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

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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 and RSI is above 50" 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
117733.1658302851.722674.9713782.51-2232.71-6147.631.21.280.018305.74
227952.8458283048.284104.2816473.99-2898.9-9452.11.421.320.021481.95
327274.7958273146.555056.0714830.2-3523.84-9712.761.431.250.017470.26
463988.2582929507153.3334007.41-4946.84-12215.081.451.450.0281103.24
598411.07582929508495.6741298.78-5102.19-18359.51.671.670.0361696.74
617556458322655.1710136.0940139.01-5722.71-28900.991.772.180.0543026.97
720480258322655.171117937793.22-5881.75-21659.721.92.340.0633531.08
822494558342458.6210890.7538401.39-6055.84-15732.141.82.550.0713878.37
925978458342458.6212354.1448045.18-6677.37-18487.661.852.620.0714479.03
1030084958342458.6213710.1751172.89-6887.36-14482.541.992.820.0775187.05
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:2.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019612 Feb 2019 (-0.81%), 26 Feb 2019 (4.42%), 20 May 2019 (6.47%), 19 Jun 2019 (-1.96%), 17 Jul 2019 (0.92%), 31 Jul 2019 (10.39%)
2018212 Feb 2018 (-0.97%), 28 Feb 2018 (0.95%)
2017303 Aug 2017 (1.82%), 21 Aug 2017 (3.14%), 09 Nov 2017 (3.8%)
2016407 Apr 2016 (2.07%), 29 Apr 2016 (0.66%), 06 Sep 2016 (-1.61%), 20 Oct 2016 (-3.67%)
2015512 May 2015 (-6.87%), 26 Jun 2015 (-3.18%), 03 Aug 2015 (5.19%), 10 Sep 2015 (-2.2%), 30 Sep 2015 (2.09%)
2014409 Jan 2014 (-3.0%), 20 Mar 2014 (9.32%), 23 Jun 2014 (5.32%), 13 Nov 2014 (7.69%)
2012405 Jul 2012 (-5.23%), 27 Jul 2012 (5.8%), 07 Nov 2012 (2.39%), 26 Nov 2012 (4.75%)
2011405 Jan 2011 (-2.63%), 18 Feb 2011 (-4.79%), 29 Sep 2011 (-4.26%), 15 Nov 2011 (-6.43%)
2010423 Feb 2010 (15.18%), 15 Jun 2010 (12.52%), 02 Nov 2010 (-1.86%), 10 Dec 2010 (-4.04%)
2009120 Jul 2009 (25.59%)
2007310 Apr 2007 (2.25%), 04 May 2007 (1.08%), 31 Dec 2007 (-3.7%)
2005105 May 2005 (8.01%)
2004316 Feb 2004 (-1.14%), 19 Apr 2004 (-5.17%), 07 May 2004 (-7.24%)
2003315 Apr 2003 (-2.42%), 06 Nov 2003 (1.29%), 20 Nov 2003 (5.83%)
2002904 Jan 2002 (-5.88%), 13 Feb 2002 (10.12%), 04 Apr 2002 (15.81%), 03 Jun 2002 (2.87%), 24 Jun 2002 (17.58%), 05 Sep 2002 (-2.07%), 23 Sep 2002 (-1.5%), 31 Oct 2002 (2.42%), 31 Dec 2002 (11.03%)
1999101 Jun 1999 (7.44%)
1997116 Jul 1997 (16.86%)

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-14.4813866879255431.6511560.6934599.83-2784.25-3978.964.151.920.041755.29
atrtrail-16.7715227370244634.2914918.538152.49-4473.29-10656.863.341.740.0392175.32
atrnil38.6215736255203536.3618731.9132255.75-6207.89-10656.863.021.720.0472861.13
atrtrail35.4111816470244634.2913497.3132255.75-4473.29-10656.863.021.570.0341688.06
50nil33.3950615.7276235330.269267.4911833.84-3066.73-3981.373.021.310.024666
50trail32.9445481.6480255531.257932.1611833.84-2778.59-3978.962.851.30.022568.52
atrnil26.5963904.0958233539.6612174.3521503.83-6174.46-10656.861.971.30.0241101.79
atrtrail24.7641446.6970244634.2910300.7521503.83-4473.29-10656.862.31.20.016592.1
50nil22.7317994.7879285135.446217.727889.22-3060.81-3981.372.031.120.01227.78
50trail22.519424.2182285434.155756.447889.22-2810.3-3978.962.051.060.0055114.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.92. 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 31.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019812 Feb 2019 (-1.26%), 26 Feb 2019 (0.21%), 08 Mar 2019 (12.71%), 20 May 2019 (-1.8%), 22 May 2019 (-1.15%), 19 Jun 2019 (-1.79%), 17 Jul 2019 (-1.61%), 24 Jul 2019 (-1.44%)
2018512 Feb 2018 (-1.5%), 19 Feb 2018 (-1.32%), 23 Feb 2018 (-1.71%), 28 Feb 2018 (-1.56%), 13 Mar 2018 (0.01%)
2017503 Aug 2017 (-1.21%), 08 Aug 2017 (-1.48%), 14 Aug 2017 (-0.97%), 21 Aug 2017 (2.61%), 09 Nov 2017 (2.14%)
2016707 Apr 2016 (3.08%), 25 Apr 2016 (-0.88%), 02 May 2016 (-1.65%), 11 May 2016 (16.94%), 06 Sep 2016 (-1.51%), 15 Sep 2016 (-1.01%), 20 Oct 2016 (-1.44%)
2015512 May 2015 (-1.46%), 26 Jun 2015 (-1.58%), 03 Aug 2015 (6.05%), 10 Sep 2015 (-1.5%), 30 Sep 2015 (0.25%)
2014409 Jan 2014 (-1.82%), 20 Mar 2014 (1.42%), 23 Jun 2014 (4.03%), 13 Nov 2014 (5.26%)
2012605 Jul 2012 (-1.99%), 27 Jul 2012 (5.96%), 07 Nov 2012 (-1.61%), 16 Nov 2012 (-1.35%), 20 Nov 2012 (-1.46%), 26 Nov 2012 (4.41%)
2011405 Jan 2011 (-1.63%), 18 Feb 2011 (-1.65%), 29 Sep 2011 (-1.55%), 15 Nov 2011 (-1.13%)
2010823 Feb 2010 (17.17%), 15 Jun 2010 (-1.78%), 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%)
2009120 Jul 2009 (-1.75%)
2007410 Apr 2007 (-1.43%), 18 Apr 2007 (2.44%), 04 May 2007 (-1.21%), 31 Dec 2007 (-1.82%)
2005105 May 2005 (8.27%)
2004316 Feb 2004 (-1.0%), 19 Apr 2004 (-1.12%), 07 May 2004 (-1.66%)
2003615 Apr 2003 (-0.45%), 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%)
2002904 Jan 2002 (-1.51%), 13 Feb 2002 (3.41%), 04 Apr 2002 (17.3%), 03 Jun 2002 (-0.8%), 24 Jun 2002 (0.5%), 05 Sep 2002 (-1.91%), 23 Sep 2002 (-1.18%), 31 Oct 2002 (1.97%), 31 Dec 2002 (9.55%)
1999201 Jun 1999 (-1.77%), 02 Jun 1999 (-1.03%)
1997116 Jul 1997 (8.19%)



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