Study: Buy SUNPHARMA when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA when RSI is above 50 and there is Bullish Crossover in MACD 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
125934.6849262353.064070.6716003.51-3474.03-27175.251.171.320.019529.28
2-11367.3149232646.945524.2523622.64-5324.04-35803.911.040.92-0.0058-231.99
3-48716.1149252451.024804.1817656.66-7034.19-40495.580.680.71-0.023-994.21
4-62672.6149202940.826904.3931392.31-6922.77-37665.4810.69-0.026-1279.03
5-79515.1549212842.866082.3822807.2-7401.61-34401.430.820.62-0.035-1622.76
6-50990.3749232646.947785.9540617.22-8848.74-35432.850.880.78-0.018-1040.62
7-27291.0349232646.948849.7922899.2-8878.32-33684.4810.88-0.01-556.96
8-62308.3849212842.869841.6624468.68-9606.55-33929.751.020.77-0.021-1271.6
9-12612.9749252451.029872.0642426.63-10808.93-47331.840.910.95-0.0039-257.41
10-32984.849232646.9411806.9961823.91-11713.29-46935.631.010.89-0.0085-673.16

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. 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 53.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.

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-1125934.6849262353.064070.6716003.51-3474.03-27175.251.171.320.019529.28
atrnil25.7-20265.4453193435.8512495.1823509.99-7578.64-14104.31.650.92-0.0077-382.37
atrnil38.13-26637.952143826.9218472.3935264.98-7506.62-14104.32.460.91-0.0086-512.27
atrtrail34.78-46984.4154153927.7811253.3835264.98-5532.95-14104.32.030.78-0.019-870.08
atrtrail24.22-49293.2654153927.7811099.4623509.99-5532.95-14104.32.010.77-0.022-912.84
atrtrail-15.06-97837.5754153927.787863.1717821.75-5532.95-14104.31.420.55-0.052-1811.81

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 53.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Mar 2019 (0.0%), 11 Jul 2019 (2.4%)
2018212 Feb 2018 (-2.44%), 28 May 2018 (-0.04%)
2016127 May 2016 (-1.56%)
2015106 Apr 2015 (-1.48%)
2014325 Jul 2014 (0.89%), 18 Aug 2014 (-0.79%), 30 Sep 2014 (0.41%)
2013609 Jan 2013 (-0.91%), 11 Mar 2013 (-0.73%), 04 Apr 2013 (-0.07%), 29 May 2013 (0.79%), 29 Jul 2013 (1.12%), 30 Sep 2013 (-0.56%)
2012123 Nov 2012 (-1.21%)
2011325 Jul 2011 (-1.9%), 30 Aug 2011 (2.92%), 11 Oct 2011 (1.34%)
2010323 Aug 2010 (0.09%), 15 Sep 2010 (1.81%), 02 Nov 2010 (2.69%)
2009418 May 2009 (-13.59%), 11 Jun 2009 (-1.58%), 01 Dec 2009 (-2.77%), 22 Dec 2009 (2.74%)
2008230 Jan 2008 (-1.91%), 02 Sep 2008 (-1.28%)
2007121 May 2007 (2.28%)
2006220 Mar 2006 (1.13%), 19 Apr 2006 (-3.24%)
2005731 Jan 2005 (-0.07%), 20 Apr 2005 (3.29%), 16 Jun 2005 (-1.06%), 30 Jun 2005 (0.86%), 19 Jul 2005 (2.98%), 29 Aug 2005 (-0.82%), 09 Nov 2005 (-0.55%)
2004330 Apr 2004 (-1.41%), 26 May 2004 (4.48%), 17 Dec 2004 (2.27%)
2003318 Feb 2003 (0.31%), 04 Jul 2003 (1.65%), 08 Sep 2003 (0.7%)
2002220 Feb 2002 (0.78%), 19 Mar 2002 (0.65%)
2000118 Feb 2000 (8.0%)
1999109 Sep 1999 (4.08%)
1995105 May 1995 (2.24%)



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