Study: Buy LUPIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50 and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy LUPIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50 and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
16288.2394544.445569.879308.58-3198.25-10163.591.741.390.029698.69
2-8715.5894544.444919.476026.08-5678.69-17586.960.870.69-0.033-968.4
3-23508.393633.334093.3511017.84-5964.73-13323.10.690.34-0.092-2612.03
4-8077.793633.339519.2815514.92-6105.92-13151.831.560.78-0.025-897.52
5-604.5494544.449627.3518527.96-7822.79-16170.161.230.98-0.0014-67.17
6-17215.6892722.2214917.2417598.56-6721.45-16064.42.220.63-0.045-1912.85
7-8485.9894544.4412315.9526848.59-11549.95-22986.071.070.85-0.015-942.89
8-8473.794544.4410779.717553.59-10318.5-21481.871.040.84-0.018-941.52
9-3991.0694544.4412415.1218228.15-10730.31-24337.511.160.93-0.0076-443.45
10-8457.6493633.3317072.1326232.39-9945.67-22034.21.720.86-0.016-939.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.

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
200trail-13.5443693.161331023.0823642.3953478.26-2723.4-3812.218.682.60.0533361.01
nilnil-116288.2394544.445569.879308.58-3198.25-10163.591.741.390.029698.69
atrtrail33.624981.72134930.7711157.7622927.62-4405.48-9120.992.531.130.01383.21
200trail31.851336.041331023.089523.3510595.52-2723.4-3812.213.51.050.0047102.77
200nil31.92-778.961331023.089523.3510595.52-2934.9-3812.213.240.97-0.0027-59.92
atrtrail-14.08-4981.41134930.778666.9817426.6-4405.48-9120.991.970.87-0.012-383.19
atrnil34.9-9680.2310282019045.5520656.57-5971.42-9120.993.190.8-0.023-968.02
atrtrail23.31-8472.33134930.777794.2515285.08-4405.48-9120.991.770.79-0.023-651.72
200trail21.77-8187.31331023.086348.97063.68-2723.4-3812.212.330.7-0.039-629.79
200nil21.85-10302.311331023.086348.97063.68-2934.9-3812.212.160.65-0.048-792.49
atrnil24.6-22377.2710282012697.0313771.05-5971.42-9120.992.130.53-0.07-2237.73

In the table above, row 1 shows the best exit criterion. Profit factor is 2.6. 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 23.08%, which is not acceptable. Avoid this strategy. Average return per trade is 1.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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.
LUPIN Performance, Profit Factor:2.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 May 2019 (-1.91%)
2016408 Feb 2016 (-1.25%), 20 Jul 2016 (-1.34%), 28 Jul 2016 (-0.95%), 08 Aug 2016 (-1.42%)
2011103 May 2011 (-1.04%)
2008225 Apr 2008 (-1.64%), 28 Apr 2008 (-1.41%)
2007124 Dec 2007 (-1.18%)
2004210 Dec 2004 (-1.49%), 13 Dec 2004 (7.63%)
2002204 Dec 2002 (1.09%), 09 Dec 2002 (26.74%)



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