Study: Sell DRREDDY when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell DRREDDY when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
12921.7435152042.863842.159564.2-2735.53-7842.411.41.050.004183.48
224539.6635181751.435710.7826164.44-4603.19-11324.11.241.310.019701.13
324895.6635201557.145569.2915456.98-5766.01-15249.660.971.290.02711.3
410854.1835201557.145425.6116906.52-6510.54-17751.880.831.110.0085310.12
5-4880.8735181751.435942.6614950.03-6579.33-15249.660.90.96-0.0037-139.45
623190.5135171848.577002.1719181.73-5324.8-15366.191.321.240.017662.59
74114.8735161945.717786.0926374.88-6340.13-13938.031.231.030.0026117.57
8-20096.4735152042.867752.3933644.15-6819.12-29018.841.140.85-0.011-574.18
97063.9535161945.718478.433568.03-6767.92-24614.631.251.050.0039201.83
109711.513514214010343.7739961.94-6433.39-21923.171.611.070.005277.47
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
200trail-13.0417999.1855134223.649763.3946049.48-2593.45-3985.753.761.170.0087327.26
atrtrail23.9314421.3645133228.8911805.838171.59-4345.44-9980.472.721.10.0072320.47
200trail32.23-2727.65561442257608.0911461.66-2600.97-3985.752.930.98-0.0021-48.71
atrnil26.9-7618.539112828.2115140.3838171.59-6220.1-9980.472.430.96-0.0038-195.35
200nil32.42-15128.3353124122.648443.0411461.66-2840.12-3994.112.970.87-0.012-285.44
atrtrail-14.78-27144.645133228.898608.4245169.22-4345.44-9980.471.980.8-0.014-603.21
200trail22-23925.857154226.325687.687641.1-2600.97-3985.752.190.78-0.023-419.75
200nil22.11-24295.0354153927.785687.687641.1-2810.52-3994.112.020.78-0.023-449.91
atrtrail34.33-43297.3845133228.897365.920298.14-4345.44-9980.471.70.69-0.03-962.16
atrnil310.05-1024463863215.7918360.0720298.14-6643.94-19085.82.760.52-0.058-2695.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.17. 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 23.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.16%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0087, 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:1.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Jun 2019 (1.86%)
2016606 Oct 2016 (-0.24%), 20 Oct 2016 (-1.68%), 24 Oct 2016 (-1.33%), 04 Nov 2016 (-1.99%), 07 Nov 2016 (-1.15%), 22 Nov 2016 (-1.17%)
2015116 Jun 2015 (-1.62%)
2014115 May 2014 (5.67%)
2012511 Jun 2012 (2.62%), 23 Jul 2012 (-1.29%), 21 Sep 2012 (-0.74%), 01 Oct 2012 (-1.9%), 26 Oct 2012 (-1.05%)
2011716 Feb 2011 (-1.91%), 25 Feb 2011 (-1.5%), 15 Mar 2011 (-1.58%), 24 Mar 2011 (-1.71%), 25 Mar 2011 (-1.34%), 18 May 2011 (-1.01%), 01 Dec 2011 (-1.76%)
2008122 Jul 2008 (-1.16%)
2007111 May 2007 (2.44%)
2005206 Jan 2005 (-1.09%), 10 Jan 2005 (8.2%)
2003421 Feb 2003 (-1.1%), 19 Mar 2003 (-1.21%), 13 May 2003 (-1.44%), 15 May 2003 (0.74%)
2002124 May 2002 (1.83%)
20011125 Jan 2001 (-0.84%), 31 Jan 2001 (-0.9%), 05 Feb 2001 (-1.84%), 08 Feb 2001 (-1.13%), 13 Feb 2001 (-1.26%), 16 Feb 2001 (-1.19%), 23 Feb 2001 (-1.56%), 05 Mar 2001 (-1.24%), 12 Mar 2001 (1.27%), 15 Mar 2001 (-1.23%), 20 Mar 2001 (5.99%)
2000627 Apr 2000 (-1.19%), 20 Nov 2000 (-1.1%), 22 Nov 2000 (-1.6%), 08 Dec 2000 (-1.04%), 20 Dec 2000 (-1.32%), 21 Dec 2000 (4.38%)
1998123 Nov 1998 (-1.26%)
1997227 May 1997 (-1.29%), 29 May 1997 (-1.03%)
1996414 Aug 1996 (4.77%), 29 Aug 1996 (-1.17%), 11 Sep 1996 (-1.33%), 18 Sep 1996 (23.02%)
1995122 Nov 1995 (0.66%)



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