Study: Sell SUNPHARMA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
1-2450.0622101245.454296.0311684.9-3784.2-10416.471.140.95-0.0042-111.37
2-12072.792291340.915908.7715454.38-5019.36-17363.341.180.81-0.016-548.76
32685.56221111505745.4119859.34-5501.27-11303.131.041.040.0033122.07
423543.99221111507583.4932944.66-5443.12-14565.921.391.390.0231070.18
5-10717.4322121054.557327.128909.86-9864.27-31736.330.740.89-0.0082-487.16
6-62333.822101245.457215.3117411.8-11207.25-50289.390.640.54-0.041-2833.35
7-81866.192213959.095865.9714818.56-17569.31-70321.540.330.48-0.044-3721.19
8-75663.3622121054.557894.7217037.04-17040-91961.410.460.56-0.032-3439.24
9-10145522121054.556923.2519259.26-18453.4-95819.940.380.45-0.043-4611.59
10-12497922101245.457690.8420370.37-16823.96-1125400.460.38-0.046-5680.87
Although, strategy looks good but profit factor on day 2 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
200trail-12.72-8923.543653113.8914938.4631503.39-2697.28-3845.595.540.89-0.0068-247.88
200nil32.24-32614.893773018.928286.6710730.75-3020.72-3891.142.740.64-0.04-881.48
200trail21.87-32092.943892923.685660.757153.83-2863.44-3845.591.980.61-0.046-844.55
atrnil38.54-64724.182652119.2320206.3429746.2-7893.14-15446.662.560.61-0.043-2489.39
200trail32.22-32716.163773018.927091.5410730.75-2745.23-3845.592.580.6-0.044-884.22
atrtrail23.65-52245.843182325.819896.4119830.8-5713.79-10936.451.730.6-0.043-1685.35
atrnil25.26-64323.352772025.931354119830.8-7955.52-15446.661.70.6-0.049-2382.35
200nil21.87-37106.413892923.685660.757153.83-3036.32-3891.141.860.58-0.053-976.48
atrtrail34.03-66162.623072323.339322.0829746.2-5713.79-10936.451.630.5-0.054-2205.42
atrtrail-14.2-78861.483072323.337507.9522219.07-5713.79-10936.451.310.4-0.077-2628.72

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 13.89%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, 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:0.893

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018322 Feb 2018 (-1.06%), 28 Feb 2018 (-1.84%), 26 Oct 2018 (-1.77%)
2016121 Mar 2016 (-1.52%)
2014319 May 2014 (-1.0%), 23 May 2014 (-1.53%), 28 May 2014 (-1.64%)
2011323 May 2011 (-1.47%), 30 Sep 2011 (-1.14%), 10 Oct 2011 (-1.42%)
2009214 Jul 2009 (-1.37%), 04 Aug 2009 (-1.46%)
2007410 Jul 2007 (-1.86%), 16 Jul 2007 (-1.5%), 17 Jul 2007 (-1.48%), 18 Jul 2007 (5.49%)
2006307 Jun 2006 (-0.63%), 09 Jun 2006 (-1.67%), 12 Jun 2006 (-1.67%)
2003429 Jan 2003 (-1.29%), 04 Feb 2003 (-1.86%), 06 Feb 2003 (-0.29%), 21 Feb 2003 (-1.18%)
2002130 May 2002 (-1.75%)
2001501 Jan 2001 (-1.92%), 07 Mar 2001 (11.58%), 09 Jul 2001 (-0.3%), 17 Jul 2001 (-1.06%), 13 Aug 2001 (0.89%)
2000127 Dec 2000 (-1.91%)
1999116 Mar 1999 (-1.2%)
1997124 Nov 1997 (-1.01%)
1996416 Jan 1996 (3.63%), 20 Aug 1996 (-1.0%), 04 Sep 1996 (-1.01%), 12 Sep 1996 (15.75%)



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