Study: Sell CIPLA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell CIPLA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
1-45931.96301515501770.033766-4832.16-160000.370.37-0.062-1531.07
2-69701.330131743.333465.687995.45-6750.3-19439.620.510.39-0.067-2323.38
3-72437.79301515503779.0612213.5-8608.24-24324.320.440.44-0.059-2414.59
4-81359.6730171356.674967.0111959.71-12753.76-41692.510.390.51-0.043-2711.99
5-50160.1430171356.675676.7517796.81-11281.91-38770.630.50.66-0.029-1672
6-81341.930191163.335679.2715511.48-17204.36-54192.010.330.57-0.036-2711.4
7-73234.5630219706332.3424151.07-22912.64-51070.740.280.64-0.03-2441.15
8-63316.7730201066.677352.0123306.28-21035.7-50967.360.350.7-0.025-2110.56
9-74667.9330201066.676686.7725426.54-20840.34-46939.640.320.64-0.03-2488.93
10-74276.5630191163.338101.6923803.21-20746.24-50358.80.390.67-0.028-2475.89
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
200nil33.7643593.8941152636.598094.6211311.19-2993.29-3991.082.71.560.0391063.27
200trail22.537530.8446212545.655034.997906.89-2728.16-3991.081.851.550.041815.89
200nil22.9639356.7845202544.445604.337924.44-2909.19-3991.081.931.540.041874.6
atrnil310.1963607.6431121938.7116902.1323064.2-7327.26-12062.862.311.460.0342051.86
200trail33.0930369.2743152834.886687.3811213.18-2497.91-3991.082.681.430.03706.26
atrtrail35.5328065.2734161847.068023.821131.41-5573.09-12062.861.441.280.019825.45
atrtrail24.6213603.4334161847.067119.9415164.31-5573.09-12062.861.281.140.011400.1
200trail-14.358715.1401228306424.7315422.33-2442.2-3991.082.631.130.009217.88
atrnil27.4514842.2631131841.9411367.6315376.14-7385.38-12062.861.541.110.01478.78
atrtrail-16.767729.6134151944.127390.8133349.3-5428.03-12062.861.361.070.0053227.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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.
CIPLA Performance, Profit Factor:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Jun 2019 (-1.77%), 18 Jul 2019 (4.78%)
2018305 Mar 2018 (-1.22%), 07 Mar 2018 (3.27%), 26 Oct 2018 (-1.08%)
2017121 Apr 2017 (5.66%)
2016108 Nov 2016 (4.5%)
2015504 Jun 2015 (5.61%), 27 Aug 2015 (-1.01%), 28 Aug 2015 (-1.2%), 03 Sep 2015 (-2.0%), 09 Sep 2015 (-1.98%)
2013427 Feb 2013 (-1.65%), 23 Aug 2013 (-1.55%), 27 Aug 2013 (-1.39%), 18 Nov 2013 (3.38%)
2012403 Mar 2012 (4.17%), 26 Apr 2012 (-1.64%), 23 May 2012 (-1.16%), 29 May 2012 (3.19%)
2011227 Jan 2011 (-1.27%), 31 Jan 2011 (5.02%)
2010102 Aug 2010 (3.07%)
2007313 Feb 2007 (4.75%), 14 Feb 2007 (-1.36%), 23 Feb 2007 (-1.98%)
2005228 Feb 2005 (-1.38%), 22 Mar 2005 (-1.17%)
2002328 Jan 2002 (3.37%), 29 Jan 2002 (-1.51%), 30 Jan 2002 (-1.6%)
2001316 Apr 2001 (-1.62%), 16 Oct 2001 (-1.54%), 25 Oct 2001 (-1.98%)
1998323 Jun 1998 (-1.56%), 02 Jul 1998 (-1.8%), 18 Dec 1998 (-1.47%)
1997107 Nov 1997 (3.8%)
1996131 Oct 1996 (3.14%)
1995222 Nov 1995 (3.0%), 23 Nov 1995 (-1.0%)



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