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

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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 ADX is Trending" 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
110755.0523121152.172683.667448.28-1949.89-4326.511.381.50.033467.61
221282.0823121152.173480.9812403.75-1862.7-4384.191.872.040.051925.31
311053.523121152.173378.389392.99-2680.64-6183.941.261.370.026480.59
431477.7423131056.526224.4822829.74-4944.05-76951.261.640.0381368.6
583246.5923121152.1712319.5666378.9-5871.65-10276.682.12.290.0483619.42
683343.0323111247.8314799.0556306.95-6620.54-12287.282.242.050.0473623.61
71001892391439.1321587.6856498.8-6721.44-13383.333.212.060.054356.04
891598.623121152.1714820.1247098.32-7840.26-12864.151.892.060.0513982.55
971451.1623111247.8314618.8146139.09-7446.32-11825.661.961.80.0423106.57
1078242.1923101343.4816430.7239232.61-6620.39-14869.672.481.910.053401.83
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=5, Profit Factor:2.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Feb 2019 (1.37%), 03 May 2019 (-2.8%), 20 May 2019 (0.99%)
2018108 Jun 2018 (1.26%)
2017124 May 2017 (6.85%)
2016103 Aug 2016 (-1.57%)
2013123 Jan 2013 (6.55%)
2012121 May 2012 (-3.02%)
2011318 Feb 2011 (-3.67%), 11 Aug 2011 (-4.74%), 15 Nov 2011 (-2.13%)
2010202 Nov 2010 (0.74%), 10 Dec 2010 (-0.67%)
2007131 Dec 2007 (-3.06%)
2006203 Nov 2006 (3.35%), 20 Nov 2006 (33.19%)
2004118 Oct 2004 (-1.65%)
2003310 Feb 2003 (-5.14%), 03 Oct 2003 (8.14%), 06 Nov 2003 (1.71%)
2002304 Mar 2002 (-3.84%), 02 Apr 2002 (7.65%), 27 May 2002 (2.11%)

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
atrnil38.7953174.642481633.3320507.4926292.25-6930.33-10429.692.961.480.0342215.61
atrnil27.1231247.3924101441.6713121.2917528.17-7140.39-10429.691.841.310.0261301.97
atrtrail-16.9618870.3257182815651.6932337.65-5038.42-10270.773.111.210.014754.81
50trail-13.3511701.573152616.1315800.5834599.83-2588.51-3634.126.11.170.0091377.47
atrtrail35.761949.36257182813234.4226292.25-5038.42-10270.772.631.020.001777.97
atrtrail25.36-6020.12258173210051.3217528.17-5084.16-10270.771.980.93-0.0063-240.8
50nil32.48-12074.053162519.3510018.911807.59-2887.5-3784.063.470.83-0.015-389.49
50nil21.97-23266.453172422.586567.57871.72-2884.96-3784.062.280.66-0.038-750.53
50trail32.35-27035.863152616.138053.0911807.59-2588.51-3634.123.110.6-0.041-872.12
50trail21.94-27953.533162519.356380.247871.72-2649.4-3634.122.410.58-0.05-901.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Feb 2019 (8.79%), 03 May 2019 (-2.43%), 20 May 2019 (-2.74%), 22 May 2019 (-2.74%)
2018108 Jun 2018 (-3.11%)
2017124 May 2017 (7.15%)
2016103 Aug 2016 (-2.44%)
2013123 Jan 2013 (8.44%)
2012121 May 2012 (-3.61%)
2011318 Feb 2011 (-4.61%), 11 Aug 2011 (-3.71%), 15 Nov 2011 (-3.23%)
2010302 Nov 2010 (-4.19%), 12 Nov 2010 (-3.52%), 10 Dec 2010 (-4.0%)
2007131 Dec 2007 (-5.21%)
2006103 Nov 2006 (11.46%)
2004118 Oct 2004 (-2.72%)
2003310 Feb 2003 (-2.06%), 03 Oct 2003 (9.84%), 06 Nov 2003 (10.1%)
2002304 Mar 2002 (-5.14%), 02 Apr 2002 (13.15%), 27 May 2002 (13.09%)



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