Study: Buy CIPLA when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CIPLA when below 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
17171.1593484551.613420.5216000-3489.2-15999.240.981.050.003277.11
2-64103.3393464749.465376.1923592.82-6625.7-30712.50.810.79-0.017-689.28
3-72704.4393494452.695582.2321577.54-7868.95-34067.830.710.79-0.017-781.77
4-20141.3293494452.696684.5522456.73-7901.92-27566.020.850.94-0.0045-216.57
5-56755.9293454848.398128.6422237.98-8803.02-35716.910.920.87-0.011-610.28
6-65447.2593425145.1610003.5242151.78-9521.48-39157.821.050.87-0.011-703.73
7-66838.793415244.099538.439903.98-8806.02-45030.611.080.85-0.012-718.7
836390.7393444947.3110688.8455398.55-8855.47-47112.41.211.080.0056391.3
966712.8793474650.5410703.7946939.64-9486.2-52370.111.131.150.01717.34
1066473.9393484551.6111096.5750358.8-10359.14-41677.261.071.140.0097714.77
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
atrnil311.182225081443710725.6928163263273-7659.1-57318.133.681.270.0121545.19
atrnil28.1985481.071554910631.6117934.88175515-7484.23-57318.132.41.110.006551.49
atrtrail24.06-1495411806111933.8910361.2647264.87-6567.88-57318.131.580.81-0.015-830.78
atrtrail-15.07-1652351806111933.8910103.9843993.45-6567.88-57318.131.540.79-0.016-917.97
atrtrail34.58-1705891806111933.8910016.2151221.36-6567.88-57318.131.530.78-0.017-947.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 25.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191524 Jan 2019 (-1.81%), 28 Jan 2019 (5.94%), 22 Mar 2019 (-1.76%), 02 Apr 2019 (5.23%), 19 Jun 2019 (-2.74%), 24 Jul 2019 (-2.38%), 01 Aug 2019 (-2.6%), 06 Aug 2019 (-2.81%), 09 Aug 2019 (-3.43%), 21 Aug 2019 (-3.22%), 18 Sep 2019 (-2.52%), 23 Sep 2019 (-2.95%), 25 Sep 2019 (-3.05%), 30 Sep 2019 (-3.16%), 01 Oct 2019 (-3.45%)
2018906 Feb 2018 (7.84%), 09 Mar 2018 (-2.53%), 20 Mar 2018 (-2.83%), 16 May 2018 (-2.86%), 18 May 2018 (-3.2%), 26 Oct 2018 (-2.97%), 05 Nov 2018 (-4.03%), 06 Nov 2018 (-4.45%), 10 Dec 2018 (-3.08%)
2017821 Apr 2017 (-1.49%), 24 Apr 2017 (-1.55%), 04 May 2017 (-1.58%), 23 May 2017 (-2.01%), 24 May 2017 (-2.23%), 25 May 2017 (-2.54%), 26 May 2017 (8.36%), 11 Aug 2017 (9.66%)
2016818 Jan 2016 (-2.57%), 02 Feb 2016 (-3.03%), 04 Feb 2016 (-3.36%), 12 Feb 2016 (-3.81%), 29 Mar 2016 (-3.06%), 25 May 2016 (8.57%), 08 Nov 2016 (-2.63%), 09 Nov 2016 (9.43%)
2015804 Jun 2015 (-3.14%), 08 Jun 2015 (-3.12%), 09 Jun 2015 (-3.33%), 11 Jun 2015 (10.41%), 24 Aug 2015 (-3.81%), 05 Nov 2015 (-2.48%), 09 Nov 2015 (-2.61%), 13 Nov 2015 (-2.7%)
2014413 Feb 2014 (-2.87%), 21 Feb 2014 (7.79%), 07 May 2014 (7.57%), 27 May 2014 (8.54%)
2013626 Feb 2013 (8.18%), 30 May 2013 (-2.74%), 31 May 2013 (8.83%), 20 Nov 2013 (-2.22%), 22 Nov 2013 (-2.25%), 13 Dec 2013 (6.08%)
2012403 Mar 2012 (-2.7%), 12 Mar 2012 (-2.7%), 26 Mar 2012 (8.21%), 30 May 2012 (7.17%)
20111127 Jan 2011 (-3.4%), 07 Feb 2011 (-3.57%), 16 Feb 2011 (-3.5%), 11 Mar 2011 (-2.74%), 21 Mar 2011 (8.84%), 05 May 2011 (-2.57%), 26 Jul 2011 (-2.43%), 08 Aug 2011 (-2.66%), 09 Aug 2011 (-2.92%), 16 Aug 2011 (-3.19%), 24 Aug 2011 (10.34%)
2010304 Aug 2010 (-1.81%), 11 Aug 2010 (-1.81%), 16 Aug 2010 (6.31%)
2009120 Jan 2009 (12.8%)
2008621 Jan 2008 (-4.8%), 22 Jan 2008 (-6.24%), 10 Oct 2008 (-5.36%), 22 Oct 2008 (-5.52%), 23 Oct 2008 (-5.96%), 24 Oct 2008 (23.55%)
2007901 Mar 2007 (-4.39%), 05 Mar 2007 (-4.62%), 27 Apr 2007 (-5.53%), 11 May 2007 (-4.64%), 23 Jul 2007 (-3.23%), 25 Jul 2007 (-3.21%), 06 Aug 2007 (-3.29%), 21 Aug 2007 (-3.51%), 22 Aug 2007 (-4.2%)
2004112 May 2004 (131.64%)
2003822 Jan 2003 (-2.63%), 04 Feb 2003 (-2.76%), 12 Feb 2003 (-2.73%), 26 Feb 2003 (-2.69%), 04 Mar 2003 (-2.83%), 10 Mar 2003 (-3.05%), 23 Apr 2003 (-2.9%), 28 Apr 2003 (13.72%)
20021106 Feb 2002 (-3.46%), 28 Feb 2002 (-2.94%), 25 Apr 2002 (6.33%), 30 May 2002 (-2.28%), 31 May 2002 (-2.39%), 18 Jun 2002 (-2.48%), 20 Jun 2002 (7.93%), 16 Aug 2002 (-1.72%), 20 Aug 2002 (-1.76%), 21 Aug 2002 (5.62%), 16 Oct 2002 (-3.65%)
2001311 Apr 2001 (-5.3%), 17 Sep 2001 (-5.48%), 11 Oct 2001 (15.05%)
20001507 Jan 2000 (-7.91%), 11 Jan 2000 (-9.02%), 02 Mar 2000 (-7.84%), 03 Mar 2000 (25.61%), 24 Apr 2000 (-9.08%), 02 May 2000 (-11.28%), 03 May 2000 (-11.67%), 23 May 2000 (32.5%), 14 Jul 2000 (-6.13%), 18 Jul 2000 (-6.32%), 24 Jul 2000 (19.72%), 14 Sep 2000 (-4.03%), 15 Sep 2000 (-4.34%), 19 Sep 2000 (-4.66%), 21 Sep 2000 (15.13%)
1999120 Oct 1999 (-28.66%)
1998312 Feb 1998 (7.02%), 23 Jun 1998 (18.09%), 18 Dec 1998 (7.02%)
1997628 Oct 1997 (-3.36%), 17 Nov 1997 (-3.82%), 05 Dec 1997 (-2.92%), 09 Dec 1997 (-2.99%), 10 Dec 1997 (-3.14%), 11 Dec 1997 (10.48%)
1996327 Sep 1996 (-3.05%), 09 Oct 1996 (8.74%), 11 Nov 1996 (6.77%)
1995122 Nov 1995 (-4.94%)



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