Study: Sell DRREDDY when below 200 SMA and near 50 SMA and below 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell DRREDDY 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
116566.22502822563268.5111861.01-3406.91-12881.240.961.220.015331.32
213037.04502624525757.9520751.8-5694.57-21329.171.011.10.0068260.74
3-20730.16502723545500.0917735.32-7357.94-16095.990.750.88-0.01-414.6
417239.84502525507597.5828555.96-6907.99-18664.181.11.10.0073344.8
524119.115021294210550.1846322.22-6808.1-19256.661.551.120.0085482.38
632728.315021294211591.5153043.55-7265.29-19282.511.61.160.01654.57
743412.555023274611210.3149624.87-7941.65-23578.671.411.20.014868.25
818853.745022284411770.454188.26-8574.82-21098.651.371.080.0054377.07
964285.675023274612546.5955603.68-8306.88-18721.971.511.290.0181285.71
1072086.575024264812480.6652625.88-8748.05-27026.811.431.320.021441.73
Although, strategy looks good but profit factor on day 3 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
50trail-13.3469296.0974175722.9712916.6545745.03-2636.61-3948.424.91.460.021936.43
atrnil37.446782.965013372618425.5335776.43-6290.51-13136.782.931.030.0024135.66
atrnil25.37-24537.3254173731.4812283.5823850.95-6306.98-13136.781.950.89-0.01-454.39
50trail32.26-23038.0774175722.977485.2311852.63-2636.61-3948.422.840.85-0.014-311.33
atrtrail34.11-37834.8962164625.8111523.2625786.42-4830.59-13136.782.390.83-0.015-610.24
atrtrail-14.68-42390.6362164625.8111238.5343946.43-4830.59-13136.782.330.81-0.015-683.72
50nil32.59-40933.5701456209273.0511852.63-3049.22-3948.423.040.76-0.024-584.76
atrtrail23.73-57333.3562164625.8110304.6117190.94-4830.59-13136.782.130.74-0.025-924.73
50trail22.09-44437.4574185624.325769.427901.75-2647.98-3948.422.180.7-0.032-600.51
50nil22.3-61725.3770165422.866346.057901.75-3023.37-3948.422.10.62-0.045-881.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 22.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
DRREDDY Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019519 Jul 2019 (-0.92%), 26 Aug 2019 (0.27%), 30 Aug 2019 (-1.38%), 04 Oct 2019 (-1.54%), 10 Oct 2019 (-1.0%)
2018429 Jan 2018 (8.99%), 19 Apr 2018 (-1.27%), 02 May 2018 (3.78%), 26 Jul 2018 (0.89%)
2017605 Jan 2017 (-1.73%), 07 Feb 2017 (5.33%), 19 May 2017 (6.28%), 27 Jul 2017 (22.87%), 14 Nov 2017 (-1.73%), 14 Dec 2017 (-1.95%)
20161301 Feb 2016 (-1.01%), 04 Feb 2016 (-1.75%), 17 Feb 2016 (-1.82%), 30 Mar 2016 (-1.53%), 04 Apr 2016 (-1.86%), 07 Apr 2016 (-1.41%), 08 Apr 2016 (-0.86%), 20 May 2016 (-1.21%), 16 Jun 2016 (-1.2%), 21 Jun 2016 (-1.22%), 06 Oct 2016 (-0.24%), 20 Oct 2016 (-1.41%), 24 Oct 2016 (-1.17%)
2014125 Jun 2014 (-1.39%)
2012223 Jul 2012 (-1.29%), 25 Sep 2012 (-0.05%)
2011807 Jun 2011 (1.87%), 07 Jul 2011 (-0.08%), 19 Sep 2011 (-1.3%), 22 Sep 2011 (1.01%), 21 Nov 2011 (-1.36%), 23 Nov 2011 (-1.37%), 25 Nov 2011 (-1.16%), 01 Dec 2011 (-1.21%)
2009515 Jan 2009 (-1.27%), 21 Jan 2009 (-1.65%), 30 Jan 2009 (-1.0%), 16 Mar 2009 (-1.1%), 24 Mar 2009 (-1.72%)
2008224 Mar 2008 (-1.57%), 17 Dec 2008 (-1.28%)
2007602 Jul 2007 (-1.64%), 12 Sep 2007 (-0.73%), 19 Sep 2007 (-1.17%), 21 Sep 2007 (-1.32%), 10 Oct 2007 (-1.52%), 23 Oct 2007 (3.62%)
2005409 Mar 2005 (-1.04%), 11 Mar 2005 (-1.5%), 22 Mar 2005 (-1.41%), 13 Apr 2005 (6.31%)
2004329 Jul 2004 (-0.61%), 12 Aug 2004 (9.86%), 29 Sep 2004 (-1.97%)
2002126 Sep 2002 (5.06%)
2001623 Feb 2001 (-1.71%), 05 Mar 2001 (-1.17%), 12 Mar 2001 (1.27%), 16 Mar 2001 (-0.89%), 20 Mar 2001 (5.99%), 29 Mar 2001 (22.19%)
2000428 Jun 2000 (-1.95%), 23 Aug 2000 (-1.83%), 18 Sep 2000 (-1.54%), 22 Sep 2000 (-1.62%)
1998117 Dec 1998 (-1.45%)
1997327 Jan 1997 (-1.8%), 30 Jan 1997 (4.19%), 12 Feb 1997 (-1.28%)



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