Study: Sell SUNPHARMA when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
157.5383537.56922.0214075.29-4141.7-11670.91.6710.000217.19
221936.0585362.59301.1536384.24-8189.9-21674.521.141.890.0372742.01
310063.79862755443.2118708.3-11297.73-21819.50.481.450.0241257.97
4-7603.19844505355.117341.59-7255.9-20732.150.740.74-0.022-950.4
5-42739.26844503154.615995.32-13839.43-27420.370.230.23-0.093-5342.41
6-35087.3844502942.14816.46-11713.93-32204.460.250.25-0.079-4385.91
7-51881.67844501979.333685.31-14949.75-26186.580.130.13-0.13-6485.21
8-52335.98826254548.266098.86-10238.75-25670.580.440.15-0.13-6542
9-23567.1383537.53787.259050.82-6985.78-15916.650.540.33-0.082-2945.89
10-26105.6985362.57941.3520193.88-21937.48-33911.010.360.6-0.04-3263.21
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail27.33-4873.4894544.443699.3911468.98-3934.21-6343.180.940.75-0.022-541.5
atrnil215.11-62387.6392722.2213621.6115774.24-12804.41-36548.711.060.3-0.098-6931.96
atrtrail37.67-15563.5694544.441026.872020.91-3934.21-6343.180.260.21-0.12-1729.28
atrtrail-17.67-15563.5694544.441026.872020.91-3934.21-6343.180.260.21-0.12-1729.28
atrnil315.89-103252909000-11472.5-36548.7100-0.25-11472.5

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is -0.27%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:0.752

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Dec 2018 (-1.28%)
2008120 Nov 2008 (-0.78%)
2002126 Jun 2002 (-1.52%)
2000127 Apr 2000 (1.01%)
1999204 Jan 1999 (-3.08%), 05 Jan 1999 (-3.17%)
1997123 Dec 1997 (5.73%)
1996218 Jan 1996 (0.11%), 30 Sep 1996 (0.55%)



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