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

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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 and RSI is below 50" 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
1-7919.622281436.362725.856046.24-2123.32-82501.280.73-0.023-359.98
2-15571.392271531.822837.425394.19-2362.22-6201.551.20.56-0.047-707.79
3-21482.672281436.363203.977587.43-3365.31-14192.010.950.54-0.044-976.49
4-42393.322261627.273297.048595.14-3885.97-17054.260.850.32-0.072-1926.97
5-35182.872291340.913409.3510788.38-5066.69-15503.880.670.47-0.06-1599.22
6-26739.292291340.914419.3713100.18-5116.43-12939.770.860.6-0.043-1215.42
7-66384.332271531.825630.4810906.94-7053.18-19215.160.80.37-0.081-3017.47
8-67118.492271531.825721.5713396.56-7144.63-18387.450.80.37-0.08-3050.84
9-91310.82271531.827208.4813989.33-9451.34-20568.340.760.36-0.084-4150.49
10-1241342251722.737942.6616597.51-9638.05-26657.650.820.24-0.11-5642.44

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.73. This strategy is not profitable and we advice you not to use it.

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
atrnil25.4-25110.93256192413302.0417297.89-5522.27-8568.892.410.76-0.025-1004.44
nilnil-11-7919.622281436.362725.856046.24-2123.32-82501.280.73-0.023-359.98
atrtrail24.21-37014.462862221.4311097.7116116.65-4709.12-7492.472.360.64-0.039-1321.94
50nil22.23-33444.43993023.086102.137674.4-2945.45-3949.092.070.62-0.045-857.55
atrtrail34.86-40688.12862221.4310485.4424174.97-4709.12-7492.472.230.61-0.039-1453.15
50trail21.88-36303.414193221.955517.57674.4-2686.28-3937.812.050.58-0.051-885.45
50nil33.15-41750.993452914.718789.9210669.83-2955.19-3949.092.970.51-0.059-1227.97
50trail32.22-44956.114173417.076583.7910669.83-2677.72-3937.812.460.51-0.058-1096.49
atrnil38.08-63215.2253221220403.5224174.97-5655.72-8648.943.610.49-0.059-2528.61
50trail-12.78-54588.854163514.636173.5317996.44-2618-3937.812.360.4-0.07-1331.44
atrtrail-14.93-75426.22852317.866154.6315101.26-4617.36-6306.141.330.29-0.12-2693.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 24%, which is not acceptable. Avoid this strategy. Average return per trade is -0.5%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:0.761

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016212 Jan 2016 (-2.03%), 25 Jan 2016 (-2.26%)
2015328 Oct 2015 (-2.08%), 30 Oct 2015 (-2.21%), 04 Nov 2015 (4.66%)
2011121 Mar 2011 (-3.15%)
2008304 Jun 2008 (8.06%), 10 Jun 2008 (8.65%), 27 Aug 2008 (-3.29%)
2004219 Jul 2004 (-3.14%), 12 Aug 2004 (-2.37%)
2003130 Apr 2003 (-2.72%)
2001715 Jan 2001 (7.17%), 04 Jun 2001 (7.69%), 14 Aug 2001 (-2.63%), 18 Sep 2001 (-2.85%), 24 Sep 2001 (-3.67%), 05 Oct 2001 (-3.15%), 24 Oct 2001 (-2.68%)
1998327 Jan 1998 (-2.36%), 10 Feb 1998 (3.68%), 03 Mar 1998 (-2.35%)
1997115 Dec 1997 (-2.48%)
1996225 Mar 1996 (-2.77%), 18 Nov 1996 (-4.28%)



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