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

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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 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
1-32283.3649193038.782843.556721.65-2877.02-15490.340.990.63-0.036-658.84
2-36296.1249212842.863588.116446.19-3987.36-14133.210.90.67-0.03-740.74
3-78659.2649153430.614062.7915216.05-4105.91-11877.080.990.44-0.064-1605.29
4-73724.7849173234.695152.0817111.9-5040.94-12486.211.020.54-0.048-1504.59
5-74939.6249212842.865076.4915192.66-6483.78-17331.550.780.59-0.044-1529.38
6-71564.5449202940.825926.9318899.08-6555.28-15948.480.90.62-0.038-1460.5
7-29085.7649232646.946855.2422311.93-7182.93-20060.180.950.84-0.013-593.59
8-30365.9849252451.026269.5324869.98-7796.01-19307.920.80.84-0.013-619.71
9-17690.7849242548.987295.9122760.33-7711.7-20298.760.950.91-0.0078-361.04
10-15169.449262353.067730.1924194.15-9398.01-19415.360.820.93-0.0061-309.58
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
atrnil39.648218.5853143926.4219850.3641660.24-5889.4-12355.833.371.210.015909.78
atrnil26.7227826.9854193535.1912420.2927773.49-5947.39-12355.832.091.130.011515.31
50nil33.83-8468.7566155122.739436.1911620.54-2941.4-3946.773.210.94-0.0049-128.31
50nil22.52-8621.4169214830.436289.957747.03-2931.47-3946.772.150.94-0.0059-124.95
50trail32.71-10765.2372205227.786277.7211620.54-2621.53-3946.772.390.92-0.0066-149.52
50trail22.19-20357.973225130.145294.417747.03-2683.04-3946.771.970.85-0.015-278.88
50trail-13.28-31369.3372195326.395563.8920091.84-2586.48-3946.772.150.77-0.019-435.69
atrtrail24.31-49392.9664214332.817560.314426.01-4840.91-9782.141.560.76-0.023-771.77
atrtrail34.67-65727.6264204431.257140.4421639.01-4739.46-9782.141.510.68-0.029-1026.99
atrtrail-14.88-82746.4964204431.256289.521189.29-4739.46-9782.141.330.6-0.041-1292.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 26.42%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019112 Jul 2019 (-2.14%)
2018215 Feb 2018 (-3.07%), 15 Oct 2018 (-3.04%)
2017310 Mar 2017 (-1.77%), 27 Sep 2017 (7.93%), 26 Dec 2017 (-2.5%)
2016427 Oct 2016 (-2.36%), 06 Dec 2016 (-2.59%), 19 Dec 2016 (-2.37%), 30 Dec 2016 (7.35%)
2015409 Jan 2015 (7.13%), 20 May 2015 (-2.89%), 12 Oct 2015 (-2.61%), 20 Oct 2015 (-2.57%)
2014123 Dec 2014 (-2.83%)
2013701 Feb 2013 (-2.18%), 03 Apr 2013 (7.49%), 01 Jul 2013 (-2.16%), 03 Sep 2013 (10.29%), 06 Nov 2013 (-2.06%), 23 Dec 2013 (-2.06%), 27 Dec 2013 (-2.14%)
2012523 Apr 2012 (-2.19%), 30 Apr 2012 (-2.08%), 22 Jun 2012 (-1.99%), 02 Jul 2012 (6.13%), 15 Oct 2012 (-3.16%)
2009227 Aug 2009 (-4.21%), 01 Oct 2009 (10.82%)
2008704 Feb 2008 (-6.18%), 04 Mar 2008 (16.11%), 15 May 2008 (-3.36%), 29 May 2008 (-3.32%), 10 Jul 2008 (10.73%), 23 Sep 2008 (-3.2%), 26 Sep 2008 (-3.4%)
2007303 Jan 2007 (-2.83%), 12 Jan 2007 (-3.15%), 09 Feb 2007 (-2.79%)
2006221 Jun 2006 (20.83%), 22 Nov 2006 (-2.48%)
2004112 Apr 2004 (-3.55%)
2001628 Jun 2001 (-2.77%), 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%)
1999225 May 1999 (-4.11%), 04 Jun 1999 (-3.49%)
1997109 Sep 1997 (9.25%)
1996210 Jun 1996 (6.92%), 23 Aug 1996 (8.57%)



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