Study: Buy LUPIN when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy LUPIN when above 200 SMA and near 50 SMA and above 50 SMA" 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
13944.1673393453.422923.1221108.49-3236.98-10493.710.91.040.00354.03
265083.8373423157.534220.2518711.56-3618.27-16650.681.171.580.039891.56
373519.6773442960.274854.2817903.21-4829.95-22632.21.011.520.0371007.12
471286.9173452861.644904.7415433.77-5336.65-23531.350.921.480.036976.53
564884.6873452861.645666.6917109.35-6789.88-20159.540.831.340.028888.83
622936.6773452861.645491.9820316.21-8007.23-26865.250.691.10.0087314.2
74667.7773413256.166267.4520152.37-7884.3-30850.990.791.020.001863.94
851726.3173413256.167369.5623939.29-7825.8-37158.240.941.210.017708.58
981031.3673452861.647789.6228216.63-9625.06-43829.10.811.30.0241110.02
1063756.3873413256.168556.127526.73-8970.11-48905.670.951.220.017873.38
Although, strategy looks good but profit factor on day 1 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
atrnil39.212492271234832.3919465.7931741.75-6724.81-14755.42.891.390.0331759.47
atrnil26.110140680334741.2512623.0521161.17-6705.42-14755.41.881.320.031267.57
50trail32.3849266.73118388032.27027.6911933.21-2722.32-3966.122.581.230.02417.51
50trail-13.6149547.24117368130.77748956733.35-2716.75-3966.122.761.230.014423.48
atrtrail24.4956082.9194365838.39475.721161.17-4914.52-13341.811.931.20.018596.63
50nil32.7141902.42112328028.578853.9711933.21-3017.81-3989.22.931.170.016374.13
50trail21.932802.07124457936.295629.547955.47-2791.48-3966.122.021.150.015264.53
atrtrail35.1836979.6293355837.639209.4331741.75-4919.84-13341.811.871.130.011397.63
atrtrail-15.9933517.0493355837.639110.557226.78-4919.84-13341.811.851.120.0088360.4
50nil22.0425224.45120447636.675868.687955.47-3065.76-3989.21.911.110.011210.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 32.39%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Jan 2019 (-2.28%)
2018320 Aug 2018 (9.81%), 15 Oct 2018 (-3.87%), 21 Dec 2018 (-2.9%)
2016101 Jan 2016 (-2.09%)
2015615 Jan 2015 (6.59%), 18 Jun 2015 (9.24%), 22 Jul 2015 (-2.77%), 14 Aug 2015 (-2.81%), 26 Aug 2015 (11.48%), 27 Oct 2015 (-2.98%)
2014727 Jan 2014 (-2.36%), 12 Feb 2014 (6.93%), 26 Mar 2014 (6.73%), 09 May 2014 (-2.59%), 09 Jun 2014 (7.13%), 16 Dec 2014 (-2.09%), 18 Dec 2014 (-2.37%)
20131009 Jan 2013 (-1.99%), 21 Jan 2013 (-2.0%), 28 Jan 2013 (-2.01%), 22 Feb 2013 (-2.11%), 06 Mar 2013 (7.27%), 09 Apr 2013 (6.94%), 07 Aug 2013 (-3.42%), 06 Sep 2013 (12.44%), 06 Nov 2013 (-2.39%), 17 Dec 2013 (5.85%)
2012618 May 2012 (-3.63%), 29 Jun 2012 (7.37%), 16 Aug 2012 (8.14%), 21 Sep 2012 (-2.96%), 05 Nov 2012 (-2.52%), 29 Nov 2012 (6.2%)
2011613 Jun 2011 (-2.75%), 21 Jun 2011 (-3.01%), 22 Jul 2011 (-2.96%), 11 Aug 2011 (-3.29%), 26 Aug 2011 (-3.31%), 25 Nov 2011 (-2.93%)
2010813 Jan 2010 (-3.06%), 29 Jan 2010 (10.73%), 23 Feb 2010 (10.39%), 14 Jul 2010 (-2.06%), 16 Jul 2010 (-2.22%), 25 Aug 2010 (-2.37%), 08 Sep 2010 (-3.05%), 14 Dec 2010 (-4.75%)
2008211 Sep 2008 (-2.87%), 03 Nov 2008 (-6.47%)
2007913 Feb 2007 (-4.15%), 19 Feb 2007 (13.05%), 28 Feb 2007 (-5.77%), 08 Mar 2007 (-6.67%), 23 Mar 2007 (-4.75%), 03 Apr 2007 (15.03%), 08 Jun 2007 (-4.06%), 21 Jun 2007 (10.79%), 10 Jul 2007 (-3.81%)
2006324 May 2006 (-7.38%), 14 Sep 2006 (-4.01%), 03 Oct 2006 (11.72%)
2005529 Jul 2005 (-4.16%), 10 Aug 2005 (13.44%), 29 Sep 2005 (-3.65%), 24 Nov 2005 (-3.18%), 05 Dec 2005 (10.73%)
2004110 Aug 2004 (-3.22%)
2003206 Mar 2003 (-5.39%), 21 Apr 2003 (15.87%)
2002104 Jul 2002 (-3.95%)



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