Study: Buy DRREDDY when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy DRREDDY when near 200 SMA and above 200 SMA and RSI is above 50" 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
118952.9631161551.613414.0116127.48-2378.08-6264.341.441.530.031611.39
28675.6431161551.613283.279673.29-2923.78-7426.051.121.20.015279.86
345431.1231201164.524418.2313803.07-3903.05-8211.031.132.060.061465.52
445799.3131181358.065459.8713566.29-4036.8-11951.311.351.870.0491477.4
552464.0331201164.525368.5716048.95-4991.58-11567.691.081.960.0531692.39
658675.7931191261.295979.1418305.57-4577.32-11295.731.312.070.0571892.77
774426.9331171454.848360.5619971.17-4835.9-12917.591.732.10.0582400.87
874773.3231201164.527134.8520932.09-6174.89-14832.011.162.10.0572412.04
911438231211067.748503.7323609.53-6419.65-14078.331.322.780.0783689.74
1077654.2831191261.298975.1822020.43-7739.51-14746.151.161.840.052504.98
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=9, Profit Factor:2.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Jul 2019 (-0.99%), 18 Jul 2019 (-3.05%), 15 Oct 2019 (4.39%)
2018309 Jan 2018 (1.58%), 02 Jul 2018 (3.55%), 02 Aug 2018 (5.64%)
2017206 Jan 2017 (-6.93%), 03 Feb 2017 (-7.04%)
2016202 Sep 2016 (1.1%), 21 Oct 2016 (4.78%)
2012304 Jul 2012 (3.79%), 02 Aug 2012 (0.7%), 21 Aug 2012 (0.62%)
2011201 Jun 2011 (-3.45%), 09 Dec 2011 (0.05%)
2009106 Apr 2009 (7.62%)
2008228 Apr 2008 (1.07%), 13 May 2008 (11.29%)
2007104 Dec 2007 (9.48%)
2005230 Jun 2005 (-0.5%), 15 Jul 2005 (11.8%)
2004106 Dec 2004 (0.79%)
2002311 Jun 2002 (-3.0%), 05 Jul 2002 (-0.09%), 23 Dec 2002 (1.81%)
2001115 Feb 2001 (0.81%)
2000330 May 2000 (-5.62%), 25 Aug 2000 (5.72%), 16 Oct 2000 (3.12%)
1998116 Dec 1998 (9.59%)
1997109 May 1997 (-1.44%)

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
atrnil39.0977341.4535122334.2917318.1728050.86-5672.89-12990.113.051.590.0392209.76
atrnil26.2561838.4736162044.4411122.7318700.58-5806.26-12990.111.921.530.041717.74
atrtrail24.2439229.0441152636.599511.8818700.58-3978.82-8652.262.391.380.026956.81
atrtrail34.921373.1941152636.598321.4920481.69-3978.82-8652.262.091.210.015521.3
200nil22.6611927.1444172738.645831.477494.92-3229.92-3977.11.811.140.012271.07
atrtrail-15.4613162.1641152636.597774.0921904.15-3978.82-8652.261.951.130.0095321.03
200trail22.77765.9546163034.785938.047733.61-2908.09-3921.322.041.090.0079168.82
200nil34.213999.0143123127.918574.4810237.98-3190.15-3977.12.691.040.003593
200trail33.182638.845133228.897133.8411600.42-2815.66-3921.322.531.030.002458.64
200trail-14.07-11063.7544123227.276537.722933.43-2797.38-3921.322.340.88-0.0092-251.45

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Jul 2019 (-2.74%), 11 Jul 2019 (-2.33%), 18 Jul 2019 (-2.32%), 25 Jul 2019 (-2.31%), 15 Oct 2019 (7.32%)
2018309 Jan 2018 (-2.27%), 02 Jul 2018 (-2.86%), 02 Aug 2018 (8.87%)
2017206 Jan 2017 (-1.8%), 03 Feb 2017 (-1.99%)
2016202 Sep 2016 (-1.72%), 21 Oct 2016 (4.7%)
2012204 Jul 2012 (-2.04%), 02 Aug 2012 (6.56%)
2011301 Jun 2011 (-2.54%), 06 Jun 2011 (-2.61%), 09 Dec 2011 (8.99%)
2009106 Apr 2009 (14.03%)
2008128 Apr 2008 (12.03%)
2007104 Dec 2007 (10.24%)
2005130 Jun 2005 (7.45%)
2004206 Dec 2004 (-2.32%), 14 Dec 2004 (6.29%)
2002411 Jun 2002 (-2.84%), 05 Jul 2002 (-2.48%), 18 Jul 2002 (-2.21%), 23 Dec 2002 (7.54%)
2001215 Feb 2001 (-2.76%), 21 Feb 2001 (-2.68%)
2000430 May 2000 (-6.5%), 25 Aug 2000 (-4.33%), 04 Sep 2000 (-4.14%), 16 Oct 2000 (-4.18%)
1998116 Dec 1998 (9.88%)
1997109 May 1997 (-3.28%)



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