Study: Buy DRREDDY when above 200 SMA and near 50 SMA and above 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-10465.9497455246.392766.2917292.16-2595.17-15991.611.070.92-0.0055-107.9
2-4882.6596514553.123537.7416959.13-4117.95-27513.120.860.97-0.0018-50.86
34240.7964848504846.9920736.34-4758.64-31899.271.021.020.001344.17
459808.4296494751.046508.2529531.22-5512.68-27128.11.181.230.015623
544323.4996504652.086468.2429904.99-6067.14-36116.121.071.160.01461.7
689110.2596514553.127877.4732590.53-6947.57-28457.51.131.290.019928.23
718087096534355.219751.7350389.97-7813.3-28141.381.251.540.0321884.06
823751296544256.2510963.7945125.35-8441.25-31138.711.31.670.0382474.09
919457996583860.4210001.8339080.89-10145.44-33136.360.991.50.0322026.87
1017120696573959.3810476.6244011.14-10922.1-34206.710.961.40.0261783.39
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
atrnil39.5318618190296132.2220463.542696.33-6676.41-14595.33.071.460.0312068.67
atrtrail-16.34104175111436838.7410263.7240222.55-4958.3-14595.32.071.310.019938.52
atrnil26.7712111399386138.3813636.3428464.22-6509.3-14595.32.091.310.0231223.37
atrtrail25.1498993.32111436838.7410143.2128464.22-4958.3-14595.32.051.290.02891.83
atrtrail35.8798845.38111436838.7410139.7734621.62-4958.3-14595.32.051.290.019890.5
50nil33.15-25612.961373010721.99794.3511900.01-2985.45-3994.313.280.92-0.007-186.96
50nil22.37-28785.71474410329.936373.277933.34-3002.04-3994.312.120.91-0.0091-195.82
50trail22.14-42406.681554411128.395905.227933.34-2722.85-3994.22.170.86-0.014-273.59
50trail32.52-59383.241513411722.527261.4311900.01-2617.71-3994.22.770.81-0.018-393.27
50trail-13.28-59974.111513311821.857538.5741881.01-2616.5-3994.22.880.81-0.014-397.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 32.22%, which is not acceptable. Avoid this strategy. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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
2019403 Jan 2019 (7.13%), 12 Feb 2019 (-2.94%), 22 Feb 2019 (-4.46%), 16 Jul 2019 (-2.38%)
2018105 Oct 2018 (10.82%)
2017106 Jan 2017 (-1.8%)
2016523 Sep 2016 (-1.48%), 29 Sep 2016 (-1.61%), 05 Oct 2016 (-1.68%), 21 Oct 2016 (4.7%), 25 Nov 2016 (-2.87%)
2015721 Jan 2015 (-2.09%), 26 Feb 2015 (7.28%), 21 Apr 2015 (-2.9%), 13 May 2015 (-2.9%), 25 Jun 2015 (5.92%), 09 Sep 2015 (-3.03%), 29 Sep 2015 (-2.72%)
2014413 Feb 2014 (6.04%), 11 Mar 2014 (-2.63%), 30 Apr 2014 (-2.21%), 08 Oct 2014 (-2.73%)
2013607 Feb 2013 (-1.7%), 11 Feb 2013 (-1.85%), 15 Apr 2013 (7.1%), 08 Aug 2013 (-3.19%), 10 Sep 2013 (10.24%), 21 Nov 2013 (6.76%)
2012722 Mar 2012 (5.83%), 07 May 2012 (-2.2%), 03 Jul 2012 (-1.9%), 10 Jul 2012 (-1.92%), 17 Sep 2012 (-2.4%), 03 Oct 2012 (-2.18%), 10 Oct 2012 (8.11%)
2011407 Mar 2011 (-3.3%), 04 May 2011 (-2.74%), 31 May 2011 (-2.64%), 12 Dec 2011 (8.94%)
2010628 Jan 2010 (-4.16%), 03 Feb 2010 (-4.18%), 04 Mar 2010 (9.32%), 13 Apr 2010 (8.65%), 10 May 2010 (10.89%), 03 Sep 2010 (6.81%)
2009231 Aug 2009 (-3.2%), 08 Sep 2009 (9.23%)
2008214 Jan 2008 (-4.03%), 24 Jun 2008 (-4.61%)
2007112 Apr 2007 (-3.51%)
2005307 Jan 2005 (-3.16%), 13 Sep 2005 (-2.7%), 26 Sep 2005 (8.23%)
2004115 Jan 2004 (-3.57%)
2003711 Feb 2003 (-3.2%), 17 Apr 2003 (-3.27%), 21 Aug 2003 (-3.55%), 26 Aug 2003 (-4.33%), 03 Oct 2003 (13.66%), 21 Oct 2003 (-5.21%), 24 Oct 2003 (16.19%)
2002508 Jan 2002 (-3.41%), 14 Jan 2002 (-3.35%), 11 Feb 2002 (-3.7%), 14 Feb 2002 (11.81%), 15 Apr 2002 (-3.33%)
2001416 Jan 2001 (-3.17%), 21 Feb 2001 (-2.68%), 20 Sep 2001 (17.31%), 27 Nov 2001 (-5.31%)
2000209 Feb 2000 (19.85%), 17 Nov 2000 (-4.33%)
1999519 Apr 1999 (21.35%), 27 May 1999 (-5.15%), 06 Jul 1999 (10.76%), 16 Nov 1999 (-7.3%), 08 Dec 1999 (17.63%)
1998717 Feb 1998 (8.43%), 13 May 1998 (-6.41%), 27 Aug 1998 (-5.45%), 06 Oct 1998 (-6.01%), 09 Nov 1998 (-4.33%), 09 Dec 1998 (-3.47%), 16 Dec 1998 (9.88%)
1997409 Sep 1997 (-3.49%), 18 Nov 1997 (-3.52%), 21 Nov 1997 (-3.63%), 28 Nov 1997 (-3.56%)
1996225 Jun 1996 (7.84%), 23 Jul 1996 (-2.89%)



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