Study: Buy AUROPHARMA when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA when above 200 SMA and RSI is oversold" 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
144312.771410471.435125.2211326.8-1734.85-4089.352.957.390.153165.2
221194.33149564.294615.6115785.89-4069.23-6960.851.132.040.0511513.88
31832.01145935.718614.3717691.09-4582.2-9572.431.881.040.0037130.86
410582.09148657.146807.2311901.38-7312.63-13829.150.931.240.019755.86
520768.43149564.296497.7812372.04-7542.31-13656.670.861.550.041483.46
67777.91149564.297708.2111806.54-12319.2-21436.370.631.130.011555.57
73015.91149564.296940.0718397.34-11888.94-18918.270.581.050.0042215.42
8-19457.74146842.868985.9818349.93-9171.7-15964.490.980.73-0.028-1389.84
9-3304.75145935.7112196.721621.62-7143.14-17143.271.710.95-0.0047-236.05
10-9444.714775010470.7620436.23-11820.01-17012.30.890.89-0.011-674.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 7.39. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 1.58%, which is not very high, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
AUROPHARMA Performance, X=1, Profit Factor:7.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016111 Feb 2016 (3.57%)
2013128 Feb 2013 (-0.28%)
2011128 Jan 2011 (0.82%)
2010107 May 2010 (1.32%)
2007228 Feb 2007 (3.97%), 24 Jul 2007 (-2.04%)
2006222 May 2006 (4.63%), 08 Jun 2006 (5.66%)
2004116 Mar 2004 (0.97%)
2002226 Mar 2002 (1.59%), 21 May 2002 (0.67%)
1998222 Oct 1998 (2.43%), 05 Nov 1998 (-0.76%)
1997112 Sep 1997 (-0.38%)

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
nilnil-1144312.771410471.435125.2211326.8-1734.85-4089.352.957.390.153165.2
atrnil26.8128929.621661037.522180.6435408.08-10415.42-28063.262.131.280.0221808.1
atrnil39.385653.81164122533065.6253112.12-10550.72-28063.263.131.040.0036353.36
atrtrail-15.6-1466.65205152520198.6937700.92-6830.67-18509.082.960.99-0.0011-73.33
atrtrail34.7-4634.99205152519565.0236882.72-6830.67-18509.082.860.95-0.0034-231.75
atrtrail24.2-19105.41206143013790.8524588.48-7275.03-18509.081.90.81-0.018-955.27

In the table above, row 1 shows the best exit criterion. Profit factor is 7.39. Strategy is very good and impressively bullish. Percentage of profitable trades is 71.43%, which is good. Average return per trade is 1.58%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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