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

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In this study, we evaluate the performance of strategy "Buy BIOCON when above 200 SMA and near 50 SMA and above 50 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
1-21754.8869303943.482783.527590.83-2698.98-8787.291.030.79-0.024-315.29
23603.1369373253.623129.0310401.82-3505.34-12206.410.891.030.00352.22
333030.7669353450.725554.0431342.86-4745.91-15705.871.171.20.017478.71
427870.8569323746.386690.1731142.86-5032.83-16070.721.331.150.013403.93
563480.6969313844.938370.9437702.24-5158.38-14991.971.621.320.025920.01
660840.4869343549.288031.7642838.06-6063.98-15360.331.321.290.022881.75
772545.5569363352.177890.3845242.69-6409.33-19370.121.231.340.0261051.38
880722.369373253.628128.8147558.26-6876.37-20738.891.181.370.0271169.89
987240.0969343549.289147.7339038.15-6393.79-21408.171.431.390.0291264.35
1099443.7769343549.2810650.1337642.87-7504.59-24817.061.421.380.031441.21
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
50nil21.984895.96107357232.716123.87972.05-2908.85-3989.832.111.020.002745.76
atrnil39.735195.1366165024.2420155.3337499.59-6345.8-10468.183.181.020.001778.71
50trail21.871887.43112367632.145747.637972.05-2697.72-3989.832.131.010.001116.85
atrnil27.41-2809.7170224831.4313402.3824999.72-6201.29-9664.942.160.99-0.0011-40.14
50nil32.75-11878.9199237623.239121.911958.08-2916.88-3989.833.130.95-0.0059-119.99
atrtrail-15.57-21453.5688286031.828661.260032.05-4399.45-9664.941.970.92-0.0068-243.79
50trail32.25-32588.32110278324.556578.8411467.07-2532.74-3989.832.60.84-0.017-296.26
50trail-12.78-35411109268323.856723.3133017.71-2532.74-3989.832.650.83-0.015-324.87
atrtrail34.92-45563.0388286031.827800.1526526.53-4399.45-9664.941.770.83-0.018-517.76
atrtrail24.61-50647.0888286031.827618.5823825.12-4399.45-9664.941.730.81-0.021-575.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 32.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.023%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0027, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 Jan 2019 (3.47%), 12 Feb 2019 (-1.85%), 10 Apr 2019 (-1.3%), 06 Aug 2019 (3.57%), 07 Oct 2019 (-1.15%)
20181227 Mar 2018 (-1.98%), 05 Apr 2018 (3.31%), 08 May 2018 (3.99%), 26 Jun 2018 (-1.2%), 09 Jul 2018 (-1.77%), 20 Aug 2018 (3.16%), 30 Aug 2018 (3.72%), 15 Oct 2018 (3.1%), 30 Oct 2018 (3.53%), 09 Nov 2018 (-1.13%), 11 Dec 2018 (2.38%), 31 Dec 2018 (-1.3%)
2017707 Apr 2017 (2.99%), 17 Apr 2017 (-1.69%), 27 Apr 2017 (-1.99%), 07 Jul 2017 (-1.87%), 07 Aug 2017 (-1.19%), 19 Sep 2017 (-1.46%), 06 Oct 2017 (-1.91%)
20161018 Jan 2016 (2.73%), 20 Jan 2016 (-1.01%), 21 Jan 2016 (-1.21%), 29 Jan 2016 (-1.46%), 04 Mar 2016 (-1.03%), 11 Mar 2016 (-1.19%), 19 Jul 2016 (2.39%), 01 Dec 2016 (-1.09%), 08 Dec 2016 (2.88%), 14 Dec 2016 (2.84%)
20151029 May 2015 (-1.55%), 10 Jun 2015 (-1.48%), 16 Jun 2015 (3.36%), 22 Jul 2015 (2.87%), 27 Jul 2015 (-1.05%), 03 Aug 2015 (2.69%), 10 Aug 2015 (-1.68%), 20 Aug 2015 (-1.75%), 05 Oct 2015 (-1.4%), 16 Oct 2015 (-1.9%)
20141024 Jan 2014 (-1.01%), 10 Feb 2014 (-1.33%), 02 Apr 2014 (-1.94%), 11 Apr 2014 (3.43%), 21 May 2014 (-1.85%), 03 Sep 2014 (-1.05%), 11 Sep 2014 (-1.92%), 17 Sep 2014 (3.4%), 08 Oct 2014 (-1.78%), 04 Dec 2014 (-1.22%)
20131610 Jan 2013 (-1.79%), 06 Feb 2013 (-1.33%), 07 Feb 2013 (-1.15%), 13 Feb 2013 (-1.13%), 20 Feb 2013 (-1.39%), 27 Feb 2013 (-1.01%), 05 Apr 2013 (3.65%), 13 May 2013 (-1.64%), 20 May 2013 (-1.07%), 06 Jun 2013 (-1.86%), 28 Jun 2013 (2.77%), 04 Jul 2013 (3.64%), 23 Sep 2013 (2.15%), 24 Sep 2013 (3.36%), 09 Oct 2013 (-1.79%), 23 Oct 2013 (-1.32%)
2012418 Oct 2012 (-1.83%), 21 Nov 2012 (2.37%), 23 Nov 2012 (2.38%), 26 Dec 2012 (3.82%)
2011106 Jan 2011 (-1.74%)
20101322 Jan 2010 (-1.8%), 03 Mar 2010 (-1.16%), 04 Mar 2010 (-1.84%), 04 May 2010 (-1.84%), 05 May 2010 (-1.93%), 10 May 2010 (-1.21%), 31 May 2010 (-1.62%), 03 Jun 2010 (-1.15%), 30 Jul 2010 (2.52%), 09 Aug 2010 (2.89%), 19 Nov 2010 (-1.29%), 01 Dec 2010 (-1.29%), 27 Dec 2010 (2.22%)
2009512 Aug 2009 (3.63%), 18 Aug 2009 (-1.54%), 30 Oct 2009 (-1.08%), 26 Nov 2009 (-1.2%), 30 Nov 2009 (3.19%)
20071003 May 2007 (-1.3%), 16 May 2007 (-1.03%), 24 May 2007 (-1.17%), 28 May 2007 (-1.15%), 30 May 2007 (-1.27%), 04 Jul 2007 (-1.41%), 17 Jul 2007 (2.9%), 18 Jul 2007 (3.32%), 17 Sep 2007 (-1.85%), 27 Dec 2007 (2.56%)
2006227 Feb 2006 (-1.38%), 01 Mar 2006 (-1.45%)
2005222 Sep 2005 (-1.58%), 29 Nov 2005 (-1.42%)



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