Study: Sell SUNPHARMA when near 200 SMA and below 200 SMA

home > technical-strategy > sunpharma > 1

In this study, we evaluate the performance of strategy "Sell SUNPHARMA when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SUNPHARMA 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
145181.0256292751.794251.8618272.15-2893.44-10416.471.471.580.033806.8
237894.2856302653.575298.219314.42-4655.83-17363.341.141.310.02676.68
340275.2156302653.575655.3120115.38-4976.31-16460.911.141.310.02719.2
465243.6856322457.146534.3432944.66-5993.97-16872.431.091.450.0281165.07
579106.6956352162.57114.6728909.86-8090.8-31736.330.881.470.0291412.62
68486.7756312555.367754.4724377.23-9276.07-50289.390.841.040.0026151.55
7-4650.7756332358.938272.3123521.36-12071.18-70321.540.690.98-0.0012-83.05
8797.6156322457.149082.4823166.24-12076.74-91961.410.7510.0001814.24
9-56463.6656322457.148818.8533390.19-14111.12-95819.940.620.83-0.012-1008.28
10-87307.7656292751.799822.3138892.86-13783.5-1125400.710.77-0.016-1559.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.58. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, 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.

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
nilnil-1145181.0256292751.794251.8618272.15-2893.44-10416.471.471.580.033806.8
200trail21.8531000.9696356136.465866.337885.93-2857.72-3956.42.051.180.015322.93
200nil21.9430149.5995365937.895917.977885.93-3099.95-3998.951.911.160.015317.36
200trail-13.2326943.3690236725.569109.933824.91-2725.14-3941.463.341.150.0087299.37
200trail32.4316471.1293276629.037307.5211412.31-2739.88-3941.462.671.090.0073177.11
atrtrail24.2922308.6173264735.6210552.424100.13-5362.85-13935.241.971.090.0071305.6
200nil32.716179.7689246526.978854.9211828.89-3020.59-3998.952.931.080.0069181.8
atrnil26.03-8963.7762224035.4813574.8422996.42-7690.26-15446.661.770.97-0.0028-144.58
atrtrail34.94-32459.0171244733.89149.7829746.2-5362.85-13935.241.710.87-0.011-457.17
atrtrail-15.25-40846.2271244733.88800.3233085.18-5362.85-13935.241.640.84-0.014-575.3
atrnil39.66-10801053114220.7519642.8729746.2-7716.24-15446.662.550.67-0.036-2037.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, 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.
SUNPHARMA Performance, X=1, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Aug 2019 (-3.62%), 16 Sep 2019 (1.44%)
2018322 Feb 2018 (-5.21%), 30 Apr 2018 (2.5%), 26 Oct 2018 (-3.53%)
2016709 Feb 2016 (-0.2%), 16 Mar 2016 (1.02%), 13 Apr 2016 (-0.57%), 27 May 2016 (1.56%), 25 Jul 2016 (0.7%), 12 Aug 2016 (2.23%), 09 Sep 2016 (1.3%)
2015514 Aug 2015 (-0.95%), 31 Aug 2015 (-0.33%), 18 Sep 2015 (0.58%), 06 Oct 2015 (-1.79%), 27 Oct 2015 (0.78%)
2014119 May 2014 (-0.54%)
2011223 May 2011 (-1.4%), 30 Sep 2011 (0.12%)
2009421 Apr 2009 (3.31%), 29 May 2009 (-0.26%), 14 Jul 2009 (-3.02%), 04 Aug 2009 (-1.87%)
2007310 Jul 2007 (0.81%), 10 Sep 2007 (-0.74%), 18 Oct 2007 (0.99%)
2006107 Jun 2006 (5.84%)
2003629 Jan 2003 (1.55%), 21 Feb 2003 (0.26%), 25 Mar 2003 (1.76%), 08 Apr 2003 (-0.09%), 24 Apr 2003 (-1.19%), 19 May 2003 (-1.69%)
2002330 May 2002 (5.81%), 29 Aug 2002 (0.39%), 18 Dec 2002 (-0.95%)
2001901 Jan 2001 (-1.78%), 07 Mar 2001 (3.78%), 30 Mar 2001 (9.14%), 20 Apr 2001 (0.74%), 09 Jul 2001 (0.89%), 13 Aug 2001 (1.04%), 13 Sep 2001 (5.28%), 05 Oct 2001 (-0.24%), 23 Oct 2001 (0.29%)
2000114 Dec 2000 (3.67%)
1999306 Jan 1999 (-0.07%), 22 Feb 1999 (2.5%), 16 Mar 1999 (-3.73%)
1998126 Mar 1998 (-0.73%)
1997228 Feb 1997 (-3.7%), 24 Nov 1997 (-0.78%)
1996316 Jan 1996 (1.38%), 20 Aug 1996 (-0.0%), 04 Sep 1996 (-0.08%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play