Study: Buy BIOCON when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy BIOCON when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
18965.251811761.112733.588046.35-3014.87-8787.290.911.420.034498.07
211343.81881044.445129.7111264.89-2969.39-8341.991.731.380.031630.21
318589.431899506260.5917752.71-4195.09-8557.681.491.490.041032.75
413743.031811761.115173.9718316.76-6167.24-15538.950.841.320.026763.5
524995.051899508141.7437702.24-5364.51-19080.771.521.520.0331388.61
624972.131899509453.1542838.06-6678.47-19121.711.421.420.0291387.34
754172.931810855.5610812.8845242.69-6744.49-20554.821.620.0583009.61
8470071810855.5612253.6647558.26-9441.2-22335.961.31.620.0442611.5
910536.391881044.4413267.2239038.15-9560.14-29440.071.391.110.01585.36
10-26517.41881044.4410620.237642.87-11147.9-38489.10.950.76-0.025-1473.19
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
BIOCON Performance, X=7, Profit Factor:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Apr 2019 (-2.25%)
2017207 Jul 2017 (22.62%), 06 Oct 2017 (9.97%)
2015429 May 2015 (0.84%), 16 Jun 2015 (3.81%), 23 Oct 2015 (1.18%), 18 Nov 2015 (2.48%)
2014104 Dec 2014 (-3.36%)
2013128 Jun 2013 (4.77%)
2011429 Apr 2011 (-2.21%), 08 Jun 2011 (-3.56%), 18 Jul 2011 (-1.41%), 31 Oct 2011 (-3.53%)
2009122 Apr 2009 (2.11%)
2008224 Apr 2008 (-0.38%), 16 Jun 2008 (-10.28%)
2006126 Apr 2006 (2.26%)
2005105 Sep 2005 (4.02%)

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
atrnil38.2657224.331961331.5822386.9153851.23-5930.55-9495.393.771.740.053011.81
atrnil25.7440535.461971236.8415467.2735900.82-5644.62-9495.392.741.60.0472133.45
200nil33.17643.642361726.098637.519921.8-3010.67-3933.432.871.010.001427.98
200trail32.96-2055.082361726.097154.549921.8-2646.02-3933.432.70.95-0.0049-89.35
200trail22.5-2412.352481633.335500.656614.54-2901.1-3933.431.90.95-0.0063-100.51
200nil22.62-6874.292481633.335500.656614.54-3179.97-39521.730.86-0.018-286.43
atrtrail35.1-17702.8420614308147.8417565.32-4756.42-10910.331.710.73-0.031-885.14
atrtrail24.6-18984.6120614307934.2211710.21-4756.42-10910.331.670.71-0.037-949.23
atrtrail-15.25-29456.8420614306188.8413448.87-4756.42-10910.331.30.56-0.064-1472.84
200trail-13.55-21468.622251722.734441.828599.94-2569.28-3933.431.730.51-0.075-975.85

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is 1.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019110 Apr 2019 (-2.1%)
2017207 Jul 2017 (-2.66%), 06 Oct 2017 (8.78%)
2015529 May 2015 (-2.5%), 09 Jun 2015 (-2.94%), 16 Jun 2015 (8.35%), 23 Oct 2015 (-2.3%), 18 Nov 2015 (6.72%)
2014104 Dec 2014 (-2.23%)
2013128 Jun 2013 (7.71%)
2011429 Apr 2011 (-2.87%), 08 Jun 2011 (-2.96%), 18 Jul 2011 (-2.71%), 31 Oct 2011 (-2.62%)
2009122 Apr 2009 (26.93%)
2008224 Apr 2008 (-4.75%), 16 Jun 2008 (-3.23%)
2006126 Apr 2006 (-4.68%)
2005105 Sep 2005 (8.67%)



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