Study: Buy HCC when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy HCC when near 200 SMA and above 200 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-102951771041.185632.2312435.23-4972.06-100001.130.79-0.028-605.59
2-30041.091771041.185744.7312068.97-7025.42-14090.910.820.57-0.071-1767.12
3-77111.411761135.296286.0514860.68-10438.88-21979.730.60.33-0.13-4535.97
4-99036.421741323.5311655.9226625.39-11204.62-25523.811.040.32-0.13-5825.67
5-1109411741323.539526.6318575.85-11465.15-243180.830.26-0.18-6525.91
6-1487811731417.659542.3420433.44-12671.98-23636.360.750.16-0.24-8751.8
7-1435321731417.6512601.2329721.36-12952.53-22550.830.970.21-0.2-8443.04
8-1394741741323.5310006.8330030.96-13807.81-27356.750.720.22-0.18-8204.37
9-1674951741323.5311551.4624148.61-16438.56-45674.20.70.22-0.18-9852.68
10-2230371741323.5313221.9622413.79-21224.98-74824.630.620.19-0.18-13119.82

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is -0.3%, we advise you not to use this strategy.

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
200nil31.6-1096.0120515258795.7711487.05-3004.99-3947.882.930.98-0.003-54.8
200trail31.52-9085.412151623.817341.5111487.05-2862.06-3631.142.570.8-0.026-432.64
nilnil-11-102951771041.185632.2312435.23-4972.06-100001.130.79-0.028-605.59
200nil21.5-15755.6320515255863.847658.03-3004.99-3947.881.950.65-0.058-787.78
200trail21.43-16473.762151623.815863.847658.03-2862.06-3631.142.050.64-0.059-784.46
atrnil34.71-63910.481721511.7631642.6835943.2-8479.72-12395.953.730.5-0.082-3759.44
atrtrail33.44-51115.931831516.6714650.3535943.2-6337.8-12395.952.310.46-0.079-2839.77
atrnil24.24-66035.221731417.6518279.0523962.13-8633.74-12395.952.120.45-0.11-3884.42
atrtrail23.39-55829.221831516.6713079.2523962.13-6337.8-12395.952.060.41-0.1-3101.62
atrtrail-13.83-71627.381831516.677813.215431.75-6337.8-12395.951.230.25-0.18-3979.3
200trail-12-36979.222141719.052275.493129.53-2710.66-3631.140.840.2-0.23-1760.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.027%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCC Performance, Profit Factor:0.976

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017327 Oct 2017 (-1.8%), 31 Oct 2017 (-1.22%), 29 Nov 2017 (-1.44%)
2016128 Apr 2016 (-1.64%)
2015801 Jan 2015 (4.03%), 06 Feb 2015 (-1.5%), 21 Apr 2015 (5.08%), 27 Oct 2015 (-1.45%), 28 Oct 2015 (-1.66%), 03 Dec 2015 (-1.05%), 30 Dec 2015 (-1.35%), 31 Dec 2015 (3.36%)
2013302 Jan 2013 (5.74%), 16 Jan 2013 (-1.17%), 01 Feb 2013 (-1.52%)
2012104 Apr 2012 (-1.44%)
2010320 Jul 2010 (-1.97%), 08 Oct 2010 (3.77%), 11 Nov 2010 (-1.56%)
2007110 Jul 2007 (-1.78%)



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