Study: Buy SUNPHARMA when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA when above 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
113359.8152302257.693545.4615684.52-4227.45-17110.230.841.140.0095256.92
265111.352302257.696175.7933417.87-5461.93-16459.041.131.540.0311252.14
340486.1352292355.777068.8547023.72-7152.63-25311.440.991.250.015778.58
475039.7252282453.859043.8943622.26-7424.55-25412.541.221.420.0261443.07
514221452312159.6210393.0363116.02-8569.99-35122.311.211.790.042734.89
621009952322061.5411507.0281326.77-7906.27-33771.451.462.330.0534040.37
727707752351767.3111660.6977865.63-7708.66-23106.061.513.110.0725328.41
829040852322061.5412443.3761027.4-5389-18424.722.313.690.0835584.76
927580152322061.5412189.947898.95-5713.79-18613.862.133.410.0865303.86
1028117452331963.4612335.4447968.14-6626.08-19801.981.863.230.085407.19
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=8, Profit Factor:3.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018401 Feb 2018 (3.7%), 16 Jul 2018 (4.02%), 04 Oct 2018 (0.61%), 23 Oct 2018 (-0.69%)
2015225 Feb 2015 (16.87%), 21 Apr 2015 (-0.47%)
2014510 Mar 2014 (-2.78%), 27 Mar 2014 (12.39%), 13 May 2014 (-4.07%), 23 Sep 2014 (2.59%), 05 Dec 2014 (-1.24%)
2013516 Jan 2013 (0.17%), 13 Jun 2013 (-0.07%), 05 Nov 2013 (3.19%), 21 Nov 2013 (2.02%), 16 Dec 2013 (3.56%)
2012411 May 2012 (-0.09%), 29 May 2012 (3.16%), 24 Jul 2012 (8.46%), 05 Sep 2012 (4.27%)
2011228 Jan 2011 (-8.65%), 09 Aug 2011 (-2.94%)
2010421 Jan 2010 (2.5%), 23 Apr 2010 (-9.21%), 19 Jul 2010 (3.49%), 21 Dec 2010 (13.27%)
2008221 Jan 2008 (6.91%), 24 Jun 2008 (-0.04%)
2007228 Feb 2007 (8.95%), 27 Jun 2007 (-0.34%)
2006112 Dec 2006 (1.84%)
2005211 Jan 2005 (-1.52%), 20 Oct 2005 (-3.1%)
2004405 Jan 2004 (6.16%), 17 May 2004 (19.89%), 24 Jun 2004 (5.87%), 09 Jul 2004 (-0.96%)
2002118 Apr 2002 (-2.45%)
2001128 Jun 2001 (-2.43%)
2000110 Jan 2000 (9.37%)
1999221 Jun 1999 (1.88%), 04 Nov 1999 (30.51%)
1998215 Jun 1998 (0.31%), 04 Dec 1998 (-5.63%)
1997506 May 1997 (1.98%), 10 Jun 1997 (1.47%), 27 Jun 1997 (4.49%), 09 Oct 1997 (1.53%), 10 Nov 1997 (-3.38%)
1996312 Apr 1996 (7.76%), 10 Jul 1996 (5.9%), 10 Sep 1996 (-3.85%)

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
atrnil310.7929710671274438.0322364.9556431.26-6971.55-16138.193.211.970.0544184.59
atrtrail-16.1122193179374246.8412438.9100298-5674-16138.192.191.930.0352809.25
atrnil26.6219768272324044.4414748.9837620.84-6857.12-16138.192.151.720.0472745.59
atrtrail35.1114735679374246.8410423.3656431.26-5674-16138.191.841.620.0311865.27
atrtrail24.0113230879374246.8410016.6437620.84-5674-16138.191.771.560.0341674.78

In the table above, row 1 shows the best exit criterion. Profit factor is 1.97. 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 38.03%, which is not acceptable. Avoid this strategy. Average return per trade is 2.09%, which is very good. Sharpe Ratio is 0.054, 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:1.97

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018601 Feb 2018 (-2.95%), 07 Feb 2018 (9.77%), 16 Jul 2018 (9.32%), 04 Oct 2018 (-3.77%), 23 Oct 2018 (-3.76%), 25 Oct 2018 (-3.87%)
2015325 Feb 2015 (-2.48%), 26 Feb 2015 (7.96%), 21 Apr 2015 (-5.05%)
2014710 Mar 2014 (-2.52%), 11 Mar 2014 (-2.64%), 27 Mar 2014 (8.72%), 13 May 2014 (-2.37%), 23 Sep 2014 (-2.9%), 05 Dec 2014 (-2.5%), 17 Dec 2014 (8.0%)
2013616 Jan 2013 (-2.18%), 21 Jan 2013 (6.75%), 13 Jun 2013 (10.82%), 05 Nov 2013 (-2.83%), 22 Nov 2013 (-2.91%), 16 Dec 2013 (7.95%)
2012411 May 2012 (-2.82%), 05 Jun 2012 (8.6%), 24 Jul 2012 (5.67%), 05 Sep 2012 (6.01%)
2011628 Jan 2011 (-4.13%), 01 Feb 2011 (-4.44%), 04 Feb 2011 (-4.68%), 08 Feb 2011 (14.59%), 09 Aug 2011 (-3.12%), 19 Aug 2011 (-3.29%)
2010721 Jan 2010 (-2.94%), 22 Jan 2010 (9.36%), 23 Apr 2010 (-2.86%), 26 Apr 2010 (-3.26%), 30 Apr 2010 (10.67%), 19 Jul 2010 (6.94%), 21 Dec 2010 (10.23%)
2008221 Jan 2008 (-5.02%), 24 Jun 2008 (14.68%)
2007228 Feb 2007 (12.19%), 27 Jun 2007 (-3.53%)
2006112 Dec 2006 (12.35%)
2005511 Jan 2005 (-4.81%), 14 Jan 2005 (-5.18%), 20 Oct 2005 (-3.8%), 24 Oct 2005 (-4.79%), 27 Oct 2005 (15.64%)
2004305 Jan 2004 (12.4%), 17 May 2004 (-5.3%), 24 Jun 2004 (16.57%)
2002318 Apr 2002 (-2.78%), 19 Apr 2002 (-3.08%), 22 Apr 2002 (-3.47%)
2001128 Jun 2001 (-3.71%)
2000210 Jan 2000 (-7.58%), 12 Jan 2000 (25.41%)
1999221 Jun 1999 (10.69%), 04 Nov 1999 (28.22%)
1998215 Jun 1998 (-8.07%), 04 Dec 1998 (-2.44%)
1997706 May 1997 (-2.6%), 01 Jul 1997 (-1.65%), 07 Jul 1997 (-1.61%), 09 Oct 1997 (-2.25%), 13 Oct 1997 (6.77%), 10 Nov 1997 (-2.63%), 20 Nov 1997 (-2.4%)
1996212 Apr 1996 (5.67%), 10 Jul 1996 (-2.44%)



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