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

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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 and RSI is above 50" 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
113726.3551272452.942434.639877.06-2167.03-7207.211.121.260.017269.14
226114.9351302158.823431.0916959.13-3657.99-9179.890.941.340.022512.06
329458.3951282354.94464.2514815.59-4153.94-9213.631.071.310.022577.62
471481.0251282354.96173.9829531.22-4408.28-12014.851.41.710.0391401.59
558887.3651321962.755197.7225863.99-5654.72-13512.350.921.550.0311154.65
676348.7751302158.826860.4425207.48-6164.97-14777.461.111.590.0361497.03
712410851302158.828559.1428326.35-6317.43-18570.491.351.940.052433.49
814757251312060.7810159.3643718.33-8368.4-18504.711.211.880.0482893.57
911967551331864.719727.2239080.89-11184.61-22834.860.871.590.0372346.57
1086986.2751321962.75975532280.44-11851.25-24197.550.821.390.0271705.61
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
atrtrail-16.4210829860263443.3310021.6240021.36-4478.36-14595.32.241.710.0361804.97
atrnil310.8613894549183136.7318714.6735254.5-6384.49-14595.32.931.70.0452835.61
atrtrail35.9810642760263443.339949.6727408.42-4478.36-14595.32.221.70.0381773.79
atrnil27.4512007651232845.112752.4123503-6186.77-14595.32.061.690.0482354.43
atrtrail25.2284408.0260263443.339102.7823503-4478.36-14595.32.031.550.0351406.8
50nil34.4142439.2364194529.699469.2111961.65-3055.02-3970.973.11.310.023663.11
50nil22.9328582.4169264337.686236.467974.43-3106.18-3970.972.011.210.018414.24
50trail-13.6810327.9574215328.386802.1941881.01-2500.34-3881.012.721.080.0045139.57
50trail22.58333.3474245032.435757.687899.5-2597.02-3881.012.221.060.0056112.61
50trail32.82-6371.3174215328.386006.9911702.06-2500.34-3881.012.40.95-0.004-86.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 43.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jan 2019 (0.97%), 28 Jan 2019 (4.19%), 22 Feb 2019 (2.86%), 16 Jul 2019 (-2.38%)
2017106 Jan 2017 (-1.8%)
2016423 Sep 2016 (-0.9%), 21 Oct 2016 (6.0%), 29 Nov 2016 (-0.87%), 06 Dec 2016 (-1.87%)
2015721 Jan 2015 (-1.25%), 13 May 2015 (1.57%), 26 May 2015 (-1.49%), 29 May 2015 (-2.43%), 25 Jun 2015 (-0.66%), 29 Sep 2015 (1.91%), 21 Oct 2015 (-1.79%)
2014130 Apr 2014 (-0.64%)
2013415 Apr 2013 (1.31%), 10 Sep 2013 (5.3%), 27 Nov 2013 (0.75%), 04 Dec 2013 (-1.89%)
2012617 Feb 2012 (1.94%), 03 Jul 2012 (-1.9%), 10 Jul 2012 (0.76%), 03 Oct 2012 (-0.01%), 10 Oct 2012 (0.1%), 25 Oct 2012 (3.83%)
2011407 Mar 2011 (-2.88%), 31 May 2011 (-2.64%), 12 Dec 2011 (-0.57%), 23 Dec 2011 (2.38%)
2010304 Feb 2010 (-4.09%), 04 Mar 2010 (5.72%), 03 Sep 2010 (0.69%)
2009108 Sep 2009 (20.01%)
2007112 Apr 2007 (-1.2%)
2005313 Sep 2005 (-1.07%), 21 Sep 2005 (-2.72%), 26 Sep 2005 (7.02%)
2003425 Apr 2003 (-2.49%), 21 Aug 2003 (-3.28%), 26 Aug 2003 (-0.18%), 03 Oct 2003 (9.13%)
2002408 Jan 2002 (-3.41%), 14 Jan 2002 (0.34%), 11 Feb 2002 (-2.65%), 14 Feb 2002 (12.09%)
2001316 Jan 2001 (-2.11%), 21 Feb 2001 (-2.68%), 05 Oct 2001 (18.3%)
2000111 Dec 2000 (-1.8%)
1999306 Jul 1999 (8.59%), 16 Nov 1999 (-7.3%), 08 Dec 1999 (8.87%)
1998506 Oct 1998 (2.37%), 14 Oct 1998 (-6.23%), 18 Nov 1998 (-3.66%), 09 Dec 1998 (-1.8%), 16 Dec 1998 (3.29%)
1997109 Sep 1997 (-3.49%)



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