Study: Sell SUNPHARMA when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA when below 200 SMA and near 50 SMA and below 50 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
19298.8144261859.092762.847274.44-3474.17-11083.490.81.150.011211.34
2-44158.0144261859.092865.927085.73-6592.88-35860.780.430.63-0.029-1003.59
3-8941.0243212248.844355.669894.7-4564.08-18541.540.950.91-0.0075-207.93
415124.243202346.516230.3615939.02-4760.13-14881.111.311.140.01351.73
5-21902.2743232053.496731.4717723.72-8836.3-31736.330.760.88-0.01-509.36
6-56178.8543212248.848039.7524335.36-10227.89-50289.390.790.75-0.02-1306.48
7-71677.6743202346.518239.7119036.59-10281.39-70321.540.80.7-0.023-1666.92
8-84373.5743232053.497799.6727759.62-13188.3-91961.410.590.68-0.023-1962.18
9-14093643192444.198880.4532679.74-12902.69-95819.940.690.54-0.036-3277.58
10-17221643212248.84976136601.31-17145.3-1125400.570.54-0.036-4005.01

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.15. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-119298.8144261859.092762.847274.44-3474.17-11083.490.81.150.011211.34
50nil32.871718762174527.429111.4611976.93-3060.17-3979.972.981.120.01277.21
50trail32.5214786.6967184926.878024.0311976.93-2645.83-3929.693.031.110.009220.7
50trail-13.541263.3165164924.628186.2630218.05-2647.28-3929.693.091.010.0006619.44
50nil22.4-2637.7265214432.316245.217984.62-3040.62-3979.972.050.98-0.0019-40.58
50trail22.12-7904.9169214830.435770.487984.62-2689.27-3929.692.150.94-0.0058-114.56
atrtrail24.25-20480.9152183434.62845316095-5077.5-17757.941.660.88-0.011-393.86
atrtrail34.94-26920.0852183434.628095.2717887.62-5077.5-17757.941.590.84-0.014-517.69
atrtrail-15.31-34462.5651173433.337875.9930503.62-4951.6-17757.941.590.8-0.018-675.74
atrnil25.36-51460.347153231.9111129.4716095-6825.07-17757.941.630.76-0.026-1094.9
atrnil38.31-78385.444293321.4316466.5724142.5-6866.2-17757.942.40.65-0.038-1866.32

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, X=1, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019415 Feb 2019 (1.95%), 03 May 2019 (0.02%), 18 Sep 2019 (1.36%), 13 Nov 2019 (0.44%)
2018204 May 2018 (0.82%), 28 May 2018 (0.04%)
2017603 Feb 2017 (-4.31%), 11 Apr 2017 (-1.92%), 28 Jul 2017 (3.48%), 25 Sep 2017 (-0.33%), 01 Dec 2017 (0.99%), 18 Dec 2017 (0.43%)
2016821 Mar 2016 (-0.97%), 18 Apr 2016 (1.1%), 27 Jun 2016 (1.12%), 14 Jul 2016 (-0.24%), 19 Aug 2016 (1.75%), 02 Sep 2016 (-0.04%), 22 Sep 2016 (0.85%), 01 Dec 2016 (0.16%)
2015407 Aug 2015 (1.32%), 15 Sep 2015 (-2.38%), 23 Oct 2015 (-0.47%), 24 Dec 2015 (-2.62%)
2009109 Jan 2009 (-2.81%)
2007124 Sep 2007 (-0.16%)
2003203 Apr 2003 (1.43%), 30 Apr 2003 (1.52%)
2002623 Jul 2002 (2.4%), 06 Aug 2002 (-0.05%), 21 Aug 2002 (-1.71%), 23 Sep 2002 (-0.76%), 23 Oct 2002 (-1.65%), 25 Nov 2002 (0.32%)
2001126 Apr 2001 (2.7%)
2000306 Jun 2000 (-5.54%), 28 Aug 2000 (3.13%), 27 Dec 2000 (-1.57%)
1999221 Jan 1999 (0.32%), 16 Mar 1999 (-3.73%)
1998204 Feb 1998 (1.75%), 05 Mar 1998 (2.83%)
1997125 Feb 1997 (0.04%)
1996103 Dec 1996 (3.64%)



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