Study: Buy AUROPHARMA when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when 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
1-52122.96552233405323.7817093.16-5128.67-16858.241.040.69-0.028-947.69
233805.7155282750.917466.2826666.67-6490.75-15866.91.151.190.014614.65
363981.2455282750.919388.2837114.43-7366.32-24029.271.271.320.0221163.3
437784.1555322358.189832.142319.96-12036.65-1071540.821.140.0077686.98
552059.3655342161.829390.6741819.43-12724.93-1103740.741.190.01946.53
686192.5155322358.1811291.5349452.54-11962.45-1032040.941.310.0171567.14
76781.3755302554.5510091.6438616.03-11838.72-95573.560.851.020.0014123.3
8-51400.4155272849.0910814.2637489.83-12263.77-87211.920.880.85-0.011-934.55
9-42279.1355272849.0911380.0334899.58-12483.57-95280.90.910.88-0.0088-768.71
10-36305.0855282750.9113133.5735587.81-14964.64-98447.870.880.91-0.0068-660.09
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-14.5939655.5385226325.8822879.99114056-7360.38-20712.073.111.090.005466.54
atrnil24.58-45668.7776235330.2619175.9236543.05-9183.3-28063.262.090.91-0.0089-600.9
atrnil36.95-11712073155820.5528331.3354814.57-9346.38-28063.263.030.78-0.02-1604.39
atrtrail33.96-13916085226325.881475236882.72-7360.38-20712.0720.7-0.028-1637.18
atrtrail23.4-14842485236227.0613681.3226128.56-7469.27-20712.071.830.68-0.033-1746.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 25.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.005, 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:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Feb 2019 (-1.64%), 10 May 2019 (-2.83%)
2018406 Dec 2018 (-3.45%), 10 Dec 2018 (-1.11%), 21 Dec 2018 (-3.22%), 27 Dec 2018 (0.1%)
2017309 Aug 2017 (0.84%), 25 Sep 2017 (-2.03%), 13 Nov 2017 (-2.0%)
2016821 Jan 2016 (4.19%), 02 Feb 2016 (-3.43%), 04 Feb 2016 (-1.53%), 10 Feb 2016 (-5.48%), 11 Feb 2016 (-3.09%), 24 Feb 2016 (14.47%), 02 Nov 2016 (-2.72%), 03 Nov 2016 (-2.85%)
2015606 Feb 2015 (-3.52%), 09 Feb 2015 (-3.99%), 25 Feb 2015 (18.2%), 24 Aug 2015 (-5.59%), 15 Sep 2015 (5.97%), 09 Dec 2015 (10.53%)
2014309 Jul 2014 (-4.37%), 24 Sep 2014 (20.07%), 17 Dec 2014 (1.92%)
2013625 Feb 2013 (-4.26%), 28 Feb 2013 (-0.72%), 20 Mar 2013 (-4.86%), 21 May 2013 (-3.01%), 23 May 2013 (-4.18%), 24 May 2013 (0.29%)
2011420 Jan 2011 (-2.61%), 27 Jan 2011 (-3.03%), 28 Jan 2011 (-2.97%), 09 Feb 2011 (-4.39%)
2010627 Jan 2010 (-3.58%), 19 Apr 2010 (-2.26%), 22 Apr 2010 (1.13%), 11 May 2010 (0.45%), 20 May 2010 (-3.19%), 21 May 2010 (-1.72%)
2009130 Oct 2009 (3.97%)
2007422 Feb 2007 (-3.17%), 26 Feb 2007 (-3.38%), 28 Feb 2007 (-0.3%), 23 Jul 2007 (-3.22%)
2006322 May 2006 (-2.79%), 13 Jun 2006 (-4.56%), 16 Oct 2006 (0.04%)
2005217 Oct 2005 (-3.71%), 20 Oct 2005 (-4.11%)
2004716 Jan 2004 (-1.54%), 21 Jan 2004 (7.14%), 12 Mar 2004 (-4.55%), 15 Mar 2004 (-5.05%), 16 Mar 2004 (-4.13%), 19 Mar 2004 (-5.18%), 22 Mar 2004 (18.85%)
2003205 Mar 2003 (-3.65%), 19 Nov 2003 (36.93%)
2002712 Mar 2002 (-1.34%), 20 Mar 2002 (-1.97%), 22 Mar 2002 (-3.44%), 26 Mar 2002 (15.4%), 20 May 2002 (-2.95%), 21 May 2002 (-3.35%), 17 Jul 2002 (-1.13%)
2000631 Jan 2000 (-1.86%), 11 Feb 2000 (-7.2%), 14 Feb 2000 (3.22%), 02 Mar 2000 (-9.64%), 07 Mar 2000 (-10.36%), 22 Dec 2000 (-5.85%)
1999412 Apr 1999 (-3.84%), 02 Jul 1999 (23.32%), 01 Nov 1999 (-7.49%), 18 Nov 1999 (57.03%)
1998329 Jan 1998 (-4.79%), 22 Oct 1998 (-3.47%), 02 Nov 1998 (-9.25%)
1997431 Mar 1997 (-4.81%), 08 Jul 1997 (7.62%), 01 Sep 1997 (-2.29%), 09 Sep 1997 (-3.88%)



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