Study: Buy AUROPHARMA when near 200 SMA and above 200 SMA and ADX is Trending

home > technical-strategy > auropharma > 7

In this study, we evaluate the performance of strategy "Buy AUROPHARMA when near 200 SMA and above 200 SMA and ADX is Trending" 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
16609.322121054.553948.529719.07-4077.29-9919.710.971.160.012300.42
2-15187.76221111504044.3110846.71-5425.01-15694.030.750.75-0.023-690.35
3-43479.162271531.825001.459040.37-5232.62-19848.330.960.45-0.062-1976.33
4-72612.892291340.913421.88864.83-7954.55-27959.120.430.3-0.089-3300.59
5-46242.832271531.827369.6614202.71-6522.03-18573.81.130.53-0.054-2101.95
6-60723.0622101245.455815.115651.67-9906.17-29767.830.590.49-0.057-2760.14
7-44998.042291340.916174.3210877.5-7735.92-24046.430.80.55-0.049-2045.37
8-1957.2122101245.458187.7819740.33-6986.25-23631.841.170.98-0.0019-88.96
9-12024.5522101245.457646.6415336.06-7374.25-24378.111.040.86-0.012-546.57
106371.5322101245.4510213.9123624.97-7980.63-21393.031.281.070.0054289.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.16. 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 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-116609.322121054.553948.529719.07-4077.29-9919.710.971.160.012300.42
atrtrail34.6-6473.9256192416442.0331440.57-5532.95-16167.082.970.94-0.0047-258.96
atrnil36.71-10511.68246182524113.7931440.57-8621.91-18449.932.80.93-0.0061-437.99
atrtrail24.36-21965.36257182811781.9320960.38-5802.16-16167.082.030.79-0.02-878.61
atrnil26.12-36259.512471729.1715920.2320960.38-8688.3-18449.931.830.75-0.027-1510.81
200trail31.67-18634.0930624207811.3711782.51-2729.26-3834.822.860.72-0.028-621.14
200nil31.79-19733.312952417.249399.9911782.51-2780.55-3834.823.380.7-0.03-680.46
atrtrail-15.28-43195.61256192410321.7521506.79-5532.95-16167.081.870.59-0.043-1727.82
200nil21.62-27027.972962320.696152.447855.01-2780.11-3834.822.210.58-0.053-932
200trail21.57-29027.430624206079.157855.01-2729.26-3834.822.230.56-0.056-967.58
200trail-12.07-47950.163042613.335529.0116982.01-2694.85-3834.822.050.32-0.089-1598.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.16. 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 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AUROPHARMA Performance, X=1, Profit Factor:1.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017407 Jul 2017 (1.77%), 09 Aug 2017 (0.24%), 11 Dec 2017 (-1.83%), 27 Dec 2017 (-1.06%)
2016111 Nov 2016 (-4.96%)
2013220 Mar 2013 (-4.09%), 12 Aug 2013 (3.54%)
2012104 May 2012 (4.23%)
2010225 May 2010 (-0.56%), 21 Jun 2010 (0.27%)
2007107 Mar 2007 (1.54%)
2005210 Jun 2005 (1.35%), 24 Jun 2005 (-0.55%)
2003224 Mar 2003 (1.05%), 10 Apr 2003 (-2.88%)
2002116 Aug 2002 (0.59%)
2001205 Dec 2001 (3.59%), 21 Dec 2001 (-1.76%)
2000130 Nov 2000 (4.86%)
1998202 Feb 1998 (0.66%), 06 Nov 1998 (-1.85%)
1997121 Oct 1997 (-0.84%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play