Study: Sell HCC when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell HCC when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HCC 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
1-8146.4523121152.174298.8912648.6-5430.28-9699.770.790.86-0.018-354.19
2-47667.3123101343.485083.8214835.95-7577.35-23076.920.670.52-0.07-2072.49
3-65801.232391439.135832.3312648.6-8449.45-22307.690.690.44-0.084-2860.92
4-78165.8223111247.836045.4710909.09-12055.5-22950.820.50.46-0.094-3398.51
5-67919.6323101343.487041.0716565.66-10640.79-27692.310.660.51-0.077-2953.03
6-29993.0723101343.4812000.7931111.11-11538.53-29230.771.040.8-0.026-1304.05
731016.1323111247.8313635.6640404.04-9914.68-26923.081.381.260.0261348.53
875614.3823131056.5213540.5638383.84-10041.29-18050.271.351.750.0663287.58
910952023131056.5216555.9746464.65-10570.77-184001.572.040.0844761.73
1011520923131056.5217402.3746060.61-11102.19-21804.821.572.040.0865009.08
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
HCC Performance, X=10, Profit Factor:2.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018116 Jan 2018 (-0.51%)
2017329 Jun 2017 (-0.76%), 18 Jul 2017 (-2.52%), 30 Oct 2017 (8.3%)
2016307 Jan 2016 (23.03%), 20 Apr 2016 (9.63%), 03 Aug 2016 (-4.39%)
2015411 Mar 2015 (10.21%), 16 Apr 2015 (7.87%), 23 Oct 2015 (13.04%), 23 Dec 2015 (2.17%)
2013311 Jan 2013 (5.84%), 28 Oct 2013 (-5.38%), 29 Nov 2013 (-4.8%)
2012105 Mar 2012 (2.04%)
2010429 Apr 2010 (7.09%), 28 Jul 2010 (-8.38%), 14 Oct 2010 (5.47%), 08 Nov 2010 (9.78%)
2008112 Feb 2008 (-9.48%)
2007326 Apr 2007 (8.65%), 28 Jun 2007 (-8.39%), 20 Aug 2007 (-10.9%)

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
200trail31.37-24424.8935728207714.9811493.37-2801.06-3853.352.750.69-0.046-697.85
200nil31.41-26306.283472720.597714.9811493.37-2974.49-3853.352.590.67-0.05-773.71
atrnil37.35-86686.582652119.2325200.529335.91-10128.05-23614.42.490.59-0.066-3334.1
atrtrail23.1-74497.443082226.6712378.8519287.74-7887.65-20430.671.570.57-0.071-2483.25
200trail21.31-32530.013582722.865325.117662.25-2782.63-3853.351.910.57-0.075-929.43
200nil21.35-34411.43482623.535325.117662.25-2962.01-3853.351.80.55-0.08-1012.1
atrnil24.48-1085832762122.2217135.9419557.27-10066.6-23614.41.70.49-0.097-4021.59
atrtrail-13.93-94427.532972224.1411300.135660.81-7887.65-20430.671.430.46-0.092-3256.12
atrtrail33.72-1011572972224.1410338.7928931.62-7887.65-20430.671.310.42-0.11-3488.16
200trail-11.84-55043.31323299.388203.8410006.66-2746.72-3853.352.990.31-0.15-1720.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCC Performance, Profit Factor:0.689

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018216 Jan 2018 (3.38%), 30 Jan 2018 (-1.1%)
2017629 Jun 2017 (-0.87%), 11 Jul 2017 (-1.93%), 18 Jul 2017 (-1.57%), 30 Oct 2017 (-1.05%), 01 Nov 2017 (-1.11%), 02 Nov 2017 (5.48%)
2016507 Jan 2016 (-1.89%), 20 Apr 2016 (-0.07%), 25 Apr 2016 (-1.24%), 03 Aug 2016 (-1.57%), 17 Aug 2016 (-1.13%)
2015611 Mar 2015 (-1.66%), 16 Apr 2015 (-1.65%), 23 Oct 2015 (-1.41%), 26 Oct 2015 (-1.71%), 23 Dec 2015 (-1.46%), 29 Dec 2015 (-1.42%)
2013411 Jan 2013 (-1.28%), 22 Jan 2013 (-1.88%), 28 Oct 2013 (-1.69%), 29 Nov 2013 (-1.36%)
2012105 Mar 2012 (-1.12%)
2010629 Apr 2010 (-1.67%), 28 Jul 2010 (-1.7%), 14 Oct 2010 (3.07%), 18 Oct 2010 (3.32%), 21 Oct 2010 (5.75%), 08 Nov 2010 (-1.64%)
2008112 Feb 2008 (-1.14%)
2007426 Apr 2007 (3.0%), 27 Apr 2007 (3.0%), 28 Jun 2007 (-1.87%), 20 Aug 2007 (-1.01%)



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