Study: Sell BIOCON when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell BIOCON when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BIOCON 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. buy 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
1-4157.06502822561876.15007.15-2576.73-10013.430.730.93-0.0075-83.14
216609.91503020603175.147408.94-3932.22-8777.430.811.210.02332.2
311582.92502723544395.5517779.14-4656.39-16590.190.941.110.0098231.66
49596.61503020604473.9817530.46-6231.14-21108.370.721.080.0073191.93
54804.95503020605266.6917571.75-7659.78-17182.750.691.030.003296.1
6-50445.08502228446141.2419017.14-6626.87-21404.520.930.73-0.031-1008.9
7-30085.9502228446151.120813.55-5907.5-20410.611.040.82-0.019-601.72
8-14649.56502426487404.2627978.53-7398.15-39982.0210.92-0.0071-292.99
99748.59502426488228.5637105.1-7220.65-45167.091.141.050.0044194.97
1012118.06502525508277.0645157.96-7792.34-47594.781.061.060.005242.36
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
200trail-13.4210116.32802060257842.5429006.77-2445.57-3822.913.211.070.0056126.45
200trail22.223167.8583255830.126021.87966.81-2540.98-3822.912.371.020.002438.17
200trail32.712919.95802060257482.7211950.21-2445.57-3822.913.061.020.00236.5
200nil22.51-12767.9279245530.386214.737966.81-2944.03-3989.112.110.92-0.0096-161.62
atrtrail35.06-19094.3463204331.758132.8822977.5-4226.79-17147.831.920.89-0.01-303.08
atrnil27.8-29337.0249153430.6112516.7517929.35-6384.95-17147.831.960.86-0.017-598.71
atrnil310.2-34469.2144103422.7318403.5426894.02-6426.61-17147.832.860.84-0.019-783.39
200nil33.15-33963.9674155920.279379.6811950.21-2960.32-3989.113.170.81-0.023-458.97
atrtrail24.87-41013.6363214233.336660.7815318.34-4306.9-17147.831.550.77-0.026-651.01
atrtrail-15.37-45602.0163204331.756807.4919844.1-4226.79-17147.831.610.75-0.028-723.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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%, which is not acceptable. Avoid this strategy. Average return per trade is 0.063%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0056, 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.
BIOCON Performance, Profit Factor:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019804 Jan 2019 (-1.58%), 21 Feb 2019 (-1.02%), 28 Feb 2019 (-1.84%), 06 Mar 2019 (0.06%), 15 Mar 2019 (-1.43%), 01 Apr 2019 (-0.18%), 15 Apr 2019 (0.11%), 25 Apr 2019 (14.5%)
20181026 Jul 2018 (-1.34%), 08 Aug 2018 (-1.56%), 13 Aug 2018 (-1.14%), 11 Oct 2018 (-1.22%), 12 Oct 2018 (-1.67%), 13 Nov 2018 (-1.38%), 26 Nov 2018 (-0.13%), 03 Dec 2018 (-1.67%), 21 Dec 2018 (-0.37%), 28 Dec 2018 (-1.13%)
20171219 May 2017 (-1.39%), 22 May 2017 (3.22%), 05 Jun 2017 (-1.62%), 19 Jun 2017 (-1.68%), 22 Jun 2017 (-1.28%), 29 Jun 2017 (-1.03%), 09 Aug 2017 (-1.68%), 11 Aug 2017 (-1.27%), 29 Aug 2017 (-1.15%), 08 Sep 2017 (-1.06%), 14 Sep 2017 (-1.54%), 26 Sep 2017 (1.57%)
2016409 Feb 2016 (0.4%), 15 Feb 2016 (-1.67%), 17 Mar 2016 (-1.08%), 23 Mar 2016 (-1.17%)
20151122 Apr 2015 (-1.75%), 30 Apr 2015 (3.96%), 18 May 2015 (-1.01%), 11 Jun 2015 (-1.18%), 31 Aug 2015 (1.17%), 16 Sep 2015 (-1.13%), 18 Sep 2015 (-1.36%), 28 Sep 2015 (-0.85%), 08 Oct 2015 (-0.52%), 26 Oct 2015 (-1.03%), 13 Nov 2015 (-1.88%)
2014316 Oct 2014 (-1.2%), 25 Nov 2014 (-0.78%), 05 Dec 2014 (6.6%)
2013224 May 2013 (-1.18%), 17 Jun 2013 (-0.34%)
20111031 Jan 2011 (6.69%), 05 Apr 2011 (-1.4%), 19 Apr 2011 (-1.21%), 11 May 2011 (6.88%), 15 Jun 2011 (5.43%), 20 Jul 2011 (0.51%), 25 Jul 2011 (5.57%), 12 Oct 2011 (-1.17%), 13 Oct 2011 (-0.58%), 08 Nov 2011 (7.9%)
2009129 Apr 2009 (-1.22%)
2008428 Apr 2008 (-1.1%), 05 May 2008 (-1.47%), 06 May 2008 (1.93%), 17 Jun 2008 (7.21%)
2007402 Jan 2007 (-0.71%), 17 Aug 2007 (-1.72%), 22 Aug 2007 (-1.6%), 23 Aug 2007 (-0.94%)
2006603 Feb 2006 (-1.08%), 07 Feb 2006 (-1.21%), 20 Feb 2006 (-1.91%), 08 Mar 2006 (-1.63%), 20 Mar 2006 (-1.16%), 22 Mar 2006 (1.71%)
2005518 Jan 2005 (-1.0%), 19 Jan 2005 (2.85%), 19 Aug 2005 (0.15%), 30 Aug 2005 (-1.23%), 02 Sep 2005 (-1.54%)



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