Study: Buy BIOCON when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BIOCON when above 200 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
146954.9136231363.894966.1918750.88-5174.43-28941.020.961.70.0421304.3
269531.3336241266.675976.6918662.77-6159.1-40756.830.971.940.0521931.43
310035336279756067.5826159.78-7052.38-37242.980.862.580.0732787.59
477309.7436221461.117649.4823820.28-6498.48-48305.821.181.850.0462147.49
510186036231363.898272.5524378.57-6800.67-38826.141.222.150.0672829.44
610916736241266.678600.3521709.69-8103.46-42745.441.062.120.0663032.41
777948.136231363.897945.6427515.62-8061.67-40332.080.991.740.0482165.22
897171.9836231363.898812.9228977.8-8117.32-44425.141.091.920.0552699.22
912284836221461.1111128.8230681.34-8713.3-55951.351.282.010.0573412.44
1015175936221461.1112603.2834703.2-8965.23-47861.761.412.210.0674215.53

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.58. 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 75%, which is good. Average return per trade is 1.39%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.073, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BIOCON Performance, X=3, Profit Factor:2.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020412 Mar 2020 (-4.12%), 15 May 2020 (5.59%), 17 Aug 2020 (0.74%), 31 Aug 2020 (13.08%)
2019331 Jul 2019 (0.84%), 19 Aug 2019 (2.61%), 25 Sep 2019 (2.15%)
2018205 Jun 2018 (0.11%), 13 Jul 2018 (-2.41%)
2017224 Apr 2017 (5.17%), 10 May 2017 (0.71%)
2016303 Feb 2016 (1.74%), 04 Nov 2016 (1.17%), 21 Nov 2016 (0.39%)
2015128 Jul 2015 (1.44%)
2014424 Jan 2014 (0.54%), 26 Mar 2014 (0.46%), 16 May 2014 (5.25%), 28 Jul 2014 (-0.12%)
2013323 Jan 2013 (-1.03%), 04 Mar 2013 (1.93%), 17 Sep 2013 (3.53%)
2012125 Oct 2012 (-0.63%)
2011113 Jan 2011 (-1.9%)
2010527 Jan 2010 (2.35%), 10 Feb 2010 (2.01%), 25 Feb 2010 (8.08%), 30 Jul 2010 (2.75%), 16 Nov 2010 (1.62%)
2009103 Nov 2009 (7.09%)
2008118 Jan 2008 (-18.62%)
2007404 May 2007 (-0.1%), 06 Jun 2007 (-2.82%), 09 Aug 2007 (0.67%), 29 Nov 2007 (7.26%)
2006123 Jan 2006 (2.66%)

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-1310035336279756067.5826159.78-7052.38-37242.980.862.580.0732787.59
atrnil28.1617162743222151.1615021.6123931.88-7564.21-12792.741.992.080.0853991.32
atrnil314.2616798039152438.4623356.6835897.83-7598.76-12792.743.071.920.0694307.18
atrtrail25.0276422.4502228449809.1123931.88-4977.78-12792.741.971.550.0421528.45
atrtrail35.8655252.48502228448846.8432081.71-4977.78-12792.741.781.40.0311105.05
atrtrail-16.2848455.76502228448537.928252.1-4977.78-12792.741.721.350.028969.12

In the table above, row 1 shows the best exit criterion. Profit factor is 2.58. 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 75%, which is good. Average return per trade is 1.39%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.073, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

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