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

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In this study, we evaluate the performance of strategy "Buy LUPIN when near 200 SMA and 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 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
1-18651.9845202544.443346.019308.58-3422.89-10963.490.980.78-0.023-414.49
212838.6345212446.675332.9620749.02-4131.4-17586.961.291.130.011285.3
3-16100.6345212446.675326.9812973.84-5331.97-13323.110.87-0.013-357.79
4-50428.4945202544.445968.4915514.92-6791.93-16416.360.880.7-0.034-1120.63
5-62169.7245202544.446785.4418527.96-7915.14-19315.330.860.69-0.036-1381.55
6-50843.5345212446.677573.7524540.74-8745.51-22110.550.870.76-0.026-1129.86
7-47768.8845232251.118573.0826848.59-11134.08-24356.160.770.8-0.021-1061.53
8-57402.4345232251.118022.7617883.5-10996.64-29626.790.730.76-0.026-1275.61
9-20599.8345242153.339045.2518924.93-11318.37-31731.240.80.91-0.0084-457.77
10-12051.4845242153.339674.3527441.14-11630.28-30213.190.830.95-0.0047-267.81
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
200trail-13.1129223.53641648259718.3753478.26-2630.63-3835.113.691.230.012456.62
atrnil310.7625425.9642113126.1923254.8651637.8-7431.53-14791.053.131.110.01605.38
200nil21.7245.3366214531.826076.527792.78-2830.26-3927.282.1510.000213.72
200trail21.68-2782.0766214531.825761.617792.78-2750.58-3835.112.090.98-0.0025-42.15
atrtrail24.25-5620.8656193733.939874.3829582.09-5222.54-14483.121.890.97-0.0028-100.37
200trail32.03-4147.1265184727.696756.6211607.9-2675.88-3835.112.530.97-0.0033-63.8
atrnil26.96-19437.0647143329.7916017.3534425.2-7384.24-14878.442.170.92-0.0086-413.55
200nil32.27-25515.2263144922.228448.211607.9-2934.49-3927.282.880.82-0.02-405
atrtrail-15.29-49031.8756183832.148173.2234365.53-5161.84-14483.121.580.75-0.026-875.57
atrtrail34.84-56461.5156183832.147760.4722927.62-5161.84-14483.121.50.71-0.033-1008.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Jan 2019 (0.21%), 04 Feb 2019 (-1.65%), 08 May 2019 (-1.91%)
2018913 Jun 2018 (2.33%), 13 Jul 2018 (-1.79%), 14 Aug 2018 (-1.08%), 08 Oct 2018 (-0.42%), 12 Oct 2018 (4.0%), 14 Nov 2018 (0.79%), 07 Dec 2018 (-1.43%), 14 Dec 2018 (0.08%), 28 Dec 2018 (-1.04%)
2016601 Jan 2016 (-1.03%), 08 Feb 2016 (-1.25%), 08 Mar 2016 (-1.21%), 20 Jul 2016 (-1.34%), 28 Jul 2016 (-0.95%), 08 Aug 2016 (-1.42%)
2015303 Aug 2015 (-1.27%), 23 Nov 2015 (-1.58%), 29 Dec 2015 (-1.07%)
2014126 May 2014 (17.8%)
2012105 Jan 2012 (-1.26%)
20111401 Feb 2011 (0.82%), 07 Feb 2011 (-1.21%), 17 Feb 2011 (-1.75%), 30 Mar 2011 (-1.08%), 31 Mar 2011 (-1.06%), 26 Apr 2011 (2.72%), 03 May 2011 (-1.04%), 12 May 2011 (-1.62%), 13 Jun 2011 (0.56%), 20 Jun 2011 (-1.02%), 17 Aug 2011 (-1.92%), 21 Nov 2011 (4.73%), 08 Dec 2011 (-1.02%), 30 Dec 2011 (-1.28%)
2009130 Mar 2009 (-0.4%)
2008607 Jan 2008 (-1.5%), 24 Apr 2008 (-1.25%), 25 Apr 2008 (-1.64%), 28 Apr 2008 (-1.41%), 23 Oct 2008 (-1.82%), 27 Oct 2008 (8.12%)
2007427 Jul 2007 (0.01%), 13 Aug 2007 (-1.7%), 25 Oct 2007 (-1.01%), 24 Dec 2007 (-1.18%)
2006607 Jun 2006 (-1.76%), 28 Jun 2006 (-1.29%), 06 Jul 2006 (-1.49%), 12 Sep 2006 (0.11%), 21 Sep 2006 (-1.33%), 26 Sep 2006 (-1.53%)
2005404 Jan 2005 (-1.87%), 23 May 2005 (-1.03%), 26 May 2005 (-1.4%), 27 May 2005 (-1.29%)
2004325 Oct 2004 (-1.04%), 10 Dec 2004 (-1.49%), 13 Dec 2004 (7.63%)
2002303 Sep 2002 (-1.03%), 04 Dec 2002 (1.09%), 09 Dec 2002 (26.74%)



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