Study: Buy DRREDDY when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy DRREDDY when RSI is above 50 and 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
137269.5152272551.924980.8816005.3-3888.57-27031.451.281.380.022716.72
222138.2252282453.855812.3117188.48-5858.6-36393.380.991.160.01425.74
383489.552292355.777175.4720328.19-5417.36-30885.291.321.670.0391605.57
411917552322061.548641.7229137.09-7867.99-41392.471.11.760.0422291.83
512587552312159.629388.3828628.27-7865.01-43392.111.191.760.042420.67
616958252351767.319317.1233717.97-9206.88-34357.391.012.080.0553261.2
716485352322061.5410090.6536954.89-7902.41-38974.731.282.040.0523170.24
817950552341865.389345.7633478.2-7680.59-35884.381.222.30.0593452.02
914311852322061.549150.7933777.91-7485.37-36956.921.221.960.0472752.26
1016069952341865.388908.4529939.39-7899.35-23777.51.132.130.0553090.36
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:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (0.07%)
2017103 Apr 2017 (-3.03%)
2015213 Jan 2015 (3.92%), 31 Jul 2015 (4.88%)
2014525 Apr 2014 (4.1%), 25 Jul 2014 (0.41%), 20 Aug 2014 (3.79%), 18 Sep 2014 (1.15%), 28 Oct 2014 (10.95%)
2013504 Jan 2013 (2.15%), 25 Jan 2013 (-2.36%), 01 Apr 2013 (3.24%), 29 May 2013 (2.77%), 01 Jul 2013 (1.42%)
2012231 Jan 2012 (-4.01%), 05 Oct 2012 (-0.37%)
2011102 Sep 2011 (-2.78%)
2009313 Mar 2009 (3.09%), 20 May 2009 (0.94%), 09 Jun 2009 (3.22%)
2008224 Mar 2008 (9.44%), 03 Oct 2008 (-17.94%)
2007116 Nov 2007 (-1.01%)
2006417 Feb 2006 (3.05%), 22 Mar 2006 (-2.58%), 28 Aug 2006 (1.83%), 02 Nov 2006 (3.95%)
2003508 Jan 2003 (1.39%), 06 Mar 2003 (-1.65%), 29 May 2003 (9.91%), 21 Aug 2003 (3.38%), 07 Oct 2003 (9.89%)
2002314 Mar 2002 (0.14%), 01 Apr 2002 (1.71%), 26 Sep 2002 (-6.24%)
2001520 Apr 2001 (-0.94%), 26 Jun 2001 (-4.77%), 01 Aug 2001 (-3.24%), 29 Aug 2001 (1.25%), 12 Nov 2001 (-10.92%)
2000103 Jan 2000 (-2.04%)
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%)
1998120 Apr 1998 (-1.09%)
1997104 Jul 1997 (9.08%)
1996218 Apr 1996 (-2.27%), 04 Jun 1996 (4.22%)
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
atrnil26.3520327157282949.1214495.6527198.38-6986.45-15023.842.0720.0623566.16
atrnil310.0222459954193535.1924419.2140797.57-6839.02-15023.843.571.940.0534159.24
atrtrail34.9163581.5757263145.618680.628998.89-5229.49-11741.091.661.390.0251115.47
atrtrail-15.4659617.6357263145.618528.1433140.22-5229.49-11741.091.631.370.0231045.92
atrtrail24.1951708.5358273146.557956.5919332.59-5261.92-11741.091.511.320.023891.53

In the table above, row 1 shows the best exit criterion. Profit factor is 2. 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 49.12%, which is not acceptable. Avoid this strategy. Average return per trade is 1.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, 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:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (7.54%)
2017103 Apr 2017 (-1.9%)
2015213 Jan 2015 (4.63%), 31 Jul 2015 (4.87%)
2014625 Apr 2014 (4.26%), 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%)
2013504 Jan 2013 (3.29%), 25 Jan 2013 (-1.66%), 01 Apr 2013 (4.46%), 29 May 2013 (-2.39%), 01 Jul 2013 (-2.42%)
2012231 Jan 2012 (-2.5%), 05 Oct 2012 (5.8%)
2011102 Sep 2011 (-3.22%)
2009313 Mar 2009 (10.57%), 20 May 2009 (11.39%), 09 Jun 2009 (-5.01%)
2008224 Mar 2008 (12.42%), 03 Oct 2008 (-5.87%)
2007116 Nov 2007 (-2.91%)
2006417 Feb 2006 (7.47%), 22 Mar 2006 (-3.21%), 23 Mar 2006 (-3.46%), 28 Aug 2006 (11.23%)
2003608 Jan 2003 (4.5%), 06 Mar 2003 (-2.57%), 21 Mar 2003 (5.9%), 29 May 2003 (6.94%), 21 Aug 2003 (-3.55%), 07 Oct 2003 (8.46%)
2002214 Mar 2002 (-3.77%), 26 Sep 2002 (-3.31%)
2001720 Apr 2001 (13.6%), 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%)
2000103 Jan 2000 (11.08%)
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%)
1998120 Apr 1998 (8.25%)
1997104 Jul 1997 (6.17%)
1996318 Apr 1996 (3.89%), 19 Apr 1996 (-2.1%), 04 Jun 1996 (-2.14%)
1995222 Mar 1995 (-2.94%), 13 Jul 1995 (5.96%)



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