Study: Sell PIDILITIND when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell PIDILITIND when there is Dead Cross (50 DMA < 200 DMA)" 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
1-1781.111477502112.195588.82-2366.63-9077.210.890.89-0.0077-127.22
225065.56149564.294365.969580.84-2845.62-7167.981.532.760.0821790.4
322461.87149564.294434.9811310.71-3490.6-4848.541.272.290.0671604.42
424875.13148657.145679.6117987.01-3426.95-8067.361.662.210.061776.79
519818.33148657.145486.419480.52-4012.14-9907.971.371.820.0411415.6
637961.511410471.435753.8118831.17-4894.15-9829.651.182.940.082711.54
750918.45149564.298316.5427922.08-4786.08-9410.011.743.130.0763637.03
839976.33149564.298060.7828474.03-6514.14-9986.291.242.230.062855.45
926408.1149564.299279.2233961.04-11420.98-24476.650.811.460.031886.29
1028545.82148657.149704.222337.66-8181.3-20805.151.191.580.0392038.99
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
PIDILITIND Performance, X=7, Profit Factor:3.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Nov 2018 (-0.0%)
2016119 Dec 2016 (2.27%)
2015126 Oct 2015 (1.89%)
2013126 Sep 2013 (-4.54%)
2011215 Mar 2011 (-4.71%), 19 Dec 2011 (-1.16%)
2008127 Mar 2008 (-1.56%)
2005111 Oct 2005 (2.73%)
2004106 May 2004 (10.57%)
2003110 Apr 2003 (1.47%)
2000127 Apr 2000 (0.82%)
1998106 Aug 1998 (2.28%)
1997113 Nov 1997 (1.45%)
1996125 Sep 1996 (13.96%)

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
atrtrail-17.87287.31551033.3310646.8427602.04-5294.69-10236.242.011.010.0003819.15
atrtrail37.27-11770.721551033.338235.2420282.09-5294.69-10236.241.560.78-0.019-784.71
atrtrail27-16181.91551033.33735313521.4-5294.69-10236.241.390.69-0.031-1078.79
atrnil211.87-80729.651551033.3311798.0416198.29-13971.99-74169.530.840.42-0.053-5381.98
atrnil313.47-105840153122015843.8620282.09-12780.93-74169.531.240.31-0.071-7055.97

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0096%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00038, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Nov 2018 (-2.98%)
2016119 Dec 2016 (1.81%)
2015126 Oct 2015 (-0.56%)
2013126 Sep 2013 (-1.38%)
2011215 Mar 2011 (-3.71%), 19 Dec 2011 (-2.28%)
2008127 Mar 2008 (-5.12%)
2005111 Oct 2005 (-4.55%)
2004206 May 2004 (-2.98%), 07 May 2004 (10.06%)
2003110 Apr 2003 (-2.74%)
2000127 Apr 2000 (0.22%)
1998106 Aug 1998 (0.73%)
1997113 Nov 1997 (-0.16%)
1996125 Sep 1996 (13.8%)



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