), 14 Dec 2016 (-2.97%), 20 Dec 2016 (-3.33%), 23 Dec 2016 (-3.39%), 26 Dec 2016 (10.66%)
2013721 Mar 2013 (-5.2%), 22 Mar 2013 (-5.52%), 26 Mar 2013 (18.03%), 13 Jun 2013 (4.96%), 30 Jul 2013 (-3.0%), 02 Aug 2013 (-5.89%), 05 Aug 2013 (-6.49%)
2012427 Feb 2012 (9.91%), 10 May 2012 (-5.41%), 14 May 2012 (7.86%), 27 Jul 2012 (12.64%)
20111923 Feb 2011 (-6.22%), 24 Feb 2011 (8.14%), 02 May 2011 (-3.73%), 23 May 2011 (-4.16%), 24 May 2011 (-4.55%), 25 May 2011 (7.46%), 02 Aug 2011 (-3.29%), 08 Aug 2011 (-4.41%), 09 Aug 2011 (-0.52%), 17 Aug 2011 (-4.79%), 19 Aug 2011 (-5.73%), 22 Aug 2011 (-0.82%), 03 Oct 2011 (6.87%), 09 Nov 2011 (-4.27%), 11 Nov 2011 (-4.87%), 14 Nov 2011 (-5.68%), 15 Nov 2011 (-6.42%), 17 Nov 2011 (1.72%), 29 Dec 2011 (16.14%)
2010227 May 2010 (-0.85%), 07 Jun 2010 (10.31%)
2009105 Feb 2009 (30.28%)
20081909 Jan 2008 (-3.28%), 10 Jan 2008 (-3.55%), 11 Jan 2008 (-3.71%), 15 Jan 2008 (-4.1%), 16 Jan 2008 (-4.34%), 18 Jan 2008 (-4.97%), 21 Jan 2008 (-6.71%), 22 Jan 2008 (7.43%), 13 Mar 2008 (-6.33%), 17 Mar 2008 (23.23%), 15 Sep 2008 (-3.87%), 25 Sep 2008 (-3.53%), 30 Sep 2008 (-5.44%), 08 Oct 2008 (-9.51%), 16 Oct 2008 (-9.32%), 24 Oct 2008 (-11.74%), 27 Oct 2008 (-7.0%), 31 Oct 2008 (-10.15%), 06 Nov 2008 (10.85%)
2007925 Jul 2007 (-3.45%), 01 Aug 2007 (-1.02%), 16 Aug 2007 (-4.22%), 21 Aug 2007 (-4.97%), 16 Oct 2007 (-3.66%), 17 Oct 2007 (6.27%), 12 Nov 2007 (-1.76%), 22 Nov 2007 (-4.36%), 28 Nov 2007 (12.63%)
2006416 Jun 2006 (26.77%), 23 Oct 2006 (7.58%), 02 Nov 2006 (0.81%), 20 Nov 2006 (9.92%)
2005906 Jan 2005 (1.15%), 12 Jan 2005 (-1.02%), 17 Jan 2005 (-3.24%), 20 Jan 2005 (3.97%), 22 Mar 2005 (-2.2%), 19 Apr 2005 (12.97%), 30 Jun 2005 (-4.26%), 24 Oct 2005 (-4.81%), 27 Oct 2005 (17.8%)
2004717 May 2004 (23.42%), 24 Jun 2004 (-5.06%), 29 Jun 2004 (1.41%), 15 Jul 2004 (-0.43%), 09 Nov 2004 (10.81%), 06 Dec 2004 (0.68%), 29 Dec 2004 (0.91%)
2003211 Mar 2003 (-1.76%), 31 Mar 2003 (4.6%)
2002622 Jul 2002 (-1.47%), 26 Jul 2002 (-2.83%), 23 Sep 2002 (-0.25%), 10 Oct 2002 (5.69%), 17 Oct 2002 (1.91%), 30 Oct 2002 (1.84%)
20011429 Jan 2001 (0.95%), 02 Mar 2001 (-4.52%), 05 Mar 2001 (-4.31%), 12 Mar 2001 (-3.26%), 02 Apr 2001 (-7.42%), 06 Apr 2001 (-9.92%), 12 Apr 2001 (32.29%), 15 Jun 2001 (-6.22%), 18 Jun 2001 (-4.99%), 25 Jun 2001 (4.63%), 01 Aug 2001 (1.82%), 16 Aug 2001 (4.2%), 14 Sep 2001 (-6.21%), 17 Sep 2001 (24.18%)
20001208 Mar 2000 (0.23%), 17 Apr 2000 (-9.99%), 25 Apr 2000 (2.91%), 02 Aug 2000 (-8.2%), 07 Aug 2000 (-10.06%), 14 Aug 2000 (31.73%), 22 Sep 2000 (-5.49%), 29 Sep 2000 (-2.48%), 10 Oct 2000 (-6.81%), 13 Oct 2000 (-7.37%), 24 Oct 2000 (22.36%), 26 Dec 2000 (7.79%)
1998530 Jan 1998 (0.4%), 09 Nov 1998 (-6.35%), 16 Nov 1998 (-1.98%), 23 Nov 1998 (-7.24%), 24 Nov 1998 (5.94%)
1997401 Apr 1997 (16.87%), 17 Sep 1997 (-3.73%), 22 Sep 1997 (0.84%), 01 Oct 1997 (11.1%)



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