Study: Buy WOCKPHARMA when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy WOCKPHARMA when near 200 SMA and 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 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. 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
1-40268.3324111345.832852.439331.42-5511.16-28383.390.520.44-0.058-1677.85
2-35044.282491537.53956.469073.43-4710.16-13090.820.840.5-0.063-1460.18
3-785.6824131154.174513.2917624.52-5405.31-14748.340.830.99-0.0012-32.74
45177.47241212507104.6715933.41-6673.22-25022.761.061.060.0056215.73
5-14617.56241212508317.8520821.77-9535.98-42632.330.870.87-0.011-609.07
6-8798.36241212509249.1726767.08-9982.37-58967.360.930.93-0.0056-366.6
7-12258.4324131154.179082.0624045.45-11847.75-54285.340.770.91-0.008-510.77
8-30220.1924131154.17873931761.13-13075.21-51684.220.670.79-0.019-1259.17
9-25341.91241212509733.8634007.13-11845.69-49161.140.820.82-0.016-1055.91
10-33748.9824111345.8311110.2845025.76-11997.08-49135.130.930.78-0.019-1406.21
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
atrnil26.384452.9127121544.4415824.3421346.99-7029.28-9270.62.251.80.0633127.89
atrnil31070384.45258173223823.3232020.49-7070.71-9698.243.371.590.0452815.38
atrtrail24.8338844.4930111936.6712310.5819396.48-5082.73-9270.62.421.40.0321294.82
200trail-13.1627621.9538122631.588116.151206.47-2683.51-3739.143.021.40.019726.89
200trail31.9218890.8639132633.336832.4710841.75-2689.67-3739.142.541.270.023484.38
200nil21.8211866.6738142436.845738.527227.83-2853.03-3808.822.011.170.017312.28
200nil32.2910263.3535102528.578264.6410841.75-2895.32-3808.822.851.140.013293.24
atrtrail-15.938768.930102033.3311142.1347905.8-5132.62-9270.62.171.090.0063292.3
200trail21.675456.2839132633.335799.057227.83-2689.67-3739.142.161.080.0081139.9
atrtrail35.6-10280.330102033.339237.2128856.6-5132.62-9270.61.80.9-0.0097-342.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 1.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 May 2018 (-4.56%)
2015230 Oct 2015 (-4.18%), 30 Dec 2015 (6.26%)
2012131 Jan 2012 (9.62%)
2011222 Nov 2011 (9.7%), 12 Dec 2011 (-4.64%)
20071002 Mar 2007 (-4.17%), 07 Mar 2007 (-4.5%), 21 Mar 2007 (8.12%), 27 Jun 2007 (-3.11%), 12 Jul 2007 (-3.24%), 31 Aug 2007 (6.71%), 23 Nov 2007 (-3.14%), 03 Dec 2007 (6.98%), 10 Dec 2007 (7.38%), 26 Dec 2007 (8.08%)
2006115 Nov 2006 (-2.97%)
2005313 Jan 2005 (-3.53%), 25 Jan 2005 (7.04%), 07 Nov 2005 (10.67%)
2003107 Jan 2003 (-2.31%)
2002201 Jul 2002 (-2.33%), 19 Jul 2002 (-2.26%)
2001212 Mar 2001 (-3.95%), 06 Nov 2001 (7.13%)
2000220 Dec 2000 (-3.83%), 29 Dec 2000 (7.26%)



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