Study: Sell BIOCON when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell BIOCON when there is Dead Cross (50 DMA < 200 DMA)" 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
1-1042.14117463.642298.438787.29-4282.79-6110.070.540.94-0.0058-94.74
2-13974.18117463.642593.98341.99-8032.87-10401.820.320.57-0.057-1270.38
3-56811.79113827.271360.352827.31-7611.6-17752.710.180.067-0.22-5164.71
4-34480.01113827.276338.1711592.93-6686.82-18316.760.950.36-0.1-3134.55
5-58995.81113827.274903.8513590.95-9213.42-37702.240.530.2-0.12-5363.26
6-64261.3115645.452575.438958.17-12856.41-42838.060.20.17-0.11-5841.94
7-66610.04113827.276989.629317.27-10947.36-45242.690.640.24-0.11-6055.46
8-62166.5113827.2710478.6620771.08-11700.31-47558.260.90.34-0.088-5651.5
9-41610.1114736.3610360.0622955.82-11864.34-39038.150.870.5-0.063-3782.74
10-32472.14114736.3611757.0225429.72-11357.17-37642.871.040.59-0.048-2952.01

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.94. 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 63.64%, which is good. Average return per trade is -0.047%, we advise you not to use 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-11-1042.14117463.642298.438787.29-4282.79-6110.070.540.94-0.0058-94.74
atrnil34.69-47455.221321115.3812814.6913852.55-6644.05-11233.781.930.35-0.13-3650.4
atrtrail34-43211.521321115.387368.613852.55-5268.07-11233.781.40.25-0.15-3323.96
atrnil24.69-55998.351321115.388543.139235.03-6644.05-11233.781.290.23-0.19-4307.57
atrtrail24-47829.031321115.385059.849235.03-5268.07-11233.780.960.17-0.2-3679.16
atrtrail-14.15-48871.91321115.384538.418192.17-5268.07-11233.780.860.16-0.22-3759.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 63.64%, which is good. Average return per trade is -0.047%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BIOCON Performance, X=1, Profit Factor:0.939

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Apr 2019 (1.17%)
2017207 Jul 2017 (4.39%), 06 Oct 2017 (1.91%)
2015216 Jun 2015 (-3.06%), 23 Oct 2015 (0.38%)
2014110 Dec 2014 (0.08%)
2013127 Jun 2013 (-2.18%)
2011109 Mar 2011 (0.02%)
2008125 Feb 2008 (-3.01%)
2006131 Mar 2006 (-0.31%)
2005120 Jan 2005 (0.1%)



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