Study: Buy SUNPHARMA when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
120348.7593464749.463377.616000-2872.78-11873.261.181.150.0098218.8
299425.1993494452.695928.123568.46-4342.09-18976.321.371.520.0321069.09
310197093514254.846226.9624000-5133.45-26410.171.211.470.031096.45
410576493494452.697825.838964.24-6311.36-30553.621.241.380.0231137.25
513963193444947.319919.8855137.69-6058.04-42862.121.641.470.0261501.41
616908493474650.549730.3751356.35-6266.16-39066.851.551.590.0311818.11
727140593563760.229138.0848869.71-6495.32-25943.211.412.130.0512918.34
825891493553859.149545.0856165.23-7001.72-21664.721.361.970.0482784.02
933551693534056.9911544.8163049.73-6908.98-22527.861.672.210.0553607.7
1033066593524155.9112510.8184093.71-7802.38-24628.551.62.030.0483555.53
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SUNPHARMA Performance, X=9, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (0.71%), 23 Feb 2018 (-11.03%)
2016122 Mar 2016 (-4.15%)
2015227 Feb 2015 (17.89%), 10 Jul 2015 (-8.06%)
20141106 Jan 2014 (0.98%), 20 Jan 2014 (-0.12%), 04 Feb 2014 (2.95%), 12 Mar 2014 (-4.14%), 13 May 2014 (-2.96%), 03 Jun 2014 (7.0%), 15 Sep 2014 (1.42%), 09 Oct 2014 (-0.58%), 29 Oct 2014 (9.38%), 21 Nov 2014 (-0.19%), 09 Dec 2014 (-2.97%)
2013316 Jan 2013 (-1.11%), 18 Jun 2013 (3.41%), 20 Nov 2013 (-0.71%)
2012909 Jan 2012 (4.48%), 16 Mar 2012 (4.78%), 09 Apr 2012 (5.3%), 16 May 2012 (-2.82%), 08 Jun 2012 (5.24%), 05 Sep 2012 (3.46%), 26 Oct 2012 (1.72%), 09 Nov 2012 (1.6%), 26 Nov 2012 (1.12%)
2011917 Jan 2011 (-5.28%), 21 Mar 2011 (0.18%), 18 Apr 2011 (7.05%), 06 May 2011 (-3.13%), 27 May 2011 (6.75%), 05 Aug 2011 (-6.43%), 12 Oct 2011 (3.32%), 16 Nov 2011 (4.07%), 20 Dec 2011 (-0.96%)
2010701 Feb 2010 (0.92%), 25 Feb 2010 (11.34%), 23 Apr 2010 (-7.36%), 01 Jun 2010 (1.26%), 10 Aug 2010 (1.78%), 27 Aug 2010 (-1.56%), 20 Dec 2010 (9.41%)
2009522 Jun 2009 (-10.41%), 28 Jul 2009 (-4.85%), 14 Aug 2009 (-0.62%), 28 Aug 2009 (0.26%), 11 Sep 2009 (8.33%)
2008507 Jan 2008 (-2.99%), 01 Feb 2008 (-0.83%), 15 Feb 2008 (12.6%), 21 May 2008 (8.98%), 22 Jul 2008 (3.16%)
2007710 Jan 2007 (6.97%), 12 Feb 2007 (-2.95%), 12 Mar 2007 (1.75%), 26 Mar 2007 (8.16%), 27 Apr 2007 (-4.69%), 07 Jun 2007 (-1.02%), 22 Jun 2007 (-5.5%)
2006515 May 2006 (-0.71%), 25 Jul 2006 (1.31%), 20 Oct 2006 (0.07%), 09 Nov 2006 (8.29%), 14 Dec 2006 (1.72%)
2005315 Mar 2005 (-2.94%), 23 Aug 2005 (4.91%), 17 Nov 2005 (5.75%)
2004330 Mar 2004 (12.07%), 18 May 2004 (10.79%), 17 Jun 2004 (-1.75%)
2003223 Apr 2003 (1.32%), 31 Dec 2003 (3.05%)
2002107 Jan 2002 (9.25%)
2001602 Jan 2001 (0.78%), 05 Mar 2001 (-11.26%), 27 Mar 2001 (-4.24%), 15 Jun 2001 (-5.06%), 20 Jul 2001 (0.44%), 19 Dec 2001 (-0.84%)
2000110 Jan 2000 (18.12%)
1999102 Aug 1999 (31.52%)
1998320 Jul 1998 (-0.17%), 03 Aug 1998 (8.23%), 01 Sep 1998 (17.93%)
1997310 Apr 1997 (0.78%), 28 Apr 1997 (-3.65%), 17 Jul 1997 (-1.3%)
1996422 May 1996 (1.9%), 07 Jun 1996 (0.0%), 27 Jun 1996 (-4.92%), 18 Jul 1996 (-3.93%)

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
atrnil39.5824845585295634.1221943.5442761.81-6926.92-15160.43.171.640.0412923
atrtrail35.63180451106436340.5711817.8933122.68-5201.88-15160.42.271.550.0341702.37
atrtrail-16.38178407106436340.5711770.3544792.78-5201.88-15160.42.261.540.0311683.08
atrnil26.7119748092395342.3914485.1428507.88-6932.85-15160.42.091.540.0392146.52
atrtrail24.74132059106436340.5710692.5125153.46-5201.88-15160.42.061.40.0281245.84
50nil32.6187357.071303991309078.8711883.88-2930.98-3942.073.11.330.024671.98
50trail-13.2353737.95135369926.678650.7229280.35-2602.91-3942.073.321.210.013398.06
50trail32.1148073.6137409729.27643.9711883.88-2656.55-3942.072.881.190.014350.9
50nil21.9937624.36134488635.826017.077922.59-2920.87-3942.072.061.150.013280.78
50trail21.86850.22139469333.095683.537922.59-2737.55-3942.072.081.030.002449.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.64. 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 34.12%, which is not acceptable. Avoid this strategy. Average return per trade is 1.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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, Profit Factor:1.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (-3.14%), 23 Feb 2018 (-3.99%)
2016122 Mar 2016 (-2.91%)
2015227 Feb 2015 (7.72%), 10 Jul 2015 (-2.48%)
2014706 Jan 2014 (6.54%), 12 Mar 2014 (-2.67%), 13 May 2014 (-2.37%), 03 Jun 2014 (8.29%), 15 Sep 2014 (-2.79%), 26 Sep 2014 (9.7%), 21 Nov 2014 (-3.09%)
2013316 Jan 2013 (-2.18%), 18 Jun 2013 (-3.34%), 20 Nov 2013 (-2.8%)
2012616 Mar 2012 (9.14%), 16 May 2012 (-2.99%), 08 Jun 2012 (8.2%), 05 Sep 2012 (6.01%), 26 Oct 2012 (-2.49%), 22 Nov 2012 (6.96%)
2011917 Jan 2011 (-3.91%), 21 Mar 2011 (-3.43%), 06 May 2011 (-2.83%), 16 May 2011 (-2.87%), 27 May 2011 (8.51%), 05 Aug 2011 (-2.83%), 08 Aug 2011 (-2.93%), 12 Oct 2011 (-3.07%), 16 Nov 2011 (10.77%)
2010601 Feb 2010 (10.88%), 23 Apr 2010 (-2.86%), 01 Jun 2010 (9.29%), 10 Aug 2010 (-2.05%), 27 Aug 2010 (-2.28%), 20 Dec 2010 (-3.2%)
2009522 Jun 2009 (-5.18%), 28 Jul 2009 (-5.18%), 14 Aug 2009 (-4.71%), 26 Aug 2009 (-3.89%), 10 Sep 2009 (10.57%)
2008407 Jan 2008 (-5.17%), 01 Feb 2008 (21.38%), 21 May 2008 (12.54%), 22 Jul 2008 (-4.19%)
2007610 Jan 2007 (9.48%), 12 Feb 2007 (-3.18%), 12 Mar 2007 (-4.04%), 15 Mar 2007 (12.31%), 27 Apr 2007 (-4.93%), 07 Jun 2007 (-4.1%)
2006515 May 2006 (-4.39%), 25 Jul 2006 (13.13%), 20 Oct 2006 (-2.56%), 09 Nov 2006 (7.95%), 14 Dec 2006 (-4.21%)
2005415 Mar 2005 (-2.91%), 22 Mar 2005 (-2.75%), 23 Aug 2005 (11.25%), 17 Nov 2005 (10.99%)
2004330 Mar 2004 (13.04%), 18 May 2004 (18.87%), 17 Jun 2004 (-5.34%)
2003223 Apr 2003 (-3.47%), 31 Dec 2003 (12.69%)
2002107 Jan 2002 (8.44%)
2001702 Jan 2001 (11.67%), 05 Mar 2001 (-3.79%), 27 Mar 2001 (-5.56%), 15 Jun 2001 (-3.13%), 20 Jul 2001 (-4.08%), 19 Dec 2001 (-2.95%), 31 Dec 2001 (-2.81%)
2000110 Jan 2000 (-7.58%)
1999102 Aug 1999 (11.93%)
1998320 Jul 1998 (-4.02%), 30 Jul 1998 (13.37%), 01 Sep 1998 (16.56%)
1997210 Apr 1997 (-3.51%), 17 Jul 1997 (-3.03%)
1996522 May 1996 (-3.28%), 31 May 1996 (-2.83%), 17 Jun 1996 (-2.62%), 27 Jun 1996 (-2.66%), 18 Jul 1996 (-2.4%)



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