Study: Buy CIPLA when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy CIPLA when above 200 SMA and near 50 SMA and above 50 SMA" 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
1-75668.882325039.022340.617504.69-3011.37-15490.340.780.5-0.054-922.79
2-60972.1382354742.684076.4816446.19-4332.96-14133.210.940.7-0.027-743.56
3-87707.3882315137.84702.2715882.87-4577.99-15374.381.030.62-0.036-1069.6
4-58705.2182315137.86731.0119829.7-5242.48-184201.280.78-0.019-715.92
5-32358.9282374545.126661.1719310.15-6196.05-17331.551.080.88-0.0098-394.62
6-3651.4782384446.347713.8125544.81-6744.92-20547.951.140.99-0.00098-44.53
7-10686.2582374545.128298.5922409.37-7060.76-24617.641.180.97-0.0026-130.32
8-1084.5482433952.44717824869.98-7942.01-30588.240.91-0.00026-13.23
930162.882453754.887790.8724111.69-8660.17-29542.480.91.090.0071367.84
1038655.2482483458.548021.2329897.5-10187.17-27320.260.791.110.0087471.41
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
atrnil310.9914508378235529.4921040.4441660.24-6160.85-17072.173.421.430.0281860.04
atrnil27.6510274885325337.6513304.7327773.49-6094.4-17072.172.181.320.0241208.8
atrtrail35.08-16359.45106347232.089683.9638210.54-4800.19-17072.172.020.95-0.0036-154.33
atrtrail24.66-28959.58106367033.968766.6725473.7-4922.28-17072.171.780.92-0.0074-273.2
50nil33.2-35437.59112258722.328956.2211620.54-2980.96-3946.7730.86-0.013-316.41
50trail32.63-34466.71119318826.056576.3311620.54-2708.33-3946.772.430.86-0.013-289.64
50nil22.4-42975.69117348329.066025.967747.03-2986.25-3946.772.020.83-0.018-367.31
50trail22.18-48787.81122368629.515299.987747.03-2785.89-3946.771.90.8-0.021-399.9
atrtrail-15.4-83096.42106347232.087721.1128341.14-4800.19-17072.171.610.76-0.022-783.93
50trail-13.29-69445.76118308825.425629.5820091.84-2708.33-3946.772.080.71-0.027-588.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 29.49%, which is not acceptable. Avoid this strategy. Average return per trade is 0.93%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Jul 2019 (-2.14%)
2018315 Feb 2018 (-3.07%), 24 Sep 2018 (-3.0%), 15 Oct 2018 (-3.04%)
2017410 Feb 2017 (-2.66%), 27 Sep 2017 (7.93%), 15 Nov 2017 (-3.29%), 26 Dec 2017 (-2.5%)
2016407 Oct 2016 (-2.62%), 06 Dec 2016 (-2.59%), 19 Dec 2016 (-2.37%), 29 Dec 2016 (7.62%)
2015509 Jan 2015 (7.13%), 10 Apr 2015 (-3.03%), 20 May 2015 (-2.89%), 12 Oct 2015 (-2.61%), 20 Oct 2015 (-2.57%)
2014314 Nov 2014 (9.27%), 15 Dec 2014 (-2.76%), 23 Dec 2014 (-2.83%)
20131218 Jan 2013 (-2.06%), 01 Feb 2013 (-2.18%), 03 Apr 2013 (7.49%), 27 May 2013 (-2.35%), 01 Jul 2013 (-2.16%), 19 Aug 2013 (-3.17%), 03 Sep 2013 (10.29%), 14 Oct 2013 (-2.53%), 23 Oct 2013 (-2.47%), 06 Nov 2013 (-2.06%), 23 Dec 2013 (-2.06%), 27 Dec 2013 (-2.14%)
2012623 Apr 2012 (-2.19%), 28 Apr 2012 (6.45%), 17 May 2012 (-2.66%), 22 Jun 2012 (-1.99%), 02 Jul 2012 (6.13%), 05 Oct 2012 (10.8%)
2010314 Jul 2010 (-2.14%), 11 Nov 2010 (7.89%), 10 Dec 2010 (-4.08%)
2009322 May 2009 (19.11%), 27 Aug 2009 (-4.21%), 01 Oct 2009 (10.82%)
2008804 Feb 2008 (-6.18%), 04 Mar 2008 (16.11%), 08 May 2008 (-3.41%), 15 May 2008 (-3.36%), 29 May 2008 (-3.32%), 10 Jul 2008 (10.73%), 12 Sep 2008 (-2.67%), 22 Sep 2008 (-3.29%)
2007303 Jan 2007 (-2.83%), 12 Jan 2007 (-3.15%), 09 Feb 2007 (-2.79%)
2006309 Jun 2006 (-8.54%), 21 Jun 2006 (20.83%), 23 Oct 2006 (-2.58%)
2005321 Mar 2005 (-3.58%), 23 Sep 2005 (11.73%), 24 Oct 2005 (-4.9%)
2004112 Apr 2004 (-3.55%)
2003119 Nov 2003 (10.45%)
2001618 Jun 2001 (-3.02%), 11 Jul 2001 (-3.59%), 14 Aug 2001 (9.41%), 19 Oct 2001 (-4.2%), 19 Nov 2001 (-3.69%), 27 Nov 2001 (-3.75%)
2000122 Dec 2000 (-4.69%)
1999130 Apr 1999 (20.13%)
1998221 Sep 1998 (6.92%), 12 Nov 1998 (-2.2%)
1997220 Aug 1997 (-2.73%), 09 Sep 1997 (9.25%)
1996310 Jun 1996 (6.92%), 23 Aug 1996 (8.57%), 13 Sep 1996 (-2.99%)



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