Study: Buy LUPIN when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy LUPIN when 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
18029.2631171454.844381.8712141.28-4747.32-10963.490.921.120.011259.01
232101.5431171454.845865.1620749.02-4829.01-12810.651.211.470.0351035.53
329149.9531171454.846412.5417644.71-5704.52-13759.581.121.360.029940.32
462808.4831191261.298063.9122934.54-7533.81-16784.561.071.690.0522026.08
562188.6731161551.6110148.3229620.76-6678.97-17226.641.521.620.0452006.09
611473531171454.8411711.4538243.51-6025.68-15134.011.942.360.0743701.13
715226331191261.2912887.241916.17-7716.16-15605.661.672.640.094911.7
811772431201164.5211380.4326906.19-9989.53-20733.361.142.070.0723797.54
914282231201164.5212306.0638403.19-9390.8-28632.871.312.380.084607.17
1016853431201164.5213411.8148702.59-9063.85-22227.251.482.690.0875436.58
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
LUPIN Performance, X=10, Profit Factor:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018113 Jul 2018 (-5.82%)
2015517 Apr 2015 (2.53%), 13 May 2015 (3.71%), 16 Jun 2015 (11.49%), 23 Jul 2015 (-1.31%), 27 Oct 2015 (-7.98%)
2014328 Jan 2014 (4.22%), 19 May 2014 (0.84%), 17 Dec 2014 (2.63%)
2013409 Jan 2013 (-1.22%), 07 Aug 2013 (-4.73%), 27 Aug 2013 (13.49%), 14 Nov 2013 (-1.29%)
2012212 Jun 2012 (2.83%), 16 Aug 2012 (6.66%)
2011227 Jan 2011 (-11.11%), 17 Nov 2011 (4.26%)
2010215 Jul 2010 (2.65%), 11 Aug 2010 (3.41%)
2009108 Jul 2009 (15.39%)
2007123 Jul 2007 (-6.92%)
2006322 May 2006 (-6.03%), 07 Jun 2006 (13.72%), 12 Sep 2006 (1.14%)
2005124 Oct 2005 (-1.4%)
2004318 Jun 2004 (0.1%), 15 Jul 2004 (2.73%), 18 Oct 2004 (-2.05%)
2003214 Feb 2003 (11.33%), 31 Mar 2003 (24.35%)
2002128 Jun 2002 (6.64%)

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
atrnil310.7213045343162737.2121429.0651637.8-7867.13-15609.792.721.610.0473033.78
atrnil25.7410971243192444.1915312.7434425.2-7551.24-15609.792.031.610.0492551.45
atrtrail24.1785482.5846202643.4811771.7628675.91-5767.41-9453.512.041.570.0451858.32
atrtrail35.3580633.6246192741.312289.5834708.56-5661.79-9453.512.171.530.0381752.9
atrtrail-16.0959844.0346192741.311195.3933109.5-5661.79-9453.511.981.390.031300.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 37.21%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LUPIN Performance, Profit Factor:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018113 Jul 2018 (-2.94%)
2015917 Apr 2015 (-3.57%), 13 May 2015 (-3.78%), 14 May 2015 (12.23%), 16 Jun 2015 (9.42%), 23 Jul 2015 (-3.23%), 24 Jul 2015 (-3.5%), 27 Oct 2015 (-2.98%), 28 Oct 2015 (-3.05%), 04 Nov 2015 (-2.91%)
2014328 Jan 2014 (7.44%), 19 May 2014 (9.25%), 17 Dec 2014 (7.23%)
2013709 Jan 2013 (-1.99%), 14 Jan 2013 (6.16%), 07 Aug 2013 (-3.42%), 08 Aug 2013 (-3.7%), 20 Aug 2013 (-4.15%), 14 Nov 2013 (-2.2%), 21 Nov 2013 (6.64%)
2012212 Jun 2012 (10.63%), 16 Aug 2012 (8.14%)
2011327 Jan 2011 (-3.43%), 28 Jan 2011 (-4.0%), 17 Nov 2011 (-2.84%)
2010315 Jul 2010 (6.37%), 11 Aug 2010 (-2.24%), 17 Aug 2010 (7.21%)
2009108 Jul 2009 (-4.73%)
2007323 Jul 2007 (-3.57%), 25 Jul 2007 (-3.65%), 27 Jul 2007 (-4.13%)
2006322 May 2006 (-7.8%), 07 Jun 2006 (25.82%), 12 Sep 2006 (12.74%)
2005224 Oct 2005 (-4.17%), 27 Oct 2005 (12.16%)
2004318 Jun 2004 (-7.48%), 15 Jul 2004 (-5.58%), 18 Oct 2004 (-3.98%)
2003214 Feb 2003 (-7.17%), 31 Mar 2003 (17.35%)
2002128 Jun 2002 (12.65%)



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