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

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In this study, we evaluate the performance of strategy "Buy PIDILITIND when near 200 SMA and above 200 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
14527.1345212446.673121.7711596.64-2542.91-8779.931.231.070.0054100.6
2-30812.1445232251.112594.687549.54-4113.17-14573.320.630.66-0.031-684.71
320951.445212446.675174.1116645.57-3654.37-12515.021.421.240.017465.59
411531.2545202544.446788.7521739.13-4969.75-15190.381.371.090.0069256.25
59784.5845242153.336772.9423545.15-7274.57-18359.50.931.060.0049217.44
64660.7645232251.118016.725852.84-8169.25-28900.990.981.030.002103.57
743259.4545242153.338758.8723110.37-7950.16-22567.611.11.260.018961.32
862005.4945252055.568690.9825495.56-7763.45-25116.571.121.40.0261377.9
979949.345242153.339752.4934859.88-7338.59-20881.761.331.520.0321776.65
1011900445252055.5610563.1432535.89-7253.7-19879.761.461.820.0472644.54
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil26.9610099746202643.4813504.3932762.34-6503.49-14193.122.081.60.0422195.58
atrnil310.1210205242152735.7118983.136938.63-6766.48-16381.172.811.560.0382429.8
atrtrail24.4171905.9659233638.9810599.3132762.34-4774.39-13690.282.221.420.0271218.75
atrtrail35.2954229.1259223737.2910350.6724810.62-4688.8-13690.282.211.310.021919.14
atrtrail-16.1738054.8659213835.5910120.3132709.13-4591.36-13690.282.21.220.015645
200nil32.653260.5874195525.688686.3511475.32-2941.46-3994.722.951.020.001744.06
200trail-13.5-404.5576175922.378747.8322710.23-2527.42-3994.723.461-0.00018-5.32
200trail21.93-4923.4181255630.865711.097650.21-2637.51-3994.722.170.97-0.0031-60.78
200nil22-10318.6480265432.55753.157650.21-2961.12-3994.721.940.94-0.0063-128.98
200trail32.42-10581.2276185823.687634.3111475.32-2551.7-3994.722.990.93-0.0062-139.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 43.48%, which is not acceptable. Avoid this strategy. Average return per trade is 1.1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Feb 2019 (-2.82%)
2018105 Nov 2018 (8.21%)
2017531 Jan 2017 (4.91%), 27 Feb 2017 (-2.2%), 09 Mar 2017 (4.07%), 27 Mar 2017 (3.87%), 02 Nov 2017 (4.23%)
2016305 Jan 2016 (-1.93%), 27 Jan 2016 (4.59%), 10 Nov 2016 (-3.02%)
2015224 Aug 2015 (-3.15%), 26 Aug 2015 (-3.72%)
2014106 Feb 2014 (4.74%)
2013216 Aug 2013 (-3.45%), 27 Sep 2013 (6.11%)
2012412 Mar 2012 (-2.95%), 23 Mar 2012 (5.0%), 19 Jun 2012 (7.37%), 23 Jul 2012 (6.0%)
2011203 Mar 2011 (-4.24%), 25 Oct 2011 (-2.91%)
2008212 Feb 2008 (16.38%), 26 Feb 2008 (-7.1%)
2006101 Aug 2006 (8.27%)
2004703 Feb 2004 (12.31%), 16 Mar 2004 (-3.67%), 02 Apr 2004 (-3.87%), 07 May 2004 (-3.38%), 20 Oct 2004 (5.48%), 25 Oct 2004 (-3.25%), 01 Nov 2004 (6.99%)
2003327 Feb 2003 (-2.49%), 15 Apr 2003 (-3.15%), 05 May 2003 (5.22%)
2002121 Jan 2002 (7.12%)
2001315 Nov 2001 (-3.39%), 22 Nov 2001 (8.44%), 26 Dec 2001 (-4.37%)
1998205 Jan 1998 (-2.02%), 02 Mar 1998 (-2.08%)
1997516 Jan 1997 (-3.56%), 07 Feb 1997 (5.73%), 12 Apr 1997 (-3.25%), 21 Apr 1997 (-3.51%), 20 Oct 1997 (-2.56%)
1996101 Mar 1996 (-2.52%)



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