Study: Sell DRREDDY when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell DRREDDY when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
19772.771881044.443985.2413892.79-2210.91-5537.541.81.440.025542.93
222361.371812666.673586.8114955.41-3446.73-5045.921.042.080.051242.3
335604.441810855.566339.9622181.57-3474.4-8936.41.822.280.051978.02
457075.5189950931840441.68-2976.28-7533.053.133.130.0593170.86
57862.131861233.3314037.1947420.2-6363.42-23925.922.211.10.0063436.79
6-3930.121871138.8910501.4143870.71-7040-33474.681.490.95-0.0031-218.34
7-3643.241881044.4410393.7948608.71-8679.36-28984.781.20.96-0.0028-202.4
815845.9818995010073.9150078.3-8313.25-26240.961.211.210.012880.33
912820.81810855.568045.6746986.55-8454.48-25143.430.951.190.011712.27
10-876.371811761.117795.1943750.25-12374.78-23746.570.630.99-0.00071-48.69
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
DRREDDY Performance, X=4, Profit Factor:3.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jul 2019 (-1.57%)
2017112 Jan 2017 (2.01%)
2016105 Oct 2016 (2.34%)
2015116 Dec 2015 (0.11%)
2014116 Jun 2014 (-0.62%)
2012120 Jul 2012 (-0.73%)
2011115 Jun 2011 (2.85%)
2008214 Feb 2008 (0.37%), 29 Aug 2008 (-0.95%)
2007117 May 2007 (3.43%)
2005101 Mar 2005 (0.06%)
2004126 Mar 2004 (-0.36%)
2002127 Jun 2002 (-2.6%)
2001226 Feb 2001 (-2.78%), 30 Mar 2001 (20.22%)
2000113 Jun 2000 (-0.02%)
1996101 Oct 1996 (10.54%)
1995124 Nov 1995 (-3.77%)

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
atrtrail36.4260076.291981142.1115505.2336572.59-5815.05-10562.122.671.940.0483161.91
atrnil38.2650674.271951426.3226942.7136572.59-6002.81-12405.584.491.60.0362667.07
atrtrail25.4728170.811981142.1111517.0524381.73-5815.05-10562.121.981.440.031482.67
atrnil26.7415842.41961331.5816087.3524381.73-6206.29-12405.582.591.20.015833.81
atrtrail-17.2110023.571971236.8411794.8937974.98-6045.05-10562.121.951.140.0095527.56

In the table above, row 1 shows the best exit criterion. Profit factor is 1.94. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 1.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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:1.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019119 Jul 2019 (-1.79%)
2017112 Jan 2017 (1.07%)
2016105 Oct 2016 (1.37%)
2015116 Dec 2015 (-2.01%)
2014116 Jun 2014 (-1.76%)
2012120 Jul 2012 (-2.37%)
2011115 Jun 2011 (1.47%)
2008214 Feb 2008 (18.29%), 29 Aug 2008 (-4.44%)
2007117 May 2007 (9.67%)
2005101 Mar 2005 (-2.01%)
2004126 Mar 2004 (4.28%)
2002227 Jun 2002 (-2.47%), 28 Jun 2002 (-2.61%)
2001226 Feb 2001 (-2.64%), 30 Mar 2001 (14.2%)
2000113 Jun 2000 (-5.28%)
1996101 Oct 1996 (11.67%)
1995124 Nov 1995 (-4.6%)



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