Study: Buy SUNPHARMA when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA when below 200 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
176614.5971403156.344600.4617789.84-3464.63-12079.381.331.710.0381079.08
297709.9871383353.527819.7420079.47-6043.64-21283.781.291.490.0311376.2
384795.3771413057.758304.6228532.42-8523.14-25828.340.971.330.0231194.3
418438.9971413057.759273.4835904.44-12059.12-36313.30.771.050.0039259.7
5-12880.3271393254.9310444.4730616.14-13131.71-41457.090.80.97-0.0025-181.41
698510.4771393254.9311842.0742074.65-11354.07-52614.771.041.270.0181387.47
711578071413057.7511477.7346243.33-11826.89-70299.40.971.330.021630.71
895878.8271422959.1510910.7455356.28-12495.6-56287.430.871.260.0171350.41
912252271403156.3412817.6656519.63-12586.58-39041.921.021.310.0211725.67
1014995271403156.3413449.8666747.46-12517.48-35759.651.071.390.0252112

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.71. 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 56.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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-1176614.5971403156.344600.4617789.84-3464.63-12079.381.331.710.0381079.08
atrnil310.7326766109337630.2829308.45126015-8426.49-92392.813.481.510.0272997.85
atrnil26.13218812115447138.2618551.2884009.82-8414.71-92392.812.21.370.0231902.71
atrtrail24.39158386128527640.6213099.7484009.82-6878.95-35085.731.91.30.0191237.39
atrtrail-15.4583495.23128527640.6211659.5365700.22-6878.95-35085.731.691.160.01652.31
atrtrail3528818.73128527640.6210608.0643454.72-6878.95-35085.731.541.060.004225.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 56.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019518 Jan 2019 (1.93%), 22 Apr 2019 (3.09%), 08 May 2019 (0.05%), 08 Jul 2019 (5.34%), 30 Sep 2019 (-0.74%)
2018621 Feb 2018 (2.99%), 09 Mar 2018 (1.15%), 28 Mar 2018 (2.58%), 10 May 2018 (-5.06%), 14 Nov 2018 (-0.96%), 03 Dec 2018 (-2.74%)
2017601 Feb 2017 (2.53%), 07 Apr 2017 (0.27%), 02 May 2017 (-0.62%), 23 May 2017 (-1.73%), 31 Jul 2017 (0.4%), 15 Nov 2017 (0.77%)
2016721 Jan 2016 (2.08%), 18 Mar 2016 (2.51%), 24 May 2016 (1.7%), 22 Aug 2016 (-1.01%), 29 Sep 2016 (0.93%), 02 Nov 2016 (-1.46%), 15 Dec 2016 (-0.4%)
2015401 Jun 2015 (-1.93%), 21 Jul 2015 (3.64%), 02 Nov 2015 (0.37%), 23 Nov 2015 (-1.52%)
2014119 May 2014 (0.54%)
2011130 Sep 2011 (-0.12%)
2009324 Feb 2009 (1.77%), 29 May 2009 (0.26%), 26 Jun 2009 (-3.59%)
2008422 Jan 2008 (0.36%), 13 Oct 2008 (8.89%), 27 Oct 2008 (3.24%), 05 Dec 2008 (2.62%)
2007410 Jul 2007 (-0.81%), 24 Jul 2007 (-0.85%), 24 Aug 2007 (0.77%), 09 Oct 2007 (-0.45%)
2006107 Jun 2006 (-5.84%)
2003224 Jan 2003 (-0.56%), 05 Mar 2003 (4.64%)
2002231 May 2002 (-0.29%), 17 Oct 2002 (0.19%)
2001607 Mar 2001 (-3.78%), 29 Jun 2001 (-0.51%), 21 Aug 2001 (-0.31%), 17 Sep 2001 (5.06%), 06 Dec 2001 (4.67%), 27 Dec 2001 (0.18%)
2000608 Mar 2000 (0.54%), 29 Mar 2000 (3.08%), 19 Apr 2000 (-1.41%), 29 Aug 2000 (-0.43%), 15 Sep 2000 (-6.04%), 03 Oct 2000 (5.26%)
1999125 Feb 1999 (-2.05%)
1998303 Mar 1998 (7.67%), 16 Jun 1998 (7.05%), 08 Dec 1998 (-5.73%)
1997326 Feb 1997 (0.46%), 28 Nov 1997 (-0.38%), 15 Dec 1997 (0.85%)
1996624 Jan 1996 (0.39%), 20 Aug 1996 (0.0%), 12 Sep 1996 (0.1%), 26 Sep 1996 (-1.99%), 05 Nov 1996 (1.07%), 22 Nov 1996 (-0.4%)



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