Study: Sell WOCKPHARMA when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell WOCKPHARMA when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell WOCKPHARMA 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
1869.522121054.5525406804.84-2961.05-6533.40.861.030.002839.52
2-31465.96221111504148.7116338.51-7009.26-24419.80.590.59-0.043-1430.27
3-13780.8922121054.555123.9818825.56-7526.86-14487.420.680.82-0.019-626.4
430310.232214863.645952.2717167.53-6627.7-16169.010.91.570.0441377.74
552474.452215768.187445.5128704.66-8458.31-26845.070.881.890.0542385.2
672712.822215768.188731.6732193.44-8323.19-19915.491.052.250.0743305.13
789425.732214863.6410320.9632677.03-6883.46-18169.011.52.620.0864064.81
882429.962215768.189267.731398.96-8083.65-18169.011.152.460.0823746.82
987382.352216672.738889.5631019-9141.78-18252.640.972.590.0843971.92
1067786.912213959.099219.2131398.96-5784.75-16034.621.592.30.0713081.22
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
WOCKPHARMA Performance, X=7, Profit Factor:2.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018212 Dec 2018 (0.27%), 27 Dec 2018 (-0.31%)
2017319 Jan 2017 (5.54%), 26 Apr 2017 (6.51%), 31 Jul 2017 (3.66%)
2016306 May 2016 (-1.21%), 18 Jul 2016 (-6.88%), 17 Oct 2016 (-0.2%)
2014106 Feb 2014 (4.42%)
2013108 Oct 2013 (5.14%)
2009127 Jan 2009 (9.75%)
2008102 Jun 2008 (16.34%)
2007105 Feb 2007 (4.15%)
2006223 Oct 2006 (-6.11%), 17 Nov 2006 (4.95%)
2004326 Jul 2004 (3.42%), 11 Aug 2004 (-3.36%), 22 Nov 2004 (-0.39%)
2003101 Jul 2003 (-9.08%)
2002114 Oct 2002 (5.01%)
2001216 May 2001 (0.75%), 04 Jun 2001 (2.34%)

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
50nil22.187178.533122136.366241.897623.28-3224.96-3921.611.941.110.011217.53
50trail21.923643.336122433.335949.827623.28-2823.11-3921.612.111.050.0056101.2
50nil32.84-652.683182325.819203.4611389.53-3229.58-3921.612.850.99-0.00089-21.05
atrnil37.52-2829.62256192423581.1238197.4-7595.6-14546.53.10.98-0.0019-113.18
atrtrail-15.48-3545.6627101737.0410932.7470832.03-6639.59-14546.51.650.97-0.002-131.32
atrnil25.73-5373.152691734.6214211.9625464.93-7840.05-14546.51.810.96-0.0044-206.66
50trail-13-18251.213482623.536764.9927654.58-2783.5-3921.612.430.75-0.021-536.8
atrtrail24.48-41983.5727101737.047088.9519801.33-6639.59-14546.51.070.63-0.045-1554.95
atrtrail34.74-44675.6927101737.046819.7429702-6639.59-14546.51.030.6-0.045-1654.66
50trail32.41-31874.993482623.535062.019080.45-2783.5-3921.611.820.56-0.058-937.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
WOCKPHARMA Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019203 Jan 2019 (-1.68%), 08 Jan 2019 (-1.12%)
2018312 Dec 2018 (-1.63%), 21 Dec 2018 (-1.82%), 24 Dec 2018 (-1.87%)
2017419 Jan 2017 (3.61%), 24 Jan 2017 (2.54%), 26 Apr 2017 (3.8%), 31 Jul 2017 (3.67%)
2016406 May 2016 (-1.85%), 18 Jul 2016 (-1.27%), 17 Oct 2016 (-1.74%), 27 Oct 2016 (-1.4%)
2014106 Feb 2014 (3.45%)
2013108 Oct 2013 (-1.63%)
2009227 Jan 2009 (-1.69%), 29 Jan 2009 (-1.9%)
2008102 Jun 2008 (2.31%)
2007205 Feb 2007 (3.21%), 19 Feb 2007 (3.03%)
2006423 Oct 2006 (-1.3%), 30 Oct 2006 (-1.69%), 17 Nov 2006 (2.51%), 21 Nov 2006 (3.81%)
2004426 Jul 2004 (-1.96%), 11 Aug 2004 (-1.39%), 22 Nov 2004 (-1.39%), 03 Dec 2004 (-1.8%)
2003101 Jul 2003 (-1.76%)
2002214 Oct 2002 (-1.22%), 17 Oct 2002 (3.1%)
2001216 May 2001 (-1.76%), 04 Jun 2001 (2.41%)



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