Study: Sell PIDILITIND when near 200 SMA and below 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell PIDILITIND 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
153162.2644242054.553748.5713965.82-1840.17-7534.752.042.440.0621208.23
242441.7744261859.094454.3917855.04-4076.24-17117.781.091.580.032964.59
320637.344242054.555744.6420388.92-5861.7-16491.990.981.180.013469.03
476650.8644251956.827242.7830347.67-5495.72-18614.461.321.730.0391742.06
564718.5444232152.279582.6727637.01-7413.47-24295.141.291.420.0271470.88
654076.0944232152.279286.9821421.74-7596.4-18776.241.221.340.0241229
741993.8344242054.559057.0118770.95-8768.72-22585.641.031.240.019954.41
885254.5244251956.829469.1320210.39-7972.31-23116.021.191.560.0371937.6
9-17131.4844202445.459441.6620401.66-8581.86-23861.311.10.92-0.0074-389.35
10-26880.944192543.189945.8123525.66-8634.05-27512.811.150.88-0.011-610.93

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.44. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
PIDILITIND Performance, X=1, Profit Factor:2.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017306 Feb 2017 (-0.27%), 03 Mar 2017 (-0.47%), 07 Nov 2017 (-1.34%)
2016308 Jan 2016 (0.95%), 28 Jan 2016 (-1.7%), 11 Nov 2016 (6.43%)
2015308 Sep 2015 (-0.86%), 29 Sep 2015 (-2.08%), 28 Oct 2015 (-0.93%)
2013219 Sep 2013 (-0.2%), 17 Oct 2013 (-0.28%)
2012109 Mar 2012 (-0.96%)
2011531 Jan 2011 (0.15%), 14 Feb 2011 (-3.77%), 28 Feb 2011 (-0.55%), 23 Mar 2011 (-0.54%), 02 Dec 2011 (1.28%)
2008122 Feb 2008 (1.36%)
2004519 Mar 2004 (2.72%), 21 Apr 2004 (-0.44%), 10 May 2004 (3.85%), 30 Aug 2004 (1.38%), 27 Oct 2004 (0.86%)
2003313 Mar 2003 (3.79%), 22 Apr 2003 (0.44%), 08 May 2003 (0.69%)
2002217 Jan 2002 (0.82%), 11 Mar 2002 (2.4%)
2001113 Nov 2001 (-1.41%)
2000106 Mar 2000 (1.38%)
1998502 Jan 1998 (-0.46%), 20 Jan 1998 (-0.0%), 04 Mar 1998 (0.69%), 17 Jun 1998 (1.1%), 16 Jul 1998 (0.56%)
1997502 Jan 1997 (1.85%), 29 Jan 1997 (0.09%), 11 Apr 1997 (-0.97%), 29 Apr 1997 (-0.37%), 21 Oct 1997 (1.36%)
1996422 Feb 1996 (-0.83%), 28 Mar 1996 (0.58%), 09 Aug 1996 (3.27%), 29 Oct 1996 (6.98%)

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
nilnil-1153162.2644242054.553748.5713965.82-1840.17-7534.752.042.440.0621208.23
atrtrail34.8868331.752203238.4610045.0227704.77-4142.77-8442.532.421.520.031314.07
atrtrail24.3863000.8352203238.469778.4830870.97-4142.77-8442.532.361.480.031211.55
atrnil26.1158455.5346172936.9613814.1230870.97-6082.22-9516.22.271.330.0251270.77
atrtrail-15.5741538.2951193237.259163.5325539.41-4142.77-8442.532.211.310.02814.48
atrnil312.4352517.74411332522617.9846306.46-5947.88-9516.23.81.270.0181193.58
200trail-12.9826003.4265194629.237804.4723830.29-2658.29-3998.322.941.210.013400.05
200trail32.2822322.1267214631.346881.6711935.63-2656.37-3998.322.591.180.014333.17
200nil32.67-3640.2163164725.48601.6711935.63-3005.68-3998.322.860.97-0.0023-57.78
200trail21.96-9574.2469234633.335110.527957.08-2763.4-3998.321.850.92-0.0072-138.76
200nil22.17-12662.365214432.315777.847957.08-3045.38-3998.321.90.91-0.0095-194.8

In the table above, row 1 shows the best exit criterion. Profit factor is 2.44. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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