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

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In this study, we evaluate the performance of strategy "Sell WOCKPHARMA when near 200 SMA and below 200 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
1-564.261751229.418390.2430087.79-3542.96-9818.82.370.99-0.00092-33.19
210236.51771041.189402.4440312.89-5558.06-11090.841.691.180.012602.15
324167.06178947.069457.7640055.45-5721.67-10954.771.651.470.0291421.59
421319.01178947.0610593.4441685.92-7047.61-18417.091.51.340.0231254.06
537427.12178947.0611879.6642953.33-6401.12-13467.341.861.650.0392201.6
646703.72179852.9412681.5141349.26-8428.73-19167.221.51.690.0452747.28
739116.05179852.9411496.9337936.5-8044.55-17977.531.431.610.0392300.94
847860.29179852.9412320.7538867.25-7878.3-21335.11.561.760.0482815.31
931923.67179852.9410890.5234457.72-8261.38-23159.291.321.480.0331877.86
10-6207.911771041.1810436.0431876.69-7926.02-26781.231.320.92-0.0067-365.17
Although, strategy looks good but profit factor on day 1 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
atrnil36.53-14947.121941521.0524785.5326931.6-7605.95-12012.023.260.87-0.014-786.69
atrtrail33.57-23192.72151623.8116465.526621.91-6595.01-10077.272.50.78-0.024-1104.41
atrtrail23.19-25322.62151623.8116039.5217954.4-6595.01-10077.272.430.76-0.029-1205.84
atrnil23.58-26990.511951426.3216019.4817954.4-7649.14-12012.022.090.75-0.031-1420.55
200trail-11.92-22797.372632311.5416265.4436655.88-3112.77-3980.145.230.68-0.026-876.82
atrtrail-14.05-36525.762151623.8113798.8932381.92-6595.01-10077.272.090.65-0.04-1739.32
200trail31.38-44498.782632311.549031.6310757.13-3112.77-3980.142.90.38-0.1-1711.49
200nil31.38-44673.142632311.549031.6310757.13-3120.35-3980.142.890.38-0.1-1718.2
200nil21.31-43256.522642215.386257.197171.42-3103.88-3980.142.020.37-0.11-1663.71
200trail21.31-43256.522642215.386257.197171.42-3103.88-3980.142.020.37-0.11-1663.71

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 21.05%, which is not acceptable. Avoid this strategy. Average return per trade is -0.39%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WOCKPHARMA Performance, Profit Factor:0.869

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 May 2018 (13.47%)
2016114 Jan 2016 (11.58%)
2015131 Dec 2015 (-3.06%)
2011121 Nov 2011 (-4.98%)
2010119 Feb 2010 (11.21%)
2007728 Jun 2007 (-3.18%), 06 Jul 2007 (-3.42%), 25 Jul 2007 (-3.39%), 27 Jul 2007 (-3.5%), 28 Nov 2007 (-3.12%), 11 Dec 2007 (-3.65%), 27 Dec 2007 (-4.01%)
2006124 Apr 2006 (13.31%)
2005424 Jan 2005 (-3.63%), 20 Oct 2005 (-6.01%), 09 Nov 2005 (-5.04%), 22 Nov 2005 (-4.32%)
2002105 Jul 2002 (-2.16%)
2001129 Oct 2001 (-3.59%)



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