Study: Buy DRREDDY when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy DRREDDY when 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
115680.9551282354.93753.1516008.74-3887.27-13451.330.971.180.012307.47
22051.8751272452.945506.6219128.62-6109.45-23150.440.91.010.00140.23
341417.9251272452.947035.0718078.72-6188.71-18440.651.141.280.02812.12
420212.1551232845.17522.7718848.34-5457.55-18614.31.381.130.0096396.32
560225.351282354.97306.8824617.63-6276.84-17589.661.161.420.0271180.89
662321.451282354.99430.830152.95-8771.35-30440.961.081.310.021221.99
710668051272452.9411455.4539475.6-8442.38-39622.951.361.530.032091.76
817974051292256.8612348.9942834.5-8108.23-30532.821.522.010.0533524.31
914746951242747.0615077.0743262.93-7940.01-36148.841.91.690.042891.55
1015117051242747.0616531.3861879.1-9095.67-39499.461.821.620.0352964.12
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:2.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019117 May 2019 (-4.89%)
2018104 Oct 2018 (8.48%)
2015406 Jan 2015 (7.18%), 06 Feb 2015 (11.12%), 30 Apr 2015 (5.56%), 09 Jun 2015 (1.89%)
2014613 Feb 2014 (8.06%), 26 Mar 2014 (-1.04%), 16 Apr 2014 (6.68%), 14 May 2014 (-8.67%), 13 Oct 2014 (5.53%), 08 Dec 2014 (-4.95%)
2013308 Feb 2013 (-1.6%), 26 Feb 2013 (2.83%), 21 Aug 2013 (11.56%)
2012209 May 2012 (-1.85%), 04 Jun 2012 (-4.12%)
2011210 Jan 2011 (0.72%), 25 Jan 2011 (-0.87%)
2010320 Apr 2010 (8.29%), 21 Jul 2010 (-3.46%), 20 Dec 2010 (-1.13%)
2009103 Sep 2009 (8.08%)
2008220 Jun 2008 (0.73%), 16 Jul 2008 (-0.15%)
2007324 Jan 2007 (-2.22%), 09 Feb 2007 (-3.46%), 01 Mar 2007 (-0.11%)
2006108 Jun 2006 (6.17%)
2004203 Feb 2004 (-2.67%), 20 Feb 2004 (-15.27%)
2003204 Aug 2003 (3.96%), 23 Sep 2003 (5.85%)
2002431 Jan 2002 (2.96%), 15 Apr 2002 (-0.79%), 29 Apr 2002 (0.01%), 16 May 2002 (-6.51%)
2001120 Nov 2001 (2.1%)
2000331 Jan 2000 (3.76%), 03 Mar 2000 (21.42%), 20 Apr 2000 (-2.05%)
1999315 Apr 1999 (16.46%), 27 May 1999 (6.39%), 22 Oct 1999 (-13.39%)
1998205 Jun 1998 (-6.9%), 28 Aug 1998 (0.16%)
1997419 Aug 1997 (-3.09%), 22 Sep 1997 (13.78%), 17 Nov 1997 (1.16%), 09 Dec 1997 (6.78%)
1996126 Jul 1996 (1.42%)

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
atrnil38.8128557170244634.2926620.6254243.75-7680.94-19261.193.471.810.0464079.59
atrnil26.2311112571264536.6217566.8936162.5-7680.31-19261.192.291.320.0241565.14
atrtrail24.2746333.2975314441.3310430.8338921.45-6295.97-16156.871.661.170.012617.78
atrtrail34.6732243.6475314441.339976.3358382.17-6295.97-16156.871.581.120.0079429.92
atrtrail-15.356580.0574304440.549481.3448945.25-6315-16156.871.51.020.001788.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 34.29%, which is not acceptable. Avoid this strategy. Average return per trade is 2.04%, which is very good. Sharpe Ratio is 0.046, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 May 2019 (-2.4%), 20 May 2019 (-3.01%)
2018104 Oct 2018 (10.99%)
2015407 Jan 2015 (7.42%), 06 Feb 2015 (7.83%), 30 Apr 2015 (9.45%), 09 Jun 2015 (7.52%)
2014713 Feb 2014 (6.04%), 26 Mar 2014 (-2.33%), 31 Mar 2014 (7.43%), 14 May 2014 (-2.33%), 13 Oct 2014 (8.2%), 08 Dec 2014 (-2.38%), 16 Dec 2014 (-2.89%)
2013408 Feb 2013 (-1.81%), 15 Feb 2013 (-2.13%), 26 Feb 2013 (-2.11%), 21 Aug 2013 (10.65%)
2012309 May 2012 (-2.26%), 11 May 2012 (-2.42%), 04 Jun 2012 (-2.37%)
2011310 Jan 2011 (-2.53%), 25 Jan 2011 (-3.01%), 08 Feb 2011 (-3.18%)
2010520 Apr 2010 (9.61%), 21 Jul 2010 (-2.73%), 22 Jul 2010 (-2.8%), 26 Jul 2010 (9.68%), 20 Dec 2010 (-2.52%)
2009103 Sep 2009 (9.48%)
2008220 Jun 2008 (-4.65%), 16 Jul 2008 (-4.42%)
2007724 Jan 2007 (-3.25%), 31 Jan 2007 (-3.27%), 12 Feb 2007 (-2.81%), 22 Feb 2007 (-3.21%), 23 Feb 2007 (-3.66%), 01 Mar 2007 (-4.44%), 05 Mar 2007 (15.19%)
2006108 Jun 2006 (22.31%)
2004203 Feb 2004 (-4.71%), 09 Feb 2004 (-5.0%)
2003204 Aug 2003 (15.38%), 23 Sep 2003 (-4.87%)
2002315 Apr 2002 (-3.33%), 29 Apr 2002 (9.56%), 16 May 2002 (-2.78%)
2001120 Nov 2001 (18.28%)
2000331 Jan 2000 (21.06%), 03 Mar 2000 (26.96%), 20 Apr 2000 (-9.63%)
1999615 Apr 1999 (19.01%), 27 May 1999 (-5.15%), 22 Oct 1999 (-6.9%), 23 Oct 1999 (-7.12%), 25 Oct 1999 (-8.06%), 01 Nov 1999 (27.12%)
1998505 Jun 1998 (-5.61%), 08 Jun 1998 (-6.28%), 15 Jun 1998 (-6.1%), 28 Aug 1998 (-6.12%), 31 Aug 1998 (19.92%)
1997719 Aug 1997 (-3.28%), 29 Aug 1997 (-3.16%), 01 Sep 1997 (10.55%), 22 Sep 1997 (9.82%), 17 Nov 1997 (-3.57%), 19 Nov 1997 (-3.7%), 10 Dec 1997 (-3.22%)
1996126 Jul 1996 (-3.16%)



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