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

home > technical-strategy > drreddy > 5

In this study, we evaluate the performance of strategy "Buy DRREDDY when near 200 SMA and above 200 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
187810.7868383055.883928.3216127.48-2048.85-6264.341.922.430.0611291.33
255601.5968333548.534717.4633253.43-2859.28-11179.581.651.560.028817.67
310752468392957.355745.6251917.67-4019.16-18440.651.431.920.0391581.23
411719168363252.947040.4459604.89-4258.26-15494.271.651.860.0381723.4
510263868402858.826313.3639006.45-5353.45-17336.751.181.680.0381509.38
616493568422661.767374.0158059.18-5568.19-17650.451.322.140.052425.52
717405368392957.358818.8678707.22-5858-16649.791.512.020.0422559.61
815006268402858.828149.0365853.86-6282.09-21859.771.31.850.0392206.8
918342668442464.718467.5773028.6-7881.13-28946.381.071.970.0432697.44
1015512968392957.359789.9584666.89-7816.52-36107.991.251.680.0332281.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.43. 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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
DRREDDY Performance, X=1, Profit Factor:2.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019520 May 2019 (3.0%), 10 Jun 2019 (-0.89%), 01 Jul 2019 (-1.02%), 18 Jul 2019 (-1.6%), 01 Oct 2019 (-0.45%)
2018309 Jan 2018 (-1.3%), 02 Jul 2018 (1.49%), 02 Aug 2018 (2.39%)
2017206 Jan 2017 (-3.13%), 03 Feb 2017 (-1.52%)
2016602 Sep 2016 (0.32%), 30 Sep 2016 (1.71%), 21 Oct 2016 (-0.78%), 08 Nov 2016 (5.24%), 23 Nov 2016 (-0.54%), 12 Dec 2016 (0.6%)
2015109 Jun 2015 (1.35%)
2014114 May 2014 (-1.46%)
2013201 Mar 2013 (1.33%), 22 Mar 2013 (0.79%)
2012504 Jun 2012 (-0.23%), 04 Jul 2012 (-0.84%), 02 Aug 2012 (1.61%), 21 Aug 2012 (0.97%), 17 Sep 2012 (0.37%)
2011809 Feb 2011 (-1.79%), 28 Feb 2011 (2.34%), 23 Mar 2011 (-0.95%), 05 May 2011 (1.67%), 19 May 2011 (0.11%), 02 Jun 2011 (-1.96%), 09 Dec 2011 (-0.24%), 28 Dec 2011 (0.15%)
2009106 Apr 2009 (1.24%)
2008328 Apr 2008 (0.3%), 13 May 2008 (8.06%), 16 Jul 2008 (1.89%)
2007210 May 2007 (-0.85%), 04 Dec 2007 (1.08%)
2005230 Jun 2005 (1.07%), 15 Jul 2005 (1.49%)
2004106 Dec 2004 (-0.16%)
2003628 Jan 2003 (0.96%), 24 Feb 2003 (-0.17%), 13 Mar 2003 (-0.5%), 11 Apr 2003 (5.36%), 29 Apr 2003 (1.11%), 14 May 2003 (-0.94%)
2002311 Jun 2002 (-1.05%), 05 Jul 2002 (1.24%), 23 Dec 2002 (0.92%)
2001230 Jan 2001 (-1.06%), 14 Feb 2001 (0.43%)
2000609 Mar 2000 (7.98%), 08 May 2000 (4.27%), 30 May 2000 (2.8%), 25 Aug 2000 (-2.66%), 16 Oct 2000 (1.7%), 28 Nov 2000 (0.57%)
1998401 Sep 1998 (5.67%), 03 Nov 1998 (-0.4%), 20 Nov 1998 (-0.11%), 16 Dec 1998 (-0.87%)
1997209 May 1997 (-1.05%), 23 May 1997 (-1.71%)
1996331 Jul 1996 (0.37%), 28 Aug 1996 (-0.5%), 16 Sep 1996 (0.69%)

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-1187810.7868383055.883928.3216127.48-2048.85-6264.341.922.430.0611291.33
atrtrail24.7712943383335039.7610182.4938921.45-4131.78-10123.672.461.630.0361559.44
atrnil26.5912786871304142.2513010.6438921.45-6401.24-18741.932.031.490.0341800.96
atrnil310.1612757862194330.6520825.3558382.17-6234.96-18741.933.341.480.032057.72
atrtrail35.7372572.3882334940.248413.8358382.17-4185.39-10123.672.011.350.02885.03
atrtrail-16.1337496.1782334940.247350.9240406.06-4185.39-10123.671.761.180.012457.27
200nil33.1326981.5997286928.878394.7811526.53-3015.54-3977.12.781.130.011278.16
200trail32.6310991.89104307428.857295.4211880.27-2809.07-3959.672.61.050.0044105.69
200nil22.398178.751003664365645.847684.36-3047.99-3977.11.851.040.003981.79
200trail-13.58-12880.79103287527.186982.5251223.34-2778.55-3959.672.510.94-0.0037-125.06
200trail22.26-14019.08105347132.385541.677920.18-2851.21-3959.671.940.93-0.0067-133.52

In the table above, row 1 shows the best exit criterion. Profit factor is 2.43. 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 55.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.65%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play