Study: Buy CIPLA when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CIPLA when 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
146176.9839261366.673481.7610838.55-3411.44-9822.591.022.040.0541184.03
270869.0839241561.545434.8415800.53-3971.14-12959.791.372.190.0631817.16
373358.2939211853.856855.8123268.99-3922.99-9370.51.752.040.0571880.98
483036.5939241561.546556.4719579.75-4954.58-15151.721.322.120.062129.14
557116.7439211853.857217.7222627.39-5247.52-19343.791.381.60.0371464.53
610870039231658.97809228102.44-4838.5-22083.71.672.40.0642787.18
710141139211853.859300.5525129.66-5216.7-15864.11.782.080.0582600.28
813500539241561.549223.2829866.87-5756.95-13905.871.62.560.0743461.65
914895539251464.19511.5436240.18-6345.24-14612.951.52.680.0763819.36
1011497239211853.8510776.6434753.78-6185.42-16394.821.742.030.0562948

From the table above, we see that best results are achieved by holding positions for 9 trading days. Profit factor is 2.68. 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 64.1%, which is good. Average return per trade is 1.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.076, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CIPLA Performance, X=9, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018231 Jan 2018 (4.05%), 11 Oct 2018 (-1.17%)
2017211 Apr 2017 (-4.67%), 13 Dec 2017 (5.97%)
2016102 Nov 2016 (-3.92%)
2015116 Apr 2015 (-7.31%)
2014119 Nov 2014 (6.72%)
2013517 Jan 2013 (0.09%), 08 Feb 2013 (0.3%), 25 Feb 2013 (5.78%), 17 Oct 2013 (1.08%), 14 Nov 2013 (-5.72%)
2012214 Feb 2012 (-0.62%), 24 Sep 2012 (3.32%)
2011127 Dec 2011 (4.97%)
2010427 Jan 2010 (1.04%), 24 Feb 2010 (4.3%), 10 May 2010 (-0.75%), 15 Jul 2010 (0.87%)
2009117 Aug 2009 (2.27%)
2008209 May 2008 (-1.0%), 26 May 2008 (4.34%)
2006229 Nov 2006 (-3.65%), 13 Dec 2006 (9.31%)
2004203 Feb 2004 (6.91%), 18 Mar 2004 (3.28%)
2003119 Nov 2003 (12.06%)
2001313 Mar 2001 (6.23%), 05 Jul 2001 (4.23%), 20 Jul 2001 (1.79%)
2000126 Dec 2000 (18.12%)
1998208 Jun 1998 (2.76%), 26 Nov 1998 (-0.19%)
1997222 Aug 1997 (-3.69%), 14 Oct 1997 (-3.19%)
1996410 May 1996 (-4.97%), 27 May 1996 (7.32%), 30 Jul 1996 (1.78%), 24 Sep 1996 (-3.57%)

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
nilnil-1914895539251464.19511.5436240.18-6345.24-14612.951.52.680.0763819.36
atrnil38.3710717652163630.7720299.7931731.78-6045.01-11102.553.361.490.0332061.08
atrtrail34.9568957.9660233738.3310023.3631731.78-4367.01-9752.582.31.430.0261149.3
atrnil25.9378453.1754203437.0414027.0821943.64-5943.77-11102.552.361.390.0291452.84
atrtrail24.252475.2960233738.339306.7221154.52-4367.01-9752.582.131.320.023874.59
atrtrail-15.5848695.9460233738.339142.430975.22-4367.01-9752.582.091.30.019811.6

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. 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 64.1%, which is good. Average return per trade is 1.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.076, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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