Study: Sell CIPLA when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell CIPLA when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CIPLA 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
1-47123.0564303446.881905.246577.34-3067.07-160000.620.55-0.038-736.3
2-63992.5264343053.122836.529093.24-5347.81-19439.620.530.6-0.035-999.88
3-89757.27643232503290.3712213.5-6095.28-24324.320.540.54-0.042-1402.46
4-11810264333151.564407.715669.15-8501.83-41692.510.520.55-0.038-1845.35
5-11484764303446.885227.1917796.81-7990.07-38770.630.650.58-0.038-1794.48
6-15997064303446.885475.9415511.48-9536.72-54192.010.570.51-0.045-2499.53
7-12331064362856.256130.9124151.07-12286.54-51070.740.50.64-0.03-1926.72
8-88185.3864362856.257039.0223306.28-12199.65-50967.360.580.74-0.021-1377.9
9-96732.8964352954.697385.1625426.54-12248.75-46939.640.60.73-0.022-1511.45
10-87432.7664352954.697875.4227836.96-12519.74-50358.80.630.76-0.019-1366.14
Although, strategy looks good but profit factor on day 6 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
atrnil39.31-4637.9361174427.8716197.5823064.2-6363.56-12962.432.550.98-0.0015-76.03
200trail22.5-5450.41106357133.025391.727784.76-2734.66-3991.081.970.97-0.0026-51.42
200trail32.95-8417.5101287327.726618.2811677.14-2653.83-3991.082.490.96-0.0036-83.34
200nil33.49-11255.6595237224.218758.8711677.14-2954.3-3991.082.960.95-0.0047-118.48
atrnil27-16214.5465244136.9210386.5115376.14-6475.38-12962.431.60.94-0.006-249.45
200nil22.73-15443.74101326931.685867.827924.44-2945.13-3991.081.990.92-0.0074-152.91
200trail-13.88-40970.5898237523.476710.9220478.04-2604.29-3991.082.580.79-0.016-418.07
atrtrail34.93-52259.6682285434.156681.121131.41-4432.05-12062.861.510.78-0.019-637.31
atrtrail-15.6-58470.2282275532.936802.8633349.3-4402.68-12062.861.550.76-0.02-713.05
atrtrail24.35-59469.9582285434.156423.5915164.31-4432.05-12062.861.450.75-0.024-725.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 27.87%, which is not acceptable. Avoid this strategy. Average return per trade is -0.038%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:0.983

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 May 2019 (-2.47%), 23 May 2019 (-2.88%), 29 May 2019 (8.71%)
2018605 Mar 2018 (7.86%), 17 Apr 2018 (-2.53%), 18 Apr 2018 (-2.54%), 09 May 2018 (7.31%), 13 Jun 2018 (-2.89%), 26 Oct 2018 (-2.97%)
2017421 Apr 2017 (4.47%), 19 Jul 2017 (-1.98%), 09 Aug 2017 (-2.65%), 18 Aug 2017 (-3.48%)
2016216 Aug 2016 (-2.52%), 08 Nov 2016 (7.88%)
2015504 Jun 2015 (-3.14%), 07 Jul 2015 (-2.84%), 27 Aug 2015 (-3.87%), 03 Sep 2015 (-3.87%), 28 Dec 2015 (5.19%)
2014109 Apr 2014 (-2.27%)
2013727 Feb 2013 (-2.68%), 27 Jun 2013 (-2.22%), 05 Aug 2013 (-2.37%), 23 Aug 2013 (-3.31%), 18 Nov 2013 (6.53%), 19 Dec 2013 (-2.16%), 24 Dec 2013 (-2.14%)
2012403 Mar 2012 (8.11%), 02 Apr 2012 (-2.51%), 26 Apr 2012 (-2.3%), 23 May 2012 (-2.58%)
2011627 Jan 2011 (10.2%), 30 Mar 2011 (8.45%), 31 May 2011 (-2.53%), 17 Jun 2011 (-2.34%), 01 Jul 2011 (-2.64%), 11 Jul 2011 (7.31%)
2010202 Aug 2010 (5.67%), 01 Oct 2010 (-2.08%)
2009204 Mar 2009 (-3.06%), 13 Mar 2009 (-3.17%)
2008107 Feb 2008 (-6.48%)
2007313 Feb 2007 (-3.05%), 23 Feb 2007 (11.37%), 12 Dec 2007 (-3.68%)
2005328 Feb 2005 (-3.24%), 22 Mar 2005 (11.53%), 04 May 2005 (-3.74%)
2003109 Jan 2003 (6.56%)
2002228 Jan 2002 (-2.84%), 30 Jan 2002 (9.95%)
2001316 Apr 2001 (-5.7%), 16 Oct 2001 (-4.51%), 24 Oct 2001 (-4.59%)
1998323 Jun 1998 (-6.03%), 02 Jul 1998 (-5.32%), 18 Dec 1998 (-2.34%)
1997107 Nov 1997 (10.57%)
1996131 Oct 1996 (-2.54%)
1995122 Nov 1995 (-4.94%)



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