Study: Sell DRREDDY when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell DRREDDY when near 200 SMA and below 200 SMA and ADX is Trending" 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
1-4905.821991047.373000.547193.54-3191.07-14330.660.940.85-0.012-258.2
2-32922.041961331.584368.7711682.95-4548.82-11011.480.960.44-0.068-1732.74
3-52394.021971236.844235.7612096.17-6837.03-13173.360.620.36-0.084-2757.58
4-61868.651971236.843756.899804.66-7347.24-13534.750.510.3-0.11-3256.24
5-81510.781951426.324037.788381.97-7264.26-15034.10.560.2-0.13-4290.04
6-98539.671951426.324557.957928.72-8666.39-19616.170.530.19-0.14-5186.3
7-1199561941521.054198.965688.58-9116.77-23879.190.460.12-0.16-6313.46
8-1306191941521.055339.39414.04-10131.75-29018.840.530.14-0.14-6874.68
9-1477051951426.325952.2616998.81-12676.13-26325.310.470.17-0.15-7773.93
10-1476201941521.057145.3518218.32-11746.75-32767.030.610.16-0.14-7769.47

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.85. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.

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
nilnil-11-4905.821991047.373000.547193.54-3191.07-14330.660.940.85-0.012-258.2
200trail22.25-11896.9224618255820.117382.79-2600.98-3985.752.240.75-0.027-495.7
200nil22.29-17827.3824618255820.117382.79-2930.45-3985.751.990.66-0.039-742.81
200trail32.71-20403.132442016.677323.2211074.19-2484.8-3985.752.950.59-0.044-850.13
200trail-13.04-27876.452341917.394954.99534.18-2510.32-3985.751.970.42-0.077-1212.02
200nil32.88-36117.472432112.58522.7311074.19-2937.41-3985.752.90.41-0.078-1504.89
atrtrail23.91-45887.52241818.187714.6716266.87-4263.68-7718.511.810.4-0.077-2085.8
atrtrail34.09-56476.872241818.185067.3310851.65-4263.68-7718.511.190.26-0.12-2567.13
atrtrail-14.09-56476.872241818.185067.3310851.65-4263.68-7718.511.190.26-0.12-2567.13
atrnil26.05-78000.321921710.5312581.916266.87-6068.48-9047.422.070.24-0.14-4105.28
atrnil37.53-11574619019000-6091.9-9047.4200-0.74-6091.9

In the table above, row 1 shows the best exit criterion. Profit factor is 0.85. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DRREDDY Performance, X=1, Profit Factor:0.846

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Jun 2019 (0.62%), 02 Jul 2019 (1.18%)
2018229 Jun 2018 (-0.24%), 10 Aug 2018 (-1.23%)
2016230 Aug 2016 (0.03%), 04 Nov 2016 (-0.88%)
2015116 Jun 2015 (-1.84%)
2012211 Jun 2012 (1.79%), 21 Sep 2012 (-1.34%)
2011116 Feb 2011 (-0.97%)
2003221 Feb 2003 (-0.53%), 19 Mar 2003 (-1.76%)
2002130 Dec 2002 (-0.01%)
2001121 May 2001 (-7.17%)
2000105 Sep 2000 (2.01%)
1996311 Apr 1996 (0.75%), 14 Aug 1996 (3.44%), 29 Aug 1996 (0.09%)
1995122 Nov 1995 (3.6%)



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