Study: Buy DRREDDY when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy DRREDDY when RSI is below 50 and there is Bullish Crossover in MACD" 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
11941.8469363352.172675.8110356.92-2860.22-11179.090.941.020.001528.14
2-75921.4469333647.833129.8812233.64-4977.99-38068.270.630.58-0.032-1100.31
3-10108569333647.834309.1316329.75-6757.95-36895.840.640.58-0.035-1465
4-87683.3269333647.83573922258.3-7696.39-38156.010.750.68-0.027-1270.77
5-6786.5369383155.076498.8823750-8185.29-37222.840.790.97-0.0019-98.36
6-31956.0169373253.627158.4426479.08-9275.57-38200.770.770.89-0.0082-463.13
771904.6469393056.529091.1949687.05-9421.73-32684.640.961.250.0171042.1
812940369383155.0710637.8355464.61-8865.64-33636.961.21.470.0271875.4
915170569383155.0711696.8254646.12-9444.34-33711.571.241.520.0292198.62
1012525869393056.5211399.7957246.03-10644.44-35715.431.071.390.0231815.34
Although, strategy looks good but profit factor on day 2 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
atrnil27.3674658.7276324442.1113055.5727651.6-7798.17-17891.121.671.220.018982.35
atrnil310.8452831.647521542821412.4441477.4-7348.7-17891.122.911.130.01704.42
atrtrail-16.113934.1876284836.8410106.4556873.06-5813.47-17891.121.741.010.0009551.77
atrtrail24.93-46713.3976284836.848297.6117663.7-5813.47-17891.121.430.83-0.016-614.65
atrtrail35.55-57222.5276284836.847922.2924868.46-5813.47-17891.121.360.79-0.019-752.93

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 42.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, 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
2019318 Jan 2019 (3.78%), 26 Jun 2019 (5.47%), 23 Aug 2019 (5.29%)
2018421 Feb 2018 (-3.25%), 26 Feb 2018 (-3.38%), 02 Apr 2018 (-2.66%), 28 May 2018 (-2.69%)
2017502 Jan 2017 (3.67%), 27 Jan 2017 (3.52%), 31 Mar 2017 (3.52%), 05 Jun 2017 (5.13%), 24 Aug 2017 (-3.65%)
2016420 Jan 2016 (-2.53%), 25 Jan 2016 (5.55%), 18 Aug 2016 (4.28%), 24 Oct 2016 (3.21%)
2015212 Jan 2015 (4.78%), 03 Dec 2015 (-3.73%)
2014130 May 2014 (-2.7%)
2013107 Mar 2013 (-2.15%)
2012225 May 2012 (-2.36%), 22 Jun 2012 (4.59%)
2011520 Jan 2011 (-2.74%), 18 Feb 2011 (-3.42%), 29 Jun 2011 (-2.33%), 30 Jun 2011 (4.77%), 30 Aug 2011 (-3.19%)
2010222 Feb 2010 (6.31%), 16 Aug 2010 (-2.86%)
2008514 Feb 2008 (-6.1%), 11 Aug 2008 (-5.11%), 01 Oct 2008 (-5.87%), 20 Oct 2008 (-8.94%), 10 Nov 2008 (-8.44%)
2007404 Jun 2007 (-2.83%), 18 Jun 2007 (5.96%), 23 Aug 2007 (5.18%), 24 Oct 2007 (-3.12%)
2006119 Jun 2006 (13.83%)
2005304 Feb 2005 (-3.81%), 06 May 2005 (-3.79%), 09 May 2005 (8.74%)
2004626 Feb 2004 (-3.89%), 19 Mar 2004 (-4.36%), 18 May 2004 (-5.35%), 11 Jun 2004 (-4.38%), 30 Jun 2004 (-4.13%), 01 Sep 2004 (6.1%)
2003105 Mar 2003 (-2.71%)
2002717 May 2002 (-2.71%), 04 Jun 2002 (-3.31%), 06 Aug 2002 (-3.56%), 20 Aug 2002 (-3.33%), 27 Sep 2002 (-3.42%), 11 Oct 2002 (-2.81%), 07 Nov 2002 (8.29%)
2001410 Jan 2001 (6.63%), 23 Feb 2001 (5.29%), 19 Apr 2001 (13.75%), 31 Dec 2001 (7.79%)
2000209 May 2000 (-8.95%), 04 Aug 2000 (12.34%)
1998325 Jun 1998 (13.3%), 15 Sep 1998 (-5.29%), 12 Nov 1998 (-4.03%)
1997126 Sep 1997 (6.12%)
1996623 Jan 1996 (4.58%), 08 Aug 1996 (-3.66%), 09 Aug 1996 (-4.02%), 27 Aug 1996 (7.34%), 15 Oct 1996 (8.83%), 17 Dec 1996 (-4.01%)
1995423 Mar 1995 (-3.05%), 17 May 1995 (-2.93%), 14 Jul 1995 (6.34%), 18 Sep 1995 (4.6%)



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