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

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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 ADX is Trending" 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
1-1610.5475271.432093.873756.86-6039.95-11663.770.350.87-0.0096-230.08
2-51227.3372528.572273.293873.24-11154.78-19439.620.20.082-0.19-7318.19
3-43626.2372528.571564.182176.7-9350.92-21188.10.170.067-0.15-6232.32
4-72125.9873442.862565.313827.82-19955.48-41007.820.130.096-0.14-10303.71
5-51832.1573442.864559.556338.03-16377.7-38770.630.280.21-0.1-7404.59
6-82539.3573442.864375.976733.4-23916.82-54192.010.180.14-0.12-11791.34
7-80748.0973442.865485.6911374.96-24301.29-44048.650.230.17-0.13-11535.44
8-87852.5973442.864926.128520-25657.74-45377.80.190.14-0.13-12550.37
9-91432.1473442.865329.938098.04-26855.49-46939.640.20.15-0.13-13061.73
10-99522.0273442.865812.658169.86-29239.99-50358.80.20.15-0.12-14217.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.87. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 71.43%, which is good. Average return per trade is -0.12%, 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
200nil32.176908.43124833.337521.629003.92-2897.26-3991.082.61.30.023575.7
atrnil37.784087.8893633.3317293.4619902.76-7965.42-11400.062.171.090.0076454.21
200trail31.67-1143.341239257249.869003.92-2543.66-3991.082.850.95-0.0044-95.28
200trail21.33-2807.41124833.335014.416002.62-2858.13-3991.081.750.88-0.013-233.95
nilnil-11-1610.5475271.432093.873756.86-6039.95-11663.770.350.87-0.0096-230.08
200nil21.33-3120.4124833.335014.416002.62-2897.26-3991.081.730.87-0.014-260.03
atrnil27.78-13205.5893633.3311528.9713268.51-7965.42-11400.061.450.72-0.032-1467.29
atrtrail34.78-15198.1593633.336076.415761.69-5571.22-11400.061.090.55-0.047-1688.68
atrtrail24.78-20452.0593633.334325.110507.79-5571.22-11400.060.780.39-0.077-2272.45
atrtrail-14.89-33776.8692722.221233.751359.24-5177.77-11400.060.240.068-0.19-3752.98
200trail-12.1-19558.661019101325.451325.45-2320.46-3991.080.570.063-0.25-1955.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.29%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016108 Nov 2016 (4.5%)
2015327 Aug 2015 (-1.01%), 28 Aug 2015 (-1.2%), 03 Sep 2015 (-2.0%)
2013127 Feb 2013 (-1.65%)
2012103 Mar 2012 (4.17%)
2002328 Jan 2002 (3.37%), 29 Jan 2002 (-1.51%), 30 Jan 2002 (-1.6%)
2001116 Apr 2001 (-1.62%)
1995222 Nov 1995 (3.0%), 23 Nov 1995 (-1.0%)



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