Study: Sell BIOCON when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BIOCON when below 200 SMA and near 50 SMA and below 50 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
1-61230.083292328.122953.038591.02-3817.71-15678.950.770.3-0.1-1913.44
2-74390.1332131940.623590.328730.94-6371.8-28464.770.560.39-0.08-2324.69
3-55569.3432112134.386479.414066.53-6040.13-24171.721.070.56-0.055-1736.54
4-85959.8332131940.626651.4111462.16-9075.17-27050.20.730.5-0.069-2686.24
5-10243532122037.58150.9415837.05-10012.3-32581.940.810.49-0.072-3201.08
6-13486232102231.2511105.5424942.82-11178.05-35126.540.990.45-0.078-4214.43
7-15087232102231.2510432.8722241.59-11600.04-54503.030.90.41-0.082-4714.75
8-18071832102231.2510760.923243.66-13105.78-53849.740.820.37-0.092-5647.44
9-13776132112134.3813898.9924071.45-13840.45-47970.1410.53-0.062-4305.02
10-14696832102231.2517401.934586.47-14590.34-50769.951.190.54-0.061-4592.76
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
50nil31.71-43130.925294317.318886.6911554.22-2863.05-3963.863.10.65-0.047-829.44
atrtrail23.21-59944.6838102826.329907.9517969.05-5679.44-13372.71.740.62-0.053-1577.49
atrnil34.39-73223.953663016.6718830.9426953.57-6206.99-13372.73.030.61-0.054-2034
atrtrail-13.74-65297.6738102826.329372.6524825.59-5679.44-13372.71.650.59-0.056-1718.36
atrnil23.51-83228.473782921.6212243.6417969.05-6247.5-13372.71.960.54-0.073-2249.42
50trail31.66-5598353104318.876571.9411554.22-2830.29-3963.862.320.54-0.066-1056.28
50nil21.56-59768.0352104219.236000.217702.81-2851.67-3963.862.10.5-0.083-1149.39
atrtrail33.45-79384.7938102826.327963.9416687.6-5679.44-13372.71.40.5-0.078-2089.07
50trail-12.13-65507.25294317.316243.9121858.27-2830.29-3963.862.210.46-0.073-1259.75
50trail21.51-66962.2753104318.875474.017702.81-2830.29-3963.861.930.45-0.095-1263.44

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BIOCON Performance, Profit Factor:0.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Jan 2019 (-1.59%), 15 Apr 2019 (4.11%)
2017204 Jul 2017 (-1.7%), 09 Oct 2017 (-1.68%)
20151126 Feb 2015 (-1.66%), 27 Feb 2015 (-1.44%), 27 Mar 2015 (-1.84%), 28 Apr 2015 (-1.59%), 29 Apr 2015 (-1.19%), 15 May 2015 (-1.98%), 21 May 2015 (-1.11%), 22 May 2015 (-1.01%), 11 Jun 2015 (-1.21%), 05 Nov 2015 (-1.08%), 13 Nov 2015 (-1.01%)
2013103 Jul 2013 (-1.97%)
2012203 Feb 2012 (-1.57%), 07 Feb 2012 (-1.77%)
20111024 Mar 2011 (-1.98%), 31 May 2011 (-1.22%), 17 Jun 2011 (5.78%), 27 Jun 2011 (-1.0%), 30 Jun 2011 (-1.56%), 12 Jul 2011 (-1.55%), 02 Aug 2011 (3.01%), 27 Sep 2011 (-1.43%), 05 Oct 2011 (-1.58%), 09 Nov 2011 (3.71%)
2009116 Mar 2009 (-1.07%)
2008727 May 2008 (-1.22%), 29 May 2008 (-1.48%), 10 Jun 2008 (-1.54%), 22 Aug 2008 (-1.15%), 26 Aug 2008 (-1.15%), 27 Aug 2008 (-1.87%), 19 Sep 2008 (4.5%)
2007312 Jan 2007 (-1.38%), 15 Jan 2007 (-1.04%), 16 Jan 2007 (-1.06%)
2006818 Apr 2006 (-1.16%), 20 Apr 2006 (-1.91%), 12 May 2006 (4.07%), 16 May 2006 (5.5%), 20 Oct 2006 (-1.81%), 26 Oct 2006 (-1.29%), 27 Oct 2006 (-1.67%), 07 Dec 2006 (4.21%)
2005514 Mar 2005 (5.1%), 22 Jun 2005 (-1.01%), 09 Aug 2005 (-1.52%), 12 Aug 2005 (-1.03%), 16 Aug 2005 (-1.48%)



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