Study: Buy SUNPHARMA when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA when above 200 SMA and RSI is oversold" 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
18810.78532605672.8310377.61-4103.85-5110.841.382.070.0631762.16
24110.55234010843.3813131.94-5858.75-9410.631.851.230.019822.1
35994.97532606681.6714393.6-7025.03-10905.170.951.430.0291198.99
424258.935501004851.7912883.1600infinf0.214851.79
523587.65541806182.4715584.18-1142.24-1142.245.4121.650.174717.53
629064.58541807632.5314535.76-1465.52-1465.525.2120.830.225812.92
741985.635501008397.1321554.8600infinf0.238397.13
846315.545501009263.1120328.7400infinf0.239263.11
949540.35418012525.1620257.66-560.34-560.3422.3589.410.249908.06
1055301.0155010011060.220133.2700infinf0.3611060.2
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
SUNPHARMA Performance, X=4, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011104 Feb 2011 (0.14%)
2007128 Feb 2007 (2.01%)
2005212 Jan 2005 (0.29%), 27 Oct 2005 (6.44%)
2002119 Apr 2002 (3.24%)

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
atrnil24.1265890.1285362.518230.7920854.52-8421.27-9744.652.163.610.138236.27
atrtrail23.550514.698445018724.6420854.52-6095.97-9358.433.073.070.16314.34
atrtrail-11040695.328445016269.837222.61-6095.97-9358.432.672.670.0715086.92
atrtrail38.2534754.58445014784.5931281.78-6095.97-9358.432.432.430.0684344.31
atrnil318.7542290.7783537.528282.8931281.78-8511.58-10359.733.321.990.065286.35

In the table above, row 1 shows the best exit criterion. Profit factor is 3.61. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 4.12%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:3.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2011204 Feb 2011 (-4.68%), 08 Feb 2011 (9.73%)
2007128 Feb 2007 (8.13%)
2005312 Jan 2005 (-4.87%), 14 Jan 2005 (10.36%), 27 Oct 2005 (10.43%)
2002219 Apr 2002 (-3.08%), 22 Apr 2002 (6.93%)



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