Study: Buy DRREDDY when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy DRREDDY when near 200 SMA and above 200 SMA and ADX is Trending" 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
118201.8520119553075.9710727.3-1737.09-3582.61.772.160.058910.09
212931.1920119553710.5210275.99-3098.28-6440.721.21.460.031646.56
342797.2920155754275.799153.5-4267.91-6464.1513.010.12139.86
465913.120137656575.1212390.59-2794.78-8154.22.354.370.133295.66
576092.8320146706840.8111301.78-3279.75-5712.662.094.870.143804.64
683883.3820164806640.912785.45-5592.76-9640.711.194.750.154194.17
779905.6520155757147.9615712.57-5462.75-9190.441.313.930.113995.28
810423020155758266.2520342.34-3952.82-8093.122.096.270.145211.48
979950.5220137658951.2421071.86-5202.22-11772.481.723.20.0913997.53
1068843.39201286010344.1120248.98-6910.75-19263.391.52.250.0663442.17
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:6.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 May 2019 (2.43%), 10 Jun 2019 (-2.45%), 01 Jul 2019 (-0.07%)
2018202 Jul 2018 (5.22%), 09 Aug 2018 (10.1%)
2013201 Mar 2013 (3.79%), 22 Mar 2013 (9.1%)
2012208 Jun 2012 (-1.83%), 17 Sep 2012 (-1.49%)
2011109 Feb 2011 (1.24%)
2009106 Apr 2009 (4.23%)
2007104 Dec 2007 (10.17%)
2003428 Jan 2003 (2.88%), 24 Feb 2003 (2.42%), 13 Mar 2003 (2.51%), 11 Apr 2003 (4.69%)
2002123 Dec 2002 (0.75%)
2000104 Sep 2000 (-4.05%)
1996231 Jul 1996 (1.18%), 28 Aug 1996 (1.29%)

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
atrtrail24.5974169.282211115010666.8518700.58-3924.19-8271.932.722.720.0863371.33
atrtrail36.3857997.2221111052.389059.8520481.69-4166.11-8271.932.172.390.0692761.77
atrnil25.3372732.2921111052.3812295.5418700.58-6251.87-8896.311.972.160.0743463.44
atrtrail-17.1438955.7321111052.387328.8116095.01-4166.11-8271.931.761.940.0541855.03
atrnil310.6358567.741971236.8419007.6628050.86-6207.16-8896.313.061.790.053082.51
200trail32.218793.829101934.486695.8911880.27-3061.32-3959.672.191.150.012303.23
200trail-13.663755.5829101934.486192.0714705.72-3061.32-3959.672.021.060.0048129.5
200nil32.412798.942781929.637528.111600.42-3022.41-3959.672.491.050.0043103.66
200trail21.861844.7929111837.935221.227920.18-3088.26-3959.671.691.030.003163.61
200nil21.93745.7128111739.294971.637733.61-3173.07-3959.671.571.010.001326.63

In the table above, row 1 shows the best exit criterion. Profit factor is 2.72. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 1.69%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.086, 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:2.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 May 2019 (2.44%), 10 Jun 2019 (-3.48%), 01 Jul 2019 (-2.74%), 11 Jul 2019 (-2.33%)
2018202 Jul 2018 (5.73%), 09 Aug 2018 (5.74%)
2013201 Mar 2013 (4.52%), 22 Mar 2013 (4.08%)
2012208 Jun 2012 (-2.21%), 17 Sep 2012 (-1.99%)
2011209 Feb 2011 (6.48%), 15 Feb 2011 (-0.75%)
2009106 Apr 2009 (9.35%)
2007104 Dec 2007 (6.83%)
2003428 Jan 2003 (-2.88%), 24 Feb 2003 (-0.21%), 13 Mar 2003 (4.74%), 11 Apr 2003 (6.41%)
2002123 Dec 2002 (-0.06%)
2000104 Sep 2000 (-4.14%)
1996231 Jul 1996 (2.34%), 28 Aug 1996 (-0.79%)



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