Study: Buy WOCKPHARMA when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy WOCKPHARMA when there is Golden Cross (50 DMA > 200 DMA)" 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
1-35869.141239253849.897087.15-5268.76-12378.40.730.24-0.12-2989.1
2-14358.97125741.677868.7918912.3-7671.84-16803.191.030.73-0.028-1196.58
3836.56125741.678886.3923321.9-6227.92-11638.181.431.020.001769.71
4-29278.1124833.338512.322773.15-7915.91-15542.951.080.54-0.056-2439.84
55983.79125741.6710144.5728593.83-6391.29-13137.611.591.130.011498.65
6-15233.76125741.679486.4328437.04-8952.27-23779.821.060.76-0.025-1269.48
710379.41125741.6710013.5630553.65-5669.77-13504.591.771.260.018864.95
87098.08125741.6712150.0631024.01-7664.6-19302.751.591.130.011591.51
934844.07125741.6718894.6335160.68-8518.44-30238.532.221.580.042903.67
1066753.4112665018667.7835118.67-7542.22-21284.42.482.480.0835562.78
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
WOCKPHARMA Performance, X=10, Profit Factor:2.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Nov 2017 (5.82%)
2015127 Nov 2015 (-1.35%)
2014129 Apr 2014 (-1.69%)
2012107 Mar 2012 (15.23%)
2010125 Aug 2010 (17.56%)
2009130 Jun 2009 (-10.64%)
2007223 Apr 2007 (-2.41%), 06 Sep 2007 (3.01%)
2005119 Jan 2005 (-3.23%)
2003101 Sep 2003 (-3.3%)
2001215 Jan 2001 (8.88%), 14 Nov 2001 (5.51%)

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
atrnil37.1917379.691651131.2522776.6225277.29-8773.04-15206.022.61.180.0171086.23
atrnil24.75-676.851661037.514865.2916851.53-8986.86-15206.021.650.99-0.00084-42.3
atrtrail24.19-10413.591661037.510251.0716851.53-7192-15206.021.430.86-0.015-650.85
atrtrail-15.31-23980.541661037.57989.9228883.25-7192-15206.021.110.67-0.035-1498.78
atrtrail34.69-27586.51661037.57388.9225277.29-7192-15206.021.030.62-0.044-1724.16

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017227 Nov 2017 (-3.62%), 28 Nov 2017 (11.7%)
2015127 Nov 2015 (-3.32%)
2014229 Apr 2014 (-5.02%), 30 Apr 2014 (-6.05%)
2012107 Mar 2012 (12.64%)
2010125 Aug 2010 (-5.81%)
2009130 Jun 2009 (-7.6%)
2007223 Apr 2007 (-3.79%), 06 Sep 2007 (-3.18%)
2005219 Jan 2005 (-3.21%), 20 Jan 2005 (11.09%)
2003201 Sep 2003 (-3.66%), 02 Sep 2003 (11.76%)
2001215 Jan 2001 (9.76%), 14 Nov 2001 (-3.01%)



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