Study: Buy DRREDDY when there is Bullish Crossover in MACD and ADX is Trending

home > technical-strategy > drreddy > 31

In this study, we evaluate the performance of strategy "Buy DRREDDY when there is Bullish Crossover in MACD 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: 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
165263.5388464252.273901.6816005.3-2719.38-11730.971.431.570.032741.63
25959.1388464252.274641.4117188.48-4941.56-38068.270.941.030.001967.72
338095.6788464252.275718.8120328.19-5356.42-36895.841.071.170.011432.91
451841.8988464252.277225.8129137.09-6679.65-38156.011.081.180.012589.11
510944788503856.827758.6228628.27-7328.53-37222.841.061.390.0231243.72
612594988543461.368050.5533717.97-9081.79-38200.770.891.410.0251431.24
723151788533560.239551.7349687.05-7849.28-32684.641.221.840.0442630.88
826313088563263.649307.7455464.61-8065.73-33636.961.152.020.0482990.12
924257788533560.239849.1554646.12-7983.66-30444.171.231.870.0422756.56
1022729988523659.099993.2257246.03-8120.78-35715.431.231.780.042582.95
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
DRREDDY Performance, X=8, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Mar 2019 (0.07%), 26 Jun 2019 (0.65%)
2018321 Feb 2018 (0.49%), 02 Apr 2018 (-3.36%), 28 May 2018 (-1.48%)
2017231 Mar 2017 (0.33%), 24 Aug 2017 (5.21%)
2016220 Jan 2016 (6.22%), 18 Aug 2016 (2.1%)
2015312 Jan 2015 (4.8%), 31 Jul 2015 (4.88%), 03 Dec 2015 (-7.12%)
2014625 Apr 2014 (4.1%), 30 May 2014 (-1.14%), 25 Jul 2014 (0.41%), 20 Aug 2014 (3.79%), 18 Sep 2014 (1.15%), 28 Oct 2014 (10.95%)
2013604 Jan 2013 (2.15%), 25 Jan 2013 (-2.36%), 07 Mar 2013 (-0.6%), 01 Apr 2013 (3.24%), 29 May 2013 (2.77%), 01 Jul 2013 (1.42%)
2012431 Jan 2012 (-4.01%), 25 May 2012 (-4.53%), 22 Jun 2012 (3.68%), 05 Oct 2012 (-0.37%)
2011320 Jan 2011 (-3.17%), 18 Feb 2011 (2.73%), 30 Aug 2011 (-2.94%)
2010116 Aug 2010 (-1.13%)
2009313 Mar 2009 (3.09%), 20 May 2009 (0.94%), 09 Jun 2009 (3.22%)
2008314 Feb 2008 (2.29%), 24 Mar 2008 (9.44%), 01 Oct 2008 (-16.82%)
2007504 Jun 2007 (-2.28%), 18 Jun 2007 (3.95%), 23 Aug 2007 (5.22%), 24 Oct 2007 (-4.25%), 16 Nov 2007 (-1.01%)
2006517 Feb 2006 (3.05%), 22 Mar 2006 (-2.58%), 19 Jun 2006 (0.16%), 28 Aug 2006 (1.83%), 02 Nov 2006 (3.95%)
2005104 Feb 2005 (1.84%)
2004526 Feb 2004 (-16.37%), 19 Mar 2004 (-3.61%), 18 May 2004 (0.46%), 11 Jun 2004 (-8.88%), 30 Jun 2004 (3.85%)
2003608 Jan 2003 (1.39%), 05 Mar 2003 (-2.87%), 21 Mar 2003 (1.39%), 29 May 2003 (9.91%), 21 Aug 2003 (3.38%), 07 Oct 2003 (9.89%)
2002514 Mar 2002 (0.14%), 01 Apr 2002 (1.71%), 06 Aug 2002 (-5.4%), 26 Sep 2002 (-6.24%), 07 Nov 2002 (3.29%)
2001519 Apr 2001 (-0.09%), 26 Jun 2001 (-4.77%), 01 Aug 2001 (-3.24%), 29 Aug 2001 (1.25%), 12 Nov 2001 (-10.92%)
2000203 Jan 2000 (-2.04%), 04 Aug 2000 (-0.23%)
1999505 Feb 1999 (10.24%), 01 Mar 1999 (16.74%), 06 Aug 1999 (9.03%), 23 Sep 1999 (0.81%), 11 Nov 1999 (0.36%)
1998220 Apr 1998 (-1.09%), 25 Jun 1998 (16.09%)
1997104 Jul 1997 (9.08%)
1996623 Jan 1996 (27.73%), 18 Apr 1996 (-2.27%), 04 Jun 1996 (4.22%), 27 Aug 1996 (5.06%), 15 Oct 1996 (7.43%), 17 Dec 1996 (0.7%)
1995222 Mar 1995 (-1.88%), 13 Jul 1995 (16.37%)

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
atrnil27.2222972597425543.314586.1427651.6-6961.7-15023.842.11.60.0422368.29
atrnil310.8721404093276629.0324664.5141477.4-6847-15023.843.61.470.0312301.51
atrtrail-15.6978076.9596385839.589876.256873.06-5124.46-9595.491.931.260.015813.3
atrtrail35.1926416.8596385839.588516.7228998.89-5124.46-9595.491.661.090.0066275.18
atrtrail24.5515911.9898395939.88152.0619332.59-5118.95-9595.491.591.050.0044162.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 43.3%, which is not acceptable. Avoid this strategy. Average return per trade is 1.18%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019201 Mar 2019 (7.54%), 26 Jun 2019 (5.47%)
2018421 Feb 2018 (-3.25%), 26 Feb 2018 (-3.38%), 02 Apr 2018 (-2.66%), 28 May 2018 (-2.69%)
2017331 Mar 2017 (3.52%), 03 Apr 2017 (-1.9%), 24 Aug 2017 (-3.65%)
2016320 Jan 2016 (-2.53%), 25 Jan 2016 (5.55%), 18 Aug 2016 (4.28%)
2015312 Jan 2015 (4.78%), 31 Jul 2015 (4.87%), 03 Dec 2015 (-3.73%)
2014725 Apr 2014 (4.26%), 30 May 2014 (-2.7%), 25 Jul 2014 (4.33%), 20 Aug 2014 (-1.92%), 18 Sep 2014 (3.51%), 28 Oct 2014 (-2.52%), 29 Oct 2014 (5.32%)
2013604 Jan 2013 (3.29%), 25 Jan 2013 (-1.66%), 07 Mar 2013 (-2.15%), 01 Apr 2013 (4.46%), 29 May 2013 (-2.39%), 01 Jul 2013 (-2.42%)
2012431 Jan 2012 (-2.5%), 25 May 2012 (-2.36%), 22 Jun 2012 (4.59%), 05 Oct 2012 (5.8%)
2011320 Jan 2011 (-2.74%), 18 Feb 2011 (-3.42%), 30 Aug 2011 (-3.19%)
2010116 Aug 2010 (-2.86%)
2009313 Mar 2009 (10.57%), 20 May 2009 (11.39%), 09 Jun 2009 (-5.01%)
2008314 Feb 2008 (-6.1%), 24 Mar 2008 (12.42%), 01 Oct 2008 (-5.87%)
2007504 Jun 2007 (-2.83%), 18 Jun 2007 (5.96%), 23 Aug 2007 (5.18%), 24 Oct 2007 (-3.12%), 16 Nov 2007 (-2.91%)
2006517 Feb 2006 (7.47%), 22 Mar 2006 (-3.21%), 23 Mar 2006 (-3.46%), 19 Jun 2006 (13.83%), 28 Aug 2006 (11.23%)
2005104 Feb 2005 (-3.81%)
2004526 Feb 2004 (-3.89%), 19 Mar 2004 (-4.36%), 18 May 2004 (-5.35%), 11 Jun 2004 (-4.38%), 30 Jun 2004 (-4.13%)
2003608 Jan 2003 (4.5%), 05 Mar 2003 (-2.71%), 21 Mar 2003 (5.9%), 29 May 2003 (6.94%), 21 Aug 2003 (-3.55%), 07 Oct 2003 (8.46%)
2002514 Mar 2002 (-3.77%), 06 Aug 2002 (-3.56%), 20 Aug 2002 (-3.33%), 26 Sep 2002 (-3.31%), 07 Nov 2002 (8.29%)
2001719 Apr 2001 (13.75%), 26 Jun 2001 (-3.52%), 27 Jun 2001 (-4.0%), 01 Aug 2001 (-5.02%), 29 Aug 2001 (-4.31%), 06 Sep 2001 (-4.17%), 12 Nov 2001 (-4.67%)
2000203 Jan 2000 (11.08%), 04 Aug 2000 (12.34%)
1999605 Feb 1999 (-4.49%), 08 Feb 1999 (9.67%), 01 Mar 1999 (8.39%), 06 Aug 1999 (-4.23%), 23 Sep 1999 (9.04%), 11 Nov 1999 (-7.51%)
1998220 Apr 1998 (8.25%), 25 Jun 1998 (13.3%)
1997104 Jul 1997 (6.17%)
1996723 Jan 1996 (4.58%), 18 Apr 1996 (3.89%), 19 Apr 1996 (-2.1%), 04 Jun 1996 (-2.14%), 27 Aug 1996 (7.34%), 15 Oct 1996 (8.83%), 17 Dec 1996 (-4.01%)
1995322 Mar 1995 (-2.94%), 23 Mar 1995 (-3.05%), 13 Jul 1995 (5.96%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play