Study: Buy PIDILITIND when below 200 SMA

home > technical-strategy > pidilitind > 57

In this study, we evaluate the performance of strategy "Buy PIDILITIND when below 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
167420.7557352261.45365.4139839.03-5471.3-37749.360.981.560.0271182.82
217162757302752.639685.442454.73-4404.99-18618.932.22.440.0593011.01
318347057292850.8810316.2340241.45-4132.17-11017.82.52.590.0623218.77
412061557273047.3711152.5445003.35-6016.78-18414.321.851.670.0362116.05
513200657302752.6310776.7443527.83-7085.06-21942.351.521.690.0392315.89
619761657332457.8911670.2943072.88-7812.66-23263.111.492.050.0553466.94
766904.4357322556.1411317.0349376.23-11809.63-72767.860.961.230.0131173.76
845227.9957312654.3912858.9150032.83-13592.24-78517.860.951.130.0084793.47
95239.8357282949.1213178.2944399.73-12543.18-76160.711.051.010.00191.93
1016421.857312654.3911948.1640174.38-13614.27-763750.881.050.0032288.1

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.59. 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 50.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.61%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.062, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
PIDILITIND Performance, X=3, Profit Factor:2.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Feb 2019 (-0.54%)
2018103 Oct 2018 (-2.31%)
2017107 Nov 2017 (8.25%)
2016215 Nov 2016 (-0.36%), 21 Dec 2016 (-2.61%)
2015205 Nov 2015 (-2.98%), 11 Dec 2015 (3.36%)
2013119 Aug 2013 (-3.98%)
2012127 Jan 2012 (-1.94%)
2011331 Jan 2011 (-4.03%), 24 Nov 2011 (-0.81%), 09 Dec 2011 (-2.82%)
2009223 Jan 2009 (2.06%), 19 Feb 2009 (-2.46%)
2008822 Jan 2008 (20.12%), 04 Mar 2008 (-5.51%), 24 Mar 2008 (6.32%), 12 May 2008 (4.26%), 27 Jun 2008 (-1.82%), 11 Sep 2008 (-1.13%), 29 Sep 2008 (0.39%), 23 Oct 2008 (-4.91%)
2006114 Jun 2006 (13.39%)
2005320 Sep 2005 (17.62%), 13 Oct 2005 (0.68%), 27 Oct 2005 (5.19%)
2004318 Mar 2004 (-0.3%), 14 May 2004 (1.45%), 29 Oct 2004 (2.52%)
2003203 Mar 2003 (-0.49%), 26 Mar 2003 (4.72%)
2002112 Mar 2002 (1.41%)
2001629 Jan 2001 (1.87%), 26 Feb 2001 (11.5%), 14 Mar 2001 (-2.15%), 12 Jun 2001 (-0.48%), 17 Sep 2001 (4.69%), 21 Dec 2001 (0.77%)
2000806 Mar 2000 (-0.18%), 02 May 2000 (5.5%), 22 May 2000 (0.0%), 10 Jul 2000 (14.36%), 01 Aug 2000 (-1.83%), 21 Aug 2000 (-0.36%), 12 Sep 2000 (1.35%), 11 Oct 2000 (2.1%)
1998312 Jan 1998 (4.01%), 16 Jun 1998 (-5.4%), 27 Jul 1998 (4.81%)
1997427 Jun 1997 (0.43%), 09 Oct 1997 (-1.71%), 28 Oct 1997 (-0.24%), 12 Nov 1997 (0.26%)
1996419 Mar 1996 (4.9%), 09 Aug 1996 (-1.53%), 17 Sep 1996 (1.27%), 03 Oct 1996 (-4.98%)

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
atrnil327.4970982869254436.2343211.93570160-8419.79-24998.015.132.920.0310287.36
nilnil-1318347057292850.8810316.2340241.45-4132.17-11017.82.52.590.0623218.77
atrnil220.7840843273284538.3627688.68380107-8152.25-24998.013.42.110.0255594.95
atrtrail35.4818457297385939.1814303.6958693.4-6084.2-14015.722.351.510.031902.81
atrtrail24.8914083797385939.1813152.7639128.93-6084.2-14015.722.161.390.0261451.93
atrtrail-16.4191991.3397385939.1811867.3539682.43-6084.2-14015.721.951.260.018948.36

In the table above, row 1 shows the best exit criterion. Profit factor is 2.92. 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 36.23%, which is not acceptable. Avoid this strategy. Average return per trade is 5.14%, which is very good. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PIDILITIND Performance, Profit Factor:2.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Feb 2019 (9.15%)
2018303 Oct 2018 (-3.75%), 04 Oct 2018 (-3.86%), 09 Oct 2018 (13.35%)
2017107 Nov 2017 (6.45%)
2016315 Nov 2016 (-4.05%), 21 Dec 2016 (-2.69%), 26 Dec 2016 (8.41%)
2015205 Nov 2015 (-2.44%), 10 Nov 2015 (8.03%)
2013319 Aug 2013 (-3.86%), 22 Aug 2013 (-3.94%), 28 Aug 2013 (11.42%)
2011631 Jan 2011 (-3.36%), 03 Feb 2011 (-3.92%), 24 Nov 2011 (-3.53%), 08 Dec 2011 (-3.19%), 12 Dec 2011 (-3.65%), 20 Dec 2011 (11.58%)
2005120 Sep 2005 (285.08%)
2004518 Mar 2004 (-3.64%), 25 Mar 2004 (10.72%), 14 May 2004 (-4.18%), 17 May 2004 (15.4%), 29 Oct 2004 (10.27%)
2003203 Mar 2003 (-2.83%), 26 Mar 2003 (7.94%)
2002112 Mar 2002 (14.44%)
20011029 Jan 2001 (11.57%), 26 Feb 2001 (11.14%), 14 Mar 2001 (-5.38%), 21 Mar 2001 (-5.53%), 22 Mar 2001 (-6.15%), 23 Mar 2001 (-8.36%), 25 Jun 2001 (8.73%), 17 Sep 2001 (8.65%), 21 Dec 2001 (-3.9%), 24 Dec 2001 (-4.14%)
20001106 Mar 2000 (-5.51%), 08 Mar 2000 (-5.68%), 02 May 2000 (-4.43%), 22 May 2000 (11.62%), 31 May 2000 (-12.5%), 04 Aug 2000 (-5.96%), 14 Aug 2000 (-5.7%), 22 Aug 2000 (-5.23%), 19 Sep 2000 (-5.27%), 11 Oct 2000 (-4.59%), 23 Oct 2000 (14.68%)
1998512 Jan 1998 (7.27%), 16 Jun 1998 (-4.63%), 19 Jun 1998 (-4.99%), 23 Jun 1998 (15.74%), 27 Jul 1998 (10.81%)
1997527 Jun 1997 (10.56%), 09 Oct 1997 (-2.88%), 28 Oct 1997 (-2.62%), 10 Nov 1997 (-2.56%), 12 Nov 1997 (8.31%)
19961019 Mar 1996 (8.83%), 09 Aug 1996 (-2.78%), 12 Aug 1996 (-2.91%), 16 Aug 1996 (-3.11%), 17 Sep 1996 (-2.63%), 24 Sep 1996 (-2.7%), 30 Sep 1996 (-2.58%), 01 Oct 1996 (-2.85%), 07 Oct 1996 (-3.3%), 08 Oct 1996 (-3.46%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play