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

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA when near 200 SMA and below 200 SMA and RSI is below 50" 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
115578.0729141548.285194.4318272.15-3809.59-10416.471.361.270.018537.17
2-12015.7129131644.835483.6215454.38-5206.42-17363.341.050.86-0.012-414.33
3-13094.2329131644.835615.119859.34-5380.66-16460.911.040.85-0.012-451.53
4-8895.6829131644.837237.7732944.66-6436.66-16872.431.120.91-0.0065-306.75
5-50331.5429141548.286740.5928909.86-9646.65-31736.330.70.65-0.03-1735.57
6-10150129121741.387077.7517411.8-10966.69-50289.390.650.46-0.054-3500.03
7-11826629151451.726791.2514818.56-15723.88-70321.540.430.46-0.051-4078.12
8-10082029141548.288897.5220296.26-15025.65-91961.410.590.55-0.036-3476.54
9-11995929151451.727544.0221418.71-16651.41-95819.940.450.49-0.042-4136.53
10-15711629131644.838303.6120443.46-16566.43-1125400.50.41-0.048-5417.79

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.27. 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 48.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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-1115578.0729141548.285194.4318272.15-3809.59-10416.471.361.270.018537.17
200trail-12.818084.8747103721.2810744.5331503.39-2685.42-3845.5941.080.005172.02
200trail32.15-11641.98481236257204.9610939.86-2725.04-3845.592.640.88-0.011-242.54
200nil32.21-14542.8547113623.48585.8810939.86-3027.43-3891.142.840.87-0.013-309.42
200trail21.78-16574.5249143528.575872.137293.24-2822.41-3845.592.080.83-0.017-338.26
200nil21.78-23772.0349143528.575872.137293.24-3028.05-3891.141.940.78-0.024-485.14
atrtrail23.6-46822.4640112927.511130.9424100.13-5836.65-13935.241.910.72-0.027-1170.56
atrnil25.14-57692.1735102528.5714295.5222996.42-8025.9-15446.661.780.71-0.031-1648.35
atrtrail34.08-78135.8639102925.649112.6929746.2-5836.65-13935.241.560.54-0.05-2003.48
atrnil38.85-1112653462817.6519223.6429746.2-8093.1-15446.662.380.51-0.06-3272.5
atrtrail-14.21-90834.7339102925.647842.822219.07-5836.65-13935.241.340.46-0.066-2329.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 48.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018222 Feb 2018 (-5.21%), 26 Oct 2018 (-3.53%)
2016216 Mar 2016 (1.02%), 12 Aug 2016 (2.23%)
2014119 May 2014 (-0.54%)
2011223 May 2011 (-1.4%), 30 Sep 2011 (0.12%)
2009329 May 2009 (-0.26%), 14 Jul 2009 (-3.02%), 04 Aug 2009 (-1.87%)
2007110 Jul 2007 (0.81%)
2006107 Jun 2006 (5.84%)
2003429 Jan 2003 (1.55%), 21 Feb 2003 (0.26%), 24 Apr 2003 (-1.19%), 19 May 2003 (-1.69%)
2002130 May 2002 (5.81%)
2001407 Mar 2001 (3.78%), 30 Mar 2001 (9.14%), 09 Jul 2001 (0.89%), 13 Aug 2001 (1.04%)
2000127 Dec 2000 (-1.57%)
1999222 Feb 1999 (2.5%), 16 Mar 1999 (-3.73%)
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%)



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