Study: Buy LUPIN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy LUPIN when below 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
1-30897.6953252847.173815.0718037.01-4509.8-14375.250.850.76-0.023-582.98
2-18125.7353233043.46752.830136.77-5781.33-25727.231.170.9-0.0087-341.99
3-20748.3253252847.176832.4327937.38-6841.4-21347.6610.89-0.01-391.48
426080.6453242945.288904.3130348.47-6469.75-20884.861.381.140.012492.09
542936.0353272650.948673.7539309.06-7355.97-23001.241.181.220.018810.11
646361.7453302356.68248.9138529.36-8743.72-32580.780.941.230.018874.75
775706.8253292454.729245.935086.67-8017.68-23771.131.151.390.031428.43
855836.5753282552.839944.3737209.86-8904.23-26807.651.121.250.021053.52
924422.8253252847.179536.9123909.61-7642.85-30563.951.251.110.0098460.81
10507.8653272650.948828.6828960.66-9148.71-32739.170.9710.000199.58
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
atrnil26.4621142887365141.3816428.5738729.12-7450.98-15221.782.21.560.0462430.21
atrnil312.0418467683255830.1224985.9258093.68-7585.73-15221.783.291.420.0332225.01
atrtrail35.3511862894375739.3612184.7733949.98-5828.22-15221.782.091.360.0281262
atrtrail24.4611098794375739.3611978.2538729.12-5828.22-15221.782.061.330.0271180.71
atrtrail-16.2660054.6693355837.6311513.4950532.49-5912.37-15221.781.951.180.014645.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.56. 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 41.38%, which is not acceptable. Avoid this strategy. Average return per trade is 1.22%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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:1.56

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191013 Feb 2019 (-3.1%), 19 Feb 2019 (-3.25%), 25 Mar 2019 (6.1%), 15 May 2019 (-3.28%), 17 May 2019 (-3.74%), 27 May 2019 (-3.73%), 17 Jun 2019 (5.63%), 27 Sep 2019 (-2.74%), 04 Oct 2019 (-3.05%), 07 Oct 2019 (6.78%)
20181001 Feb 2018 (-2.52%), 06 Feb 2018 (-3.16%), 06 Mar 2018 (-2.65%), 23 Mar 2018 (5.16%), 09 May 2018 (-2.71%), 15 May 2018 (-3.07%), 16 Jul 2018 (-3.35%), 19 Jul 2018 (6.8%), 05 Oct 2018 (8.37%), 10 Dec 2018 (6.52%)
20171614 Feb 2017 (-2.6%), 24 Apr 2017 (-1.85%), 27 Apr 2017 (-1.88%), 02 May 2017 (-2.23%), 03 May 2017 (4.84%), 24 May 2017 (-3.0%), 25 May 2017 (-3.76%), 21 Jun 2017 (-3.11%), 23 Jun 2017 (6.28%), 31 Jul 2017 (-3.15%), 03 Aug 2017 (-3.55%), 09 Aug 2017 (-3.47%), 10 Aug 2017 (7.39%), 26 Oct 2017 (4.33%), 07 Nov 2017 (-4.55%), 30 Nov 2017 (5.25%)
20161411 Jan 2016 (-2.4%), 13 Jan 2016 (5.08%), 17 Mar 2016 (-3.77%), 18 Mar 2016 (-4.41%), 29 Mar 2016 (10.63%), 20 May 2016 (-3.14%), 23 May 2016 (-3.36%), 06 Jun 2016 (6.19%), 09 Aug 2016 (-2.94%), 10 Aug 2016 (-3.16%), 29 Aug 2016 (5.34%), 29 Sep 2016 (4.89%), 04 Nov 2016 (5.19%), 26 Dec 2016 (5.27%)
2015327 Jul 2015 (7.49%), 10 Nov 2015 (-3.17%), 10 Dec 2015 (5.68%)
2011408 Feb 2011 (-4.41%), 09 Feb 2011 (9.76%), 12 Dec 2011 (-3.22%), 14 Dec 2011 (6.9%)
2008718 Jan 2008 (-4.47%), 21 Jan 2008 (-5.22%), 22 Jan 2008 (13.61%), 17 Mar 2008 (-6.14%), 10 Oct 2008 (11.73%), 12 Nov 2008 (-7.61%), 17 Nov 2008 (16.78%)
2007616 Aug 2007 (-4.63%), 20 Aug 2007 (-4.83%), 21 Aug 2007 (10.13%), 05 Nov 2007 (-4.59%), 12 Nov 2007 (-4.43%), 29 Nov 2007 (9.05%)
2006314 Jun 2006 (19.36%), 27 Jul 2006 (11.32%), 27 Sep 2006 (7.95%)
2005606 Jan 2005 (-3.72%), 14 Jan 2005 (-4.35%), 17 Jan 2005 (10.05%), 19 Jan 2005 (-6.14%), 24 Jan 2005 (-6.72%), 25 Jan 2005 (14.17%)
2004126 Oct 2004 (-4.02%)
2002726 Jul 2002 (-4.12%), 29 Jul 2002 (-4.36%), 31 Jul 2002 (9.17%), 13 Sep 2002 (-3.66%), 23 Sep 2002 (-3.51%), 25 Sep 2002 (7.02%), 30 Sep 2002 (9.49%)



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