Study: Buy CIPLA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CIPLA when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-14036.3132122037.52598.668009.52-2261.01-9501.91.150.69-0.029-438.63
2-11382.8932131940.622800.976274.98-2515.56-7897.521.110.76-0.021-355.72
3-1825.9832131940.624201.889067.23-2971.07-10036.691.410.97-0.0026-57.06
43603.62321616504348.2215624.54-4122.99-10945.81.051.050.0042112.61
538283.6332201262.54844.699948.79-4884.19-9600.840.991.650.0451196.36
663785.3332221068.754924.8811960.5-4456.2-11943.971.112.430.0751993.29
769767.8632211165.626026.0318951.43-5161.7-10540.561.172.230.0682180.25
858671.1532221068.755644.0913752.74-6549.88-13667.390.861.90.0561833.47
965958.8632211165.626451.6519129.66-6320.53-19626.091.021.950.0562061.21
1084409.2232191359.388372.6241051.54-5743.88-23889.691.462.130.0522637.79
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CIPLA Performance, X=6, Profit Factor:2.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019324 May 2019 (-0.41%), 13 Jun 2019 (-2.31%), 12 Jul 2019 (-4.64%)
2018316 Apr 2018 (2.9%), 07 May 2018 (-2.58%), 14 Jun 2018 (4.71%)
2017420 Jul 2017 (-1.01%), 04 Aug 2017 (0.24%), 29 Aug 2017 (-1.86%), 18 Sep 2017 (1.45%)
2016119 Aug 2016 (2.01%)
2015106 Jul 2015 (1.87%)
2014408 Jan 2014 (2.09%), 28 Jan 2014 (1.44%), 04 Apr 2014 (-1.78%), 28 Apr 2014 (-5.97%)
2013204 Jul 2013 (2.75%), 23 Dec 2013 (-0.84%)
2012225 Apr 2012 (1.78%), 22 Jun 2012 (0.54%)
2011430 May 2011 (2.46%), 16 Jun 2011 (-0.86%), 30 Jun 2011 (0.47%), 15 Nov 2011 (2.23%)
2010104 Oct 2010 (3.6%)
2005206 May 2005 (3.45%), 20 May 2005 (5.98%)
2003204 Jul 2003 (2.64%), 18 Jul 2003 (1.0%)
2001127 Nov 2001 (4.05%)
1998130 Mar 1998 (5.81%)
1996127 Mar 1996 (0.7%)

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
atrnil26.0342929.593514214010309.915009.39-4829-6548.222.131.420.0331226.56
atrnil39.4140730.6932102231.251496420894.55-4950.42-7504.73.021.370.0281272.83
200nil33.5326193.4943133030.238829.1211655.87-2952.83-3853.152.991.30.022609.15
200trail33.1616488.6745153033.336594.3911671.36-2747.57-3702.922.41.20.015366.41
atrtrail35.1513406.67401624406454.7716248.74-3744.57-5698.821.721.150.01335.17
200nil22.5310999.2645162935.566017.357780.91-2940.63-3853.152.051.130.011244.43
atrtrail24.6210019.35401624406243.0611166.24-3744.57-5698.821.671.110.0088250.48
200trail22.478879.245162935.565578.47780.91-2771.56-3702.922.011.110.0096197.32
200trail-14.293961.1245153033.335759.2224368.28-2747.57-3702.922.11.050.003488.02
atrtrail-15.73836.19401624405856.6123461.82-3744.57-5698.821.561.040.003195.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019424 May 2019 (-2.81%), 03 Jun 2019 (-2.84%), 13 Jun 2019 (-2.66%), 12 Jul 2019 (-2.14%)
2018316 Apr 2018 (5.08%), 07 May 2018 (-2.46%), 14 Jun 2018 (5.58%)
2017720 Jul 2017 (-2.01%), 24 Jul 2017 (-2.04%), 02 Aug 2017 (-2.04%), 04 Aug 2017 (-2.37%), 14 Aug 2017 (-3.27%), 18 Sep 2017 (4.7%), 27 Sep 2017 (5.29%)
2016119 Aug 2016 (4.83%)
2015106 Jul 2015 (-2.85%)
2014408 Jan 2014 (4.42%), 28 Jan 2014 (-2.29%), 04 Apr 2014 (-2.11%), 28 Apr 2014 (-2.16%)
2013304 Jul 2013 (4.25%), 23 Dec 2013 (-2.06%), 27 Dec 2013 (-2.14%)
2012325 Apr 2012 (-2.19%), 22 Jun 2012 (-1.99%), 02 Jul 2012 (4.09%)
2011330 May 2011 (-2.46%), 27 Jun 2011 (-2.71%), 15 Nov 2011 (4.63%)
2010104 Oct 2010 (4.05%)
2005106 May 2005 (6.96%)
2003104 Jul 2003 (-3.1%)
2001127 Nov 2001 (7.5%)
1998130 Mar 1998 (5.38%)
1996127 Mar 1996 (5.41%)



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