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

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In this study, we evaluate the performance of strategy "Buy CIPLA when near 200 SMA and above 200 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
1-12399.7766273940.912958.098615.2-2365.85-9501.91.250.87-0.011-187.88
2-28804.6466283842.423731.088587.85-3507.24-19204.841.060.78-0.019-436.43
3-28079.2666283842.424636.5314742.91-4155.32-18088.821.120.82-0.015-425.44
4-29710.0566303645.454801.8315624.54-4826.81-16163.270.990.83-0.015-450.15
5-2231.4766353153.035275.5616441.72-6028.27-22693.880.880.99-0.00096-33.81
6-734.6366353153.035632.2918067.48-6382.74-19145.080.881-0.0003-11.13
7-8717.3666343251.526238.4518951.43-6900.77-17026.950.90.96-0.0033-132.08
8-20613.1266363054.556306.7114815.95-8255.16-25681.440.760.92-0.0072-312.32
9-28918.2866343251.527472.2119129.66-8842.91-24844.010.840.9-0.009-438.16
104840.27663333508799.2341051.54-8652.55-29249.011.021.020.001373.34
Although, strategy looks good but profit factor on day 2 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
atrnil39.7460000.962184429.0317465.336325.71-5781.24-12859.373.021.240.018967.76
atrnil2648227.469264337.6811352.2424217.14-5742.58-12859.371.981.20.016698.95
200nil33.3932709.4584246028.578777.2611895.34-2965.75-3966.512.961.180.015389.4
200trail22.2920843.895346135.795441.787930.23-2691.42-3966.512.021.130.011219.41
200nil22.5120891.2692335935.876001.247930.23-3002.54-3991.6421.120.01227.08
200trail32.9819084.5891286330.776608.3111895.34-2634.1-3966.512.511.120.009209.72
atrtrail35.2625581.5982325039.027781.7136325.71-4468.66-8754.231.741.110.0079311.97
atrtrail24.595240.2782325039.027146.0424217.14-4468.66-8754.231.61.020.001963.91
atrtrail-15.775038.1882325039.027139.7329855.98-4468.66-8754.231.61.020.001761.44
200trail-14.02-13739.790266428.895902.0124368.28-2612.38-3966.512.260.92-0.0064-152.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 29.03%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.24

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%)
2018502 Feb 2018 (-2.48%), 01 Mar 2018 (-2.72%), 16 Apr 2018 (-2.54%), 14 Jun 2018 (8.37%), 25 Oct 2018 (-3.0%)
2017820 Apr 2017 (-1.43%), 20 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 (7.05%), 13 Dec 2017 (7.78%)
2016219 Aug 2016 (7.24%), 16 Nov 2016 (11.2%)
2015403 Jun 2015 (-3.13%), 06 Jul 2015 (-2.85%), 01 Sep 2015 (-3.95%), 06 Oct 2015 (-2.66%)
2014308 Jan 2014 (-2.21%), 04 Apr 2014 (-2.11%), 28 Apr 2014 (-2.16%)
2013701 Mar 2013 (8.63%), 28 Jun 2013 (6.54%), 19 Aug 2013 (-3.17%), 28 Aug 2013 (9.92%), 14 Nov 2013 (-2.23%), 23 Dec 2013 (-2.06%), 27 Dec 2013 (-2.14%)
2012523 Feb 2012 (-2.93%), 03 Apr 2012 (-2.42%), 12 Apr 2012 (-2.31%), 22 Jun 2012 (-1.99%), 02 Jul 2012 (6.13%)
2011428 Jan 2011 (-3.49%), 30 May 2011 (-2.46%), 27 Jun 2011 (-2.71%), 15 Nov 2011 (6.94%)
2010418 May 2010 (9.95%), 20 Jul 2010 (-2.06%), 04 Oct 2010 (6.08%), 12 Nov 2010 (8.27%)
2008201 Feb 2008 (-6.43%), 07 Oct 2008 (-4.38%)
2007225 Jan 2007 (-3.0%), 26 Feb 2007 (-3.8%)
2005222 Feb 2005 (-3.43%), 06 May 2005 (10.45%)
2003104 Jul 2003 (-3.1%)
2001326 Sep 2001 (-5.62%), 06 Nov 2001 (-3.93%), 27 Nov 2001 (-3.75%)
1998230 Mar 1998 (8.07%), 26 Jun 1998 (18.16%)
1997103 Nov 1997 (-3.38%)
1996327 Mar 1996 (8.11%), 27 May 1996 (8.3%), 24 Sep 1996 (-2.96%)



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