Study: Sell PIDILITIND when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell PIDILITIND when below 200 SMA and near 50 SMA and below 50 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
1-32701.3838152339.472226.327696.04-2873.75-14079.90.770.51-0.048-860.56
237512.9238162242.118150.9183349.71-4222.8-20679.381.931.40.014987.18
349396.1338172144.748293.6888621.48-4361.74-38379.021.91.540.0171299.9
4-3213.6938142436.8410078.986460.38-6013.26-57449.341.680.98-0.00097-84.57
51933.5938182047.378754.6286656.84-7782.48-77771.161.121.010.0005250.88
6-30300.6638172144.749269.0483366.08-8946.39-90047.681.040.84-0.0078-797.39
7-74154.2438172144.7410036.2282236.41-11655.71-1116810.860.7-0.017-1951.43
8-69020.1538172144.7410855.7681843.48-12074.67-1182360.90.73-0.015-1816.32
9-10410738182047.3711344.1282039.95-15415.07-1167460.740.66-0.022-2739.67
10-11206338162242.1111379.9181483.3-13370.09-92550.660.850.62-0.027-2949.03
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
50nil22.06-39676.2668185026.476031.517674.4-2964.87-3949.092.030.73-0.029-583.47
50nil32.73-40071.862125019.358984.8710977.03-2957.8-3949.093.040.73-0.027-646.32
50trail32.1-55851.1770135718.577635.9410977.03-2721.37-3937.812.810.64-0.038-797.87
atrtrail24.13-74558.5353153828.38509.2816116.65-5320.99-9525.981.60.63-0.04-1406.76
50trail21.86-58905.1870165422.865608.187674.4-2752.52-3937.812.040.6-0.047-841.5
atrnil25.8-88429.6144103422.7312970.1617297.89-6415.63-10126.572.020.59-0.048-2009.76
atrtrail34.64-86026.9653153828.37744.7224174.97-5320.99-9525.981.460.57-0.044-1623.15
50trail-12.67-82831.0770115915.716789.0617996.44-2669.67-3937.812.540.47-0.059-1183.3
atrtrail-14.74-12366353143926.425795.2118457.57-5251.19-9525.981.10.4-0.082-2333.27
atrnil38.21-1340173943510.2620981.7224426.12-6226.96-10126.573.370.39-0.082-3436.33

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:0.732

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Jan 2016 (-1.3%), 25 Jan 2016 (-1.38%)
2015628 Oct 2015 (-1.44%), 30 Oct 2015 (-1.8%), 04 Nov 2015 (3.36%), 30 Nov 2015 (2.72%), 23 Dec 2015 (-1.61%), 29 Dec 2015 (-1.34%)
2011121 Mar 2011 (-1.9%)
2009102 Apr 2009 (-1.72%)
20081017 Apr 2008 (-1.17%), 04 Jun 2008 (-1.16%), 05 Jun 2008 (2.68%), 10 Jun 2008 (-1.69%), 11 Jun 2008 (-1.09%), 21 Jul 2008 (-1.64%), 30 Jul 2008 (-1.33%), 31 Jul 2008 (-1.89%), 27 Aug 2008 (-1.14%), 28 Aug 2008 (-1.27%)
2006126 Jul 2006 (-1.6%)
2004810 May 2004 (2.23%), 29 Jun 2004 (3.56%), 06 Jul 2004 (3.22%), 19 Jul 2004 (-1.59%), 12 Aug 2004 (-1.06%), 16 Aug 2004 (-1.19%), 17 Aug 2004 (-1.43%), 20 Aug 2004 (-1.01%)
2003130 Apr 2003 (-1.38%)
20011415 Jan 2001 (2.35%), 19 Jan 2001 (3.02%), 14 Feb 2001 (-1.94%), 23 May 2001 (-1.46%), 25 May 2001 (-1.61%), 30 May 2001 (-1.22%), 04 Jun 2001 (3.56%), 19 Jul 2001 (-1.73%), 14 Aug 2001 (-1.38%), 18 Sep 2001 (-1.44%), 24 Sep 2001 (-1.69%), 05 Oct 2001 (3.08%), 24 Oct 2001 (-1.68%), 05 Nov 2001 (-1.04%)
2000229 May 2000 (-1.5%), 30 Nov 2000 (-1.88%)
1998827 Jan 1998 (-1.63%), 10 Feb 1998 (3.54%), 26 Feb 1998 (-1.19%), 03 Mar 1998 (-1.59%), 31 Aug 1998 (2.1%), 08 Sep 1998 (-1.4%), 10 Sep 1998 (2.31%), 16 Sep 1998 (-1.31%)
1997205 Dec 1997 (3.39%), 15 Dec 1997 (-1.97%)
19961225 Mar 1996 (-1.25%), 23 Oct 1996 (3.63%), 01 Nov 1996 (3.66%), 08 Nov 1996 (-1.37%), 18 Nov 1996 (-1.97%), 19 Nov 1996 (2.04%), 26 Nov 1996 (3.84%), 02 Dec 1996 (-1.77%), 06 Dec 1996 (-1.66%), 12 Dec 1996 (-1.81%), 16 Dec 1996 (-1.15%), 19 Dec 1996 (-1.35%)



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