Study: Sell LUPIN when near 200 SMA and below 200 SMA

home > technical-strategy > lupin > 1

In this study, we evaluate the performance of strategy "Sell LUPIN when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell LUPIN 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. buy 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
18066.5639231658.972678.59607.57-3346.18-10252.330.81.150.013206.83
2-34694.3439192048.723635.26752.01-5188.15-11404.170.70.67-0.04-889.6
34761.6139211853.854522.9512860.39-5012.24-13717.310.91.050.0047122.09
49791.939201951.285534.9516541.96-5310.9-18690.841.041.10.0085251.07
5-17748.0739201951.286497.319799.02-7773.37-28503.060.840.88-0.011-455.08
6-66514.1639192048.727580.8129275.93-10527.47-39546.220.720.68-0.033-1705.49
7-41299.4639192048.728363.3831384.72-10010.19-35859.260.840.79-0.021-1058.96
8-40008.5739192048.728375.5429863.53-9957.19-38429.50.840.8-0.02-1025.86
9-65789.8439172243.599110.7532598.37-10030.57-36426.480.910.7-0.031-1686.92
10-11442839152438.4611124.5335789.01-11720.68-42417.80.950.59-0.046-2934.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.15. 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 58.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-118066.5639231658.972678.59607.57-3346.18-10252.330.81.150.013206.83
200nil32.3-28579.49601248209272.1111759.23-2913.43-3980.933.180.8-0.023-476.32
200trail32.08-3020965145121.547489.0511759.23-2648.15-3980.932.830.78-0.024-464.75
atrtrail24.25-50328.4248133527.089987.5418003.95-5147.61-14448.041.940.72-0.033-1048.51
atrtrail-15.38-54112.5848133527.089696.4537880.3-5147.61-14448.041.880.7-0.03-1127.35
atrnil26.12-79032.1940112927.512739.3518003.95-7557.41-14448.041.690.64-0.05-1975.8
200trail21.86-49363.5266165024.245275.047839.49-2675.28-3980.931.970.63-0.05-747.93
200nil22.05-54886.9261144722.955976.167839.49-2947.94-3980.932.030.6-0.057-899.79
atrnil39.25-1001223663016.6720829.0127005.93-7503.19-14448.042.780.56-0.061-2781.15
200trail-12.82-63586.6865125318.465984.3719773.18-2554.7-3980.932.340.53-0.057-978.26
atrtrail34.6-85624.4348133527.087272.4618406.05-5147.61-14448.041.410.52-0.064-1783.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 58.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.1%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LUPIN Performance, X=1, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Jan 2019 (0.02%), 10 May 2019 (4.26%)
2018401 Aug 2018 (-2.45%), 05 Oct 2018 (-1.34%), 11 Dec 2018 (1.6%), 26 Dec 2018 (-0.66%)
2017211 Jan 2017 (2.02%), 25 Jan 2017 (1.77%)
2016505 Feb 2016 (-1.0%), 22 Feb 2016 (1.79%), 10 Mar 2016 (-1.93%), 19 Jul 2016 (-1.25%), 03 Aug 2016 (1.32%)
2015429 Jul 2015 (0.81%), 16 Nov 2015 (0.53%), 03 Dec 2015 (0.93%), 28 Dec 2015 (-0.32%)
2012204 Jan 2012 (-0.61%), 24 Jan 2012 (-2.74%)
2011711 Feb 2011 (-3.91%), 23 Mar 2011 (2.3%), 13 Apr 2011 (0.74%), 06 May 2011 (-2.18%), 23 Jun 2011 (0.03%), 09 Aug 2011 (-5.13%), 09 Dec 2011 (1.48%)
2009108 Apr 2009 (0.59%)
2008208 May 2008 (0.81%), 24 Oct 2008 (-0.71%)
2007214 Aug 2007 (2.09%), 19 Dec 2007 (0.1%)
2006329 Jun 2006 (-0.46%), 31 Jul 2006 (0.87%), 25 Sep 2006 (-0.82%)
2005205 Jan 2005 (4.8%), 31 May 2005 (1.32%)
2004201 Nov 2004 (0.2%), 18 Nov 2004 (0.41%)
2002126 Jun 2002 (-1.27%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play