Study: Buy DRREDDY when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy DRREDDY when below 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
129751.9573433058.93780.5728011.1-4427.08-16616.040.851.220.013407.56
264043.1173393453.426006.0628462.68-5005.68-16523.211.21.380.022877.3
310077.1473403354.796134.4635232.52-7130.34-28530.740.861.040.003138.04
4-28566.4773383552.056980.1933120.68-8394.68-36030.20.830.9-0.0076-391.32
5-9430.1673343946.588702.6743063.93-7828.75-32215.751.110.97-0.0022-129.18
619482.6473423157.537736.2629477.76-9852.91-37307.440.791.060.0045266.89
732599.7673433058.98501.7533582.89-11099.18-42714.180.771.10.0066446.57
814189.4872413156.949860.4833623.64-12583.55-48279.230.781.040.0026197.08
920211.2772383452.7810602.5834097.13-11255.49-468990.941.050.0036280.71
1010155572393354.1711437.3941603.24-10439.48-45953.931.11.290.0181410.49
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil25.95134721128497938.2814978.5344398.56-7585.15-15903.91.971.220.0181052.51
atrtrail24.1690446.64140528837.1411223.4544398.56-5604.24-15903.921.180.013646.05
atrtrail34.8672791.27140528837.1410883.9331765.38-5604.24-15903.91.941.150.011519.94
atrtrail-15.4117918.58140528837.149795.652273.83-5584.69-15903.91.751.040.0027127.99
atrnil39.55-30964.84119328726.8920360.6445435.73-7844.89-22199.282.60.95-0.004-260.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 38.28%, which is not acceptable. Avoid this strategy. Average return per trade is 0.53%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Jun 2019 (5.63%), 16 Aug 2019 (5.78%)
2018731 Jan 2018 (-3.31%), 02 Feb 2018 (-3.56%), 06 Feb 2018 (7.34%), 23 Mar 2018 (-2.9%), 10 May 2018 (-2.27%), 21 May 2018 (5.09%), 16 Jul 2018 (7.33%)
20171613 Jan 2017 (-1.96%), 23 Jan 2017 (3.59%), 20 Feb 2017 (-2.13%), 09 Mar 2017 (-2.2%), 21 Mar 2017 (-2.08%), 27 Apr 2017 (-1.75%), 24 May 2017 (-2.28%), 25 May 2017 (5.1%), 28 Jul 2017 (-2.64%), 31 Jul 2017 (-2.8%), 03 Aug 2017 (-2.98%), 04 Aug 2017 (-3.17%), 08 Aug 2017 (-3.52%), 10 Aug 2017 (8.25%), 20 Nov 2017 (5.11%), 01 Dec 2017 (-2.69%)
20161013 Jan 2016 (-2.48%), 21 Jan 2016 (5.64%), 29 Mar 2016 (6.11%), 03 May 2016 (-2.21%), 06 May 2016 (4.36%), 17 Jun 2016 (3.49%), 27 Jul 2016 (7.16%), 07 Oct 2016 (3.41%), 19 Dec 2016 (-2.06%), 22 Dec 2016 (3.96%)
2015716 Jun 2015 (4.62%), 06 Nov 2015 (-3.86%), 09 Nov 2015 (-4.09%), 10 Nov 2015 (-4.42%), 19 Nov 2015 (-4.41%), 26 Nov 2015 (-4.62%), 09 Dec 2015 (-3.75%)
2014315 May 2014 (-2.41%), 16 May 2014 (-2.59%), 19 May 2014 (6.16%)
2012312 Jun 2012 (-2.32%), 14 Jun 2012 (4.62%), 21 Sep 2012 (4.89%)
2011510 Feb 2011 (6.67%), 25 May 2011 (-2.91%), 20 Jun 2011 (5.16%), 10 Aug 2011 (-3.09%), 19 Aug 2011 (6.81%)
2009322 Jan 2009 (-6.09%), 17 Feb 2009 (-4.81%), 05 Mar 2009 (10.33%)
20081021 Jan 2008 (-4.63%), 22 Jan 2008 (-5.98%), 12 Feb 2008 (-6.79%), 29 Jul 2008 (-5.46%), 11 Sep 2008 (-4.06%), 16 Sep 2008 (-4.51%), 18 Sep 2008 (9.95%), 06 Oct 2008 (-7.5%), 10 Oct 2008 (18.76%), 17 Nov 2008 (15.15%)
2007714 May 2007 (-3.53%), 08 Jun 2007 (-2.91%), 12 Jun 2007 (6.2%), 27 Jul 2007 (-2.74%), 01 Aug 2007 (5.72%), 12 Oct 2007 (-3.08%), 17 Oct 2007 (-3.27%)
2005606 Jan 2005 (-3.26%), 11 Jan 2005 (-3.66%), 12 Jan 2005 (-4.05%), 18 Apr 2005 (-3.26%), 25 Apr 2005 (6.39%), 27 Apr 2005 (-3.87%)
2004701 Mar 2004 (-6.02%), 07 Apr 2004 (-3.69%), 15 Apr 2004 (-3.8%), 29 Apr 2004 (-3.52%), 17 May 2004 (10.59%), 20 Aug 2004 (-3.39%), 24 Aug 2004 (7.34%)
2003209 May 2003 (5.68%), 22 May 2003 (6.8%)
2002721 May 2002 (6.77%), 27 Jun 2002 (4.94%), 22 Jul 2002 (-3.84%), 26 Jul 2002 (8.2%), 18 Sep 2002 (6.65%), 14 Oct 2002 (-3.71%), 25 Oct 2002 (-4.09%)
2001613 Mar 2001 (-3.82%), 26 Mar 2001 (9.25%), 02 Apr 2001 (-5.41%), 04 Apr 2001 (-5.88%), 06 Apr 2001 (-7.53%), 11 Apr 2001 (-7.95%)
2000602 May 2000 (22.2%), 21 Jul 2000 (-5.09%), 24 Jul 2000 (-5.97%), 21 Nov 2000 (8.79%), 19 Dec 2000 (-3.66%), 26 Dec 2000 (8.97%)
1998316 Jun 1998 (12.64%), 26 Nov 1998 (-3.6%), 01 Dec 1998 (6.83%)
19961609 Jan 1996 (6.68%), 29 Jul 1996 (-3.75%), 30 Jul 1996 (8.41%), 23 Sep 1996 (-2.98%), 26 Sep 1996 (-3.38%), 27 Sep 1996 (-3.63%), 30 Sep 1996 (-3.92%), 03 Oct 1996 (-4.27%), 07 Oct 1996 (9.27%), 25 Nov 1996 (-2.78%), 26 Nov 1996 (-3.19%), 27 Nov 1996 (-3.48%), 02 Dec 1996 (-3.72%), 03 Dec 1996 (-3.9%), 04 Dec 1996 (-4.19%), 05 Dec 1996 (8.8%)
1995222 Nov 1995 (-4.52%), 23 Nov 1995 (9.39%)



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