Study: Sell LUPIN when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell LUPIN when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" 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
16968.4624111345.833221.028673.29-2189.45-5794.921.471.240.021290.35
231843.2824141058.334864.5622374.59-3626.05-11823.651.341.880.051326.8
346054.6524141058.335633.8124568.62-3281.87-6712.341.722.40.0721918.94
425762.39241212507244.8222985.94-5097.95-11387.61.421.420.0331073.43
59776.61241212507470.425831.33-6655.68-15364.061.121.120.011407.36
619282.8424131154.178731.5229150.95-8566.09-20891.781.021.20.017803.45
738379.7224141058.339063.3739841.16-8850.75-28640.611.021.430.031599.16
830575.824131154.178553.1831413.55-7328.69-21509.691.171.380.0271273.99
962853.424141058.339856.9830962.18-7514.43-24682.71.311.840.0492618.89
1097924.2324141058.3311774.1739731.46-6691.42-17937.311.762.460.0714080.18
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
LUPIN Performance, X=10, Profit Factor:2.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019313 May 2019 (7.12%), 19 Jul 2019 (-2.67%), 13 Aug 2019 (2.16%)
2018117 Jul 2018 (0.36%)
2017519 Jan 2017 (-0.87%), 08 Feb 2017 (2.28%), 27 Feb 2017 (1.17%), 27 Mar 2017 (1.94%), 25 Oct 2017 (16.14%)
2016812 Feb 2016 (1.68%), 29 Feb 2016 (1.8%), 16 Mar 2016 (16.3%), 12 Aug 2016 (6.45%), 26 Oct 2016 (-1.48%), 10 Nov 2016 (-0.99%), 14 Dec 2016 (2.19%), 29 Dec 2016 (-1.58%)
2011206 Apr 2011 (-2.34%), 23 Jun 2011 (-7.19%)
2009221 Jan 2009 (-0.4%), 20 Mar 2009 (-6.97%)
2007118 Oct 2007 (2.94%)
2006125 Sep 2006 (-8.97%)
2005107 Jan 2005 (19.87%)

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
50trail21.941965.3632102231.255777.977730.13-2537.02-3825.112.281.040.003761.42
50trail-13.41149832824257583.9629762.31-2465.57-3825.113.081.030.001846.81
atrtrail-15.83-15462992031.038697.1931326.79-3991.03-9728.822.180.98-0.0016-53.31
50nil22.41-5374.7732102231.255777.977730.13-2870.66-3980.12.010.91-0.0098-167.96
50trail32.47-6211.6332824256620.2611432.09-2465.57-3825.112.690.9-0.011-194.11
50nil33.26-11968.513172422.588318.6311595.2-2924.95-3980.12.840.83-0.019-386.08
atrtrail35-13876.482992031.037327.1320626.36-3991.03-9728.821.840.83-0.017-478.5
atrtrail24.59-15581.332992031.037137.7113750.9-3991.03-9728.821.790.8-0.021-537.29
atrnil310-56821.282341917.3917711.2320626.36-6719.27-10805.752.640.55-0.063-2470.49
atrnil27.29-69477.182451920.8311552.4413750.9-6696.81-10805.751.730.45-0.091-2894.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.031%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0037, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 May 2019 (-1.03%), 19 Jul 2019 (-1.37%), 13 Aug 2019 (2.03%), 26 Aug 2019 (2.52%)
2018117 Jul 2018 (2.85%)
2017719 Jan 2017 (-1.06%), 02 Feb 2017 (-1.52%), 08 Feb 2017 (-1.09%), 20 Feb 2017 (-1.08%), 27 Mar 2017 (3.87%), 25 Oct 2017 (-1.02%), 27 Oct 2017 (-1.4%)
20161112 Feb 2016 (-1.35%), 16 Feb 2016 (3.18%), 25 Feb 2016 (-1.04%), 29 Feb 2016 (-1.16%), 16 Mar 2016 (2.34%), 12 Aug 2016 (-1.02%), 18 Aug 2016 (2.41%), 26 Oct 2016 (-0.84%), 10 Nov 2016 (3.81%), 14 Dec 2016 (2.11%), 29 Dec 2016 (-1.86%)
2011206 Apr 2011 (-1.0%), 23 Jun 2011 (-1.91%)
2009221 Jan 2009 (-1.48%), 20 Mar 2009 (-1.58%)
2007218 Oct 2007 (3.77%), 23 Oct 2007 (-1.22%)
2006125 Sep 2006 (-0.25%)
2005207 Jan 2005 (-1.91%), 11 Jan 2005 (-1.73%)



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