Study: Sell CIPLA when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell CIPLA when below 200 SMA and near 50 SMA and below 50 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
1-33774.4761233837.72487.7415151.25-2394.54-8821.661.040.63-0.033-553.68
2-82099.6261243739.342708.297360.87-3975.64-16405.380.680.44-0.063-1345.9
3-13225261233837.73152.99454.91-5388.66-20380.740.590.35-0.076-2168.07
4-12684761214034.434595.2317615.33-5583.67-21848.310.820.43-0.062-2079.46
5-86623.2661283345.96224.4720077.42-7906.31-30184.830.790.67-0.031-1420.05
6-71661.2161283345.97312.8624570.09-8376.4-31179.090.870.74-0.023-1174.77
7-24380.461273444.268543.0126346.85-7501.23-31230.081.140.9-0.0075-399.68
8-32752.9661283345.98392.3627666.73-8113.3-29853.291.030.88-0.01-536.93
9-63159.9661293247.548493.134291.52-9670.62-31943.910.880.8-0.018-1035.41
10-12863461273444.268194.5624430.48-10290.81-36048.440.80.63-0.036-2108.76
Although, strategy looks good but profit factor on day 3 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
50nil33.55-31542.4878166220.519899.7811846.08-3063.53-3982.923.230.83-0.015-404.39
50nil22.61-48451.7482216125.616517.377897.39-3037.98-3982.922.150.74-0.028-590.87
50trail22.49-60086.0383186521.696507.857897.39-2726.57-3943.932.390.66-0.038-723.93
50trail32.95-69070.9481166519.756748.2611846.08-2723.74-3943.932.480.61-0.04-852.73
50trail-13.48-75735.6481166519.756331.7217904.58-2723.74-3943.932.320.57-0.042-935.01
atrnil38.07-12744958104817.2415766.3823350.69-5939.86-14268.822.650.55-0.052-2197.4
atrnil26.45-12982662144822.5810670.7719148.76-5817.01-14268.821.830.54-0.058-2093.97
atrtrail-14.81-11853572195326.396293.7825693.47-4492.78-11904.991.40.5-0.055-1646.33
atrtrail24.31-11632772195326.396163.115567.13-4404.27-11904.991.40.5-0.06-1615.66
atrtrail34.54-12322172195326.396047.1823350.69-4492.78-11904.991.350.48-0.06-1711.4

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 20.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.2%, 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:0.834

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019722 Mar 2019 (-1.37%), 09 Apr 2019 (-1.14%), 17 May 2019 (-1.08%), 07 Jun 2019 (-1.42%), 20 Jun 2019 (-1.99%), 28 Jun 2019 (-1.88%), 15 Jul 2019 (5.82%)
2018210 May 2018 (-1.07%), 08 Jun 2018 (-1.87%)
2017712 Jun 2017 (4.6%), 20 Jun 2017 (-1.48%), 06 Jul 2017 (-1.21%), 11 Jul 2017 (-1.88%), 10 Aug 2017 (-1.55%), 06 Sep 2017 (-1.25%), 15 Sep 2017 (-1.02%)
2016318 Apr 2016 (-1.63%), 16 May 2016 (5.35%), 30 Jun 2016 (-1.13%)
2015501 Jul 2015 (-1.49%), 05 Nov 2015 (-1.76%), 06 Nov 2015 (5.43%), 02 Dec 2015 (3.01%), 24 Dec 2015 (5.84%)
2014522 Mar 2014 (-1.21%), 02 Apr 2014 (-1.6%), 12 May 2014 (-1.4%), 16 May 2014 (4.88%), 03 Jun 2014 (-1.66%)
2013606 Aug 2013 (-1.34%), 23 Aug 2013 (-1.75%), 27 Aug 2013 (-1.78%), 20 Dec 2013 (-1.51%), 24 Dec 2013 (-1.75%), 30 Dec 2013 (-1.37%)
2012326 Apr 2012 (-1.72%), 23 May 2012 (-1.65%), 29 May 2012 (-1.64%)
2011829 Mar 2011 (-1.05%), 28 Apr 2011 (-1.09%), 04 May 2011 (3.17%), 13 May 2011 (-1.46%), 20 Jun 2011 (-1.29%), 23 Jun 2011 (-1.78%), 22 Jul 2011 (5.51%), 12 Oct 2011 (-1.5%)
2010220 Sep 2010 (-1.19%), 23 Sep 2010 (-1.48%)
2009124 Feb 2009 (-1.75%)
2008122 Dec 2008 (-1.72%)
2007723 Mar 2007 (-1.94%), 20 Apr 2007 (-1.5%), 16 Jul 2007 (5.92%), 19 Oct 2007 (-1.15%), 31 Oct 2007 (-1.09%), 06 Nov 2007 (-1.97%), 29 Nov 2007 (-1.03%)
2005102 Feb 2005 (5.25%)
2004303 Sep 2004 (-1.51%), 09 Nov 2004 (-1.97%), 30 Nov 2004 (-1.64%)
2003130 May 2003 (-1.56%)
2002905 Apr 2002 (-1.79%), 22 May 2002 (-1.84%), 28 May 2002 (5.54%), 07 Aug 2002 (4.76%), 27 Aug 2002 (-1.78%), 13 Sep 2002 (-1.02%), 14 Nov 2002 (-1.71%), 03 Dec 2002 (5.44%), 24 Dec 2002 (-1.97%)
2000315 Mar 2000 (-1.95%), 21 Jun 2000 (-1.65%), 11 Sep 2000 (4.57%)
1998121 Jan 1998 (4.1%)
1997130 Dec 1997 (-1.9%)
1996222 Nov 1996 (-1.99%), 26 Nov 1996 (-1.11%)



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