Study: Buy SUNPHARMA when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
122719.7424141058.33341216000-2504.83-9619.11.361.910.041946.66
230367.57241212506367.5123568.46-3836.87-14994.941.661.660.0351265.32
346806.5724141058.336023.2724000-3751.92-7249.951.612.250.0591950.27
423641.9324131154.177654.3525726.14-6896.79-22458.191.111.310.021985.08
537251.8624131154.179032.6225161.83-7288.39-28829.251.241.460.0281552.16
637184.162415962.57571.5927385.89-8487.75-30330.610.891.490.0291549.34
786643.5124186758184.8927900.99-10114.08-25943.210.812.430.0653610.15
883083.492417770.838327.1235585.06-8353.93-21664.7212.420.0633461.81
91206662419579.179123.5836237.23-10536.38-20824.580.873.290.0815027.75
10141712241867511394.4447968.14-10564.61-24628.551.083.240.0795904.67
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
SUNPHARMA Performance, X=9, Profit Factor:3.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Feb 2018 (0.71%)
2014215 Sep 2014 (1.42%), 09 Oct 2014 (-0.58%)
2012516 Mar 2012 (4.78%), 05 Sep 2012 (3.46%), 26 Oct 2012 (1.72%), 09 Nov 2012 (1.6%), 26 Nov 2012 (1.12%)
2011305 Aug 2011 (-6.43%), 12 Oct 2011 (3.32%), 16 Nov 2011 (4.07%)
2010501 Feb 2010 (0.92%), 23 Apr 2010 (-7.36%), 01 Jun 2010 (1.26%), 10 Aug 2010 (1.78%), 27 Aug 2010 (-1.56%)
2009122 Jun 2009 (-10.41%)
2006114 Dec 2006 (1.72%)
2005223 Aug 2005 (4.91%), 17 Nov 2005 (5.75%)
2004118 May 2004 (10.79%)
2003123 Apr 2003 (1.32%)
2000110 Jan 2000 (18.12%)
1998101 Sep 1998 (17.93%)

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
atrnil311.5815105924111345.8321893.5537730.2-6905.39-15160.43.172.680.0846294.12
50nil33.4865233.8729121741.389695.3911847.19-3006.52-3942.073.222.280.0722249.44
atrnil26.684142.312512134814492.725153.46-6905.39-15160.42.11.940.063365.69
50nil22.7235061.8929131644.836407.917898.13-3015.06-3942.072.131.730.0521209.03
50trail32.4824914.722992031.038356.8911847.19-2514.86-3942.073.321.50.032859.13
50trail-14.2524777.782882028.579376.1124126.14-2511.56-3942.073.731.490.027884.92
atrtrail35.333051.152791833.3314393.0333122.68-5360.34-15160.42.691.340.0221224.12
atrtrail24.5626136.152791833.3313624.725153.46-5360.34-15160.42.541.270.019968.01
50trail22.1712428.229101934.486264.77898.13-2643.09-3942.072.371.250.02428.56
atrtrail-16.157099.462791833.3311509.5134174.14-5360.34-15160.42.151.070.0054262.94

In the table above, row 1 shows the best exit criterion. Profit factor is 2.68. 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 45.83%, which is not acceptable. Avoid this strategy. Average return per trade is 3.15%, which is very good. Sharpe Ratio is 0.084, 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.
SUNPHARMA Performance, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Feb 2018 (-3.14%)
2014215 Sep 2014 (-2.79%), 26 Sep 2014 (9.7%)
2012416 Mar 2012 (9.14%), 05 Sep 2012 (6.01%), 26 Oct 2012 (-2.49%), 22 Nov 2012 (6.96%)
2011405 Aug 2011 (-2.83%), 08 Aug 2011 (-2.93%), 12 Oct 2011 (-3.07%), 16 Nov 2011 (10.77%)
2010501 Feb 2010 (10.88%), 23 Apr 2010 (-2.86%), 01 Jun 2010 (9.29%), 10 Aug 2010 (-2.05%), 27 Aug 2010 (-2.28%)
2009122 Jun 2009 (-5.18%)
2006114 Dec 2006 (-4.21%)
2005223 Aug 2005 (11.25%), 17 Nov 2005 (10.99%)
2004118 May 2004 (18.87%)
2003123 Apr 2003 (-3.47%)
2000110 Jan 2000 (-7.58%)
1998101 Sep 1998 (16.56%)



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