Study: Buy PIDILITIND when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy PIDILITIND when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
122387.321004654462833.3513782.51-1999.02-8199.051.421.210.014223.87
256685.41100505050401822164.57-2884.3-11690.181.391.390.023566.85
332276.111005050504383.528169.01-3737.98-100001.171.170.012322.76
469490.661005446545578.5123498.89-5038.01-16029.411.111.30.02694.91
51268461005248527969.3266378.9-5990.81-20521.331.331.440.0241268.46
619132710049514910161.356306.95-6011.3-28900.991.691.620.0331913.27
726442810049514912193.956498.8-6530.85-24117.651.871.790.0422644.28
828548599495049.4912091.1347098.32-6139.6-23382.351.971.930.0482883.69
933001599534653.5412147.5348045.18-6821.83-25205.881.782.050.0523333.49
1035725999514851.5213278.8551172.89-6665.88-24644.551.992.120.0553608.68
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
PIDILITIND Performance, X=10, Profit Factor:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019904 Jan 2019 (3.9%), 12 Feb 2019 (-0.81%), 26 Feb 2019 (4.42%), 03 May 2019 (-3.27%), 20 May 2019 (6.47%), 14 Jun 2019 (-2.38%), 04 Jul 2019 (0.08%), 18 Jul 2019 (-1.34%), 10 Oct 2019 (-1.48%)
2018530 Jan 2018 (1.0%), 14 Feb 2018 (0.68%), 28 Feb 2018 (0.95%), 08 Jun 2018 (-1.84%), 11 Sep 2018 (-5.14%)
2017524 May 2017 (11.17%), 19 Jul 2017 (0.26%), 03 Aug 2017 (1.82%), 21 Aug 2017 (3.14%), 09 Nov 2017 (3.8%)
2016631 Mar 2016 (6.19%), 22 Apr 2016 (-0.9%), 11 May 2016 (13.31%), 03 Aug 2016 (-1.33%), 06 Sep 2016 (-1.61%), 20 Oct 2016 (-3.67%)
2015707 Apr 2015 (-0.92%), 12 May 2015 (-6.87%), 26 Jun 2015 (-3.18%), 03 Aug 2015 (5.19%), 10 Sep 2015 (-2.2%), 30 Sep 2015 (2.09%), 23 Oct 2015 (-5.38%)
2014510 Mar 2014 (1.1%), 15 May 2014 (1.43%), 23 Jun 2014 (5.32%), 10 Oct 2014 (5.05%), 07 Nov 2014 (10.24%)
2013423 Jan 2013 (9.55%), 10 Apr 2013 (-0.62%), 13 Jun 2013 (-1.48%), 30 Dec 2013 (-0.49%)
2012621 May 2012 (-1.94%), 05 Jul 2012 (-5.23%), 27 Jul 2012 (5.8%), 22 Oct 2012 (-4.15%), 07 Nov 2012 (2.39%), 26 Nov 2012 (4.75%)
2011605 Jan 2011 (-2.63%), 18 Feb 2011 (-4.79%), 26 May 2011 (7.25%), 11 Aug 2011 (-7.43%), 29 Sep 2011 (-4.26%), 15 Nov 2011 (-6.43%)
2010623 Feb 2010 (15.18%), 20 May 2010 (-3.49%), 15 Jun 2010 (12.52%), 13 Oct 2010 (-3.7%), 02 Nov 2010 (-1.86%), 10 Dec 2010 (-4.04%)
2009206 Jul 2009 (3.65%), 20 Jul 2009 (25.59%)
2007624 Jan 2007 (-0.21%), 10 Apr 2007 (2.25%), 27 Apr 2007 (1.57%), 23 Aug 2007 (6.34%), 17 Sep 2007 (13.1%), 31 Dec 2007 (-3.7%)
2006203 Nov 2006 (0.0%), 20 Nov 2006 (19.62%)
2005206 Apr 2005 (-0.98%), 05 May 2005 (8.01%)
2004522 Jan 2004 (-10.99%), 16 Feb 2004 (-1.14%), 19 Apr 2004 (-5.17%), 07 May 2004 (-7.24%), 18 Oct 2004 (-2.13%)
2003510 Feb 2003 (-4.26%), 15 Apr 2003 (-2.42%), 03 Oct 2003 (5.74%), 06 Nov 2003 (1.29%), 20 Nov 2003 (5.83%)
20021302 Jan 2002 (-2.28%), 13 Feb 2002 (10.12%), 04 Mar 2002 (7.85%), 02 Apr 2002 (14.25%), 27 May 2002 (1.8%), 24 Jun 2002 (17.58%), 30 Jul 2002 (9.42%), 03 Sep 2002 (-0.16%), 23 Sep 2002 (-1.5%), 31 Oct 2002 (2.42%), 28 Nov 2002 (0.6%), 12 Dec 2002 (1.22%), 31 Dec 2002 (11.03%)
1999101 Jun 1999 (7.44%)
1998101 Jun 1998 (-12.32%)
1997203 Apr 1997 (-6.42%), 16 Jul 1997 (16.86%)
1996126 Jun 1996 (-4.21%)

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
50trail-13.941467701534311028.110247.5534599.83-2671.59-3978.963.841.50.025959.28
atrnil39.0716168291296231.8719721.4432255.75-6616.77-10873.012.981.390.0281776.73
atrtrail35.46144224123398431.7114061.9232255.75-4811.79-10873.012.921.360.0241172.55
atrtrail-16.65141477123398431.7113991.4838152.49-4811.79-10873.012.911.350.0221150.22
50nil33.0864889.791423910327.469465.2611833.84-2953.93-3981.373.21.210.017456.97
atrnil26.6271162.3510037633712919.521503.83-6458.08-10873.0121.170.015711.62
50trail32.6640656.361544411028.577627.4711833.84-2681.38-3978.962.841.140.011264
atrtrail24.8245279.9123408332.5211130.2521503.83-4818.43-10873.012.311.110.0091368.13
50nil22.61-7146.851474610131.296319.447889.22-2948.92-3981.372.140.98-0.0023-48.62
50trail22.33-14628.651564910731.415595.017889.22-2698.92-3978.962.070.95-0.0047-93.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 28.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
PIDILITIND Performance, Profit Factor:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191404 Jan 2019 (2.98%), 12 Feb 2019 (-1.26%), 26 Feb 2019 (0.21%), 08 Mar 2019 (12.71%), 03 May 2019 (-1.71%), 20 May 2019 (-1.8%), 22 May 2019 (-1.15%), 14 Jun 2019 (-1.57%), 25 Jun 2019 (-1.14%), 04 Jul 2019 (-1.25%), 17 Jul 2019 (-1.61%), 24 Jul 2019 (-1.44%), 10 Oct 2019 (-0.83%), 05 Nov 2019 (-1.85%)
20181030 Jan 2018 (-1.4%), 12 Feb 2018 (-1.5%), 19 Feb 2018 (-1.32%), 23 Feb 2018 (-1.71%), 28 Feb 2018 (-1.56%), 13 Mar 2018 (0.01%), 08 Jun 2018 (-1.28%), 13 Jun 2018 (-1.47%), 11 Sep 2018 (-1.47%), 18 Sep 2018 (-1.18%)
2017724 May 2017 (11.96%), 19 Jul 2017 (0.63%), 03 Aug 2017 (-1.21%), 08 Aug 2017 (-1.48%), 14 Aug 2017 (-0.97%), 21 Aug 2017 (2.61%), 09 Nov 2017 (2.14%)
20161231 Mar 2016 (3.82%), 22 Apr 2016 (-1.13%), 25 Apr 2016 (-0.88%), 02 May 2016 (-1.65%), 11 May 2016 (16.94%), 03 Aug 2016 (-0.1%), 06 Sep 2016 (-1.51%), 15 Sep 2016 (-1.01%), 20 Oct 2016 (-1.44%), 26 Oct 2016 (-1.05%), 27 Oct 2016 (0.82%), 01 Nov 2016 (-1.37%)
20151007 Apr 2015 (-1.52%), 20 Apr 2015 (-1.4%), 12 May 2015 (-1.46%), 26 Jun 2015 (-1.58%), 03 Aug 2015 (6.05%), 10 Sep 2015 (-1.5%), 30 Sep 2015 (0.25%), 23 Oct 2015 (-1.32%), 29 Oct 2015 (-1.52%), 03 Nov 2015 (-1.66%)
2014909 Jan 2014 (-1.82%), 10 Mar 2014 (-1.08%), 14 Mar 2014 (1.62%), 15 May 2014 (-1.0%), 23 Jun 2014 (4.03%), 10 Oct 2014 (-1.48%), 17 Oct 2014 (4.67%), 07 Nov 2014 (0.55%), 13 Nov 2014 (5.26%)
2013623 Jan 2013 (-1.01%), 29 Jan 2013 (10.07%), 10 Apr 2013 (-1.03%), 13 Jun 2013 (1.87%), 20 Jun 2013 (-1.53%), 30 Dec 2013 (-1.53%)
2012921 May 2012 (-1.49%), 23 May 2012 (-1.02%), 05 Jul 2012 (-1.99%), 27 Jul 2012 (5.96%), 22 Oct 2012 (-1.92%), 07 Nov 2012 (-1.61%), 16 Nov 2012 (-1.35%), 20 Nov 2012 (-1.46%), 26 Nov 2012 (4.41%)
2011805 Jan 2011 (-1.63%), 18 Feb 2011 (-1.65%), 26 May 2011 (-1.71%), 30 May 2011 (-1.88%), 31 May 2011 (6.59%), 11 Aug 2011 (-1.75%), 29 Sep 2011 (-1.55%), 15 Nov 2011 (-1.13%)
20101423 Feb 2010 (17.17%), 20 May 2010 (-1.48%), 15 Jun 2010 (-1.78%), 13 Oct 2010 (-1.0%), 18 Oct 2010 (0.86%), 21 Oct 2010 (-1.15%), 02 Nov 2010 (-0.87%), 08 Nov 2010 (-1.45%), 09 Nov 2010 (-1.51%), 12 Nov 2010 (-1.03%), 15 Nov 2010 (-1.35%), 10 Dec 2010 (-0.53%), 20 Dec 2010 (-1.15%), 21 Dec 2010 (-1.2%)
2009206 Jul 2009 (-1.65%), 20 Jul 2009 (-1.75%)
20071024 Jan 2007 (-1.59%), 25 Jan 2007 (-1.29%), 10 Apr 2007 (-1.43%), 18 Apr 2007 (2.44%), 27 Apr 2007 (-1.66%), 30 Apr 2007 (-0.7%), 11 May 2007 (7.18%), 23 Aug 2007 (9.71%), 17 Sep 2007 (5.78%), 31 Dec 2007 (-1.82%)
2006203 Nov 2006 (2.41%), 20 Nov 2006 (-1.24%)
2005206 Apr 2005 (-1.4%), 05 May 2005 (8.27%)
2004522 Jan 2004 (-1.02%), 16 Feb 2004 (-1.0%), 19 Apr 2004 (-1.12%), 07 May 2004 (-1.66%), 18 Oct 2004 (-1.81%)
2003810 Feb 2003 (-1.47%), 15 Apr 2003 (-0.45%), 03 Oct 2003 (7.62%), 06 Nov 2003 (-1.31%), 07 Nov 2003 (0.14%), 15 Nov 2003 (-1.12%), 17 Nov 2003 (-1.58%), 21 Nov 2003 (10.51%)
20021902 Jan 2002 (-1.51%), 04 Jan 2002 (-1.51%), 13 Feb 2002 (3.41%), 04 Mar 2002 (-1.39%), 02 Apr 2002 (-1.03%), 03 Apr 2002 (-1.0%), 04 Apr 2002 (17.3%), 27 May 2002 (-1.06%), 29 May 2002 (-1.72%), 03 Jun 2002 (-0.8%), 24 Jun 2002 (0.5%), 30 Jul 2002 (0.24%), 03 Sep 2002 (-0.87%), 23 Sep 2002 (-1.18%), 31 Oct 2002 (1.97%), 28 Nov 2002 (0.82%), 12 Dec 2002 (0.12%), 19 Dec 2002 (-0.01%), 31 Dec 2002 (9.55%)
1999201 Jun 1999 (-1.77%), 02 Jun 1999 (-1.03%)
1998101 Jun 1998 (-1.83%)
1997203 Apr 1997 (-1.03%), 16 Jul 1997 (8.19%)
1996126 Jun 1996 (-0.74%)



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