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

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In this study, we evaluate the performance of strategy "Sell HCLTECH 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 HCLTECH 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
1-41612.249212842.863529.910491.45-4133.58-21220.020.850.64-0.037-849.23
2-34384.9549232646.944597.0120833.33-5389.08-13590.550.850.75-0.025-701.73
3-60908.1349222744.95532.8823440.17-6764.13-18415.060.820.67-0.036-1243.02
4-14057949222744.95469.8419594.02-9663.53-38607.080.570.46-0.065-2868.96
5-81006.0349202940.826248.0823653.85-7102.33-214810.880.61-0.043-1653.18
6-42057.7949202940.827802.125747.86-6831.03-19675.961.140.79-0.021-858.32
7-71869.0949183136.738957.7831148.24-7519.65-20946.211.190.69-0.031-1466.72
8-91105.1349183136.7310167.1847515-8842.4-26001.31.150.67-0.033-1859.29
9-96263.3149173234.6912523.1746443.87-9661.16-28177.641.30.69-0.032-1964.56
10-61784.7449222744.910991.0749657.24-11244.01-28554.820.980.8-0.019-1260.91
Although, strategy looks good but profit factor on day 4 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
200nil32.1-12550.9570165422.869021.6911732.18-2905.52-3839.973.110.92-0.008-179.3
200nil21.75-24387.1272215129.175964.677821.46-2934.22-3839.972.030.84-0.019-338.71
200trail31.86-25910.7273165721.928024.3211732.18-2707.01-3839.972.960.83-0.017-354.94
200trail21.6-29230.3752154285662.617821.46-2743.43-3839.972.060.8-0.022-389.74
atrtrail24.12-92942.3759154425.4211650.6231144.44-6084.13-14998.621.910.65-0.038-1575.29
200trail-12.52-56224.1173136017.818017.1230171.01-2674.11-3839.9730.65-0.032-770.19
atrnil26.85-11173348113722.9217520.6931144.44-8228.66-16052.272.130.63-0.046-2327.77
atrtrail34.41-12943559134622.0311147.4946716.67-5964.18-14998.621.870.53-0.052-2193.81
atrnil38.64-1749094453911.3629035.7946716.67-8207.37-16052.273.540.45-0.071-3975.2
atrtrail-14.63-18159359124720.348184.0325299.1-5953.22-14998.621.370.35-0.097-3077.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 22.86%, which is not acceptable. Avoid this strategy. Average return per trade is -0.09%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCLTECH Performance, Profit Factor:0.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (-1.62%), 08 Jul 2019 (3.3%), 26 Sep 2019 (-1.05%)
2018817 May 2018 (-1.45%), 30 May 2018 (-1.8%), 06 Jun 2018 (-1.7%), 11 Jun 2018 (-1.49%), 20 Jun 2018 (-1.8%), 26 Oct 2018 (-1.82%), 22 Nov 2018 (-1.14%), 13 Dec 2018 (4.79%)
2017326 Apr 2017 (-1.88%), 27 Oct 2017 (-1.38%), 16 Nov 2017 (-1.89%)
2016602 Aug 2016 (-1.91%), 25 Aug 2016 (5.11%), 20 Sep 2016 (-1.62%), 26 Oct 2016 (3.24%), 09 Nov 2016 (-1.53%), 06 Dec 2016 (-1.3%)
2014112 Dec 2014 (3.45%)
2011104 Aug 2011 (4.34%)
2010202 Jul 2010 (-1.26%), 25 Nov 2010 (-1.4%)
2008430 Apr 2008 (-1.4%), 05 May 2008 (-1.41%), 09 May 2008 (-1.24%), 12 May 2008 (-1.16%)
2007809 Apr 2007 (5.61%), 10 Aug 2007 (-1.49%), 13 Aug 2007 (-1.92%), 14 Aug 2007 (3.88%), 31 Oct 2007 (5.28%), 29 Nov 2007 (-1.22%), 03 Dec 2007 (-1.23%), 20 Dec 2007 (-1.46%)
20061024 May 2006 (5.87%), 30 May 2006 (3.41%), 25 Jul 2006 (-1.75%), 02 Aug 2006 (-1.4%), 11 Sep 2006 (-1.42%), 19 Sep 2006 (-1.17%), 25 Sep 2006 (-1.43%), 26 Sep 2006 (-1.21%), 27 Sep 2006 (5.05%), 11 Oct 2006 (-1.67%)
2005706 Jan 2005 (-1.9%), 28 Jan 2005 (-1.29%), 23 Feb 2005 (-1.03%), 02 Mar 2005 (-1.53%), 19 Apr 2005 (-1.2%), 11 May 2005 (-1.19%), 16 May 2005 (-1.11%)
2003415 Sep 2003 (-1.11%), 18 Sep 2003 (-1.91%), 22 Sep 2003 (-1.77%), 25 Sep 2003 (-1.62%)
2002706 Feb 2002 (-1.29%), 21 Feb 2002 (-1.34%), 17 May 2002 (4.7%), 24 May 2002 (4.54%), 11 Jun 2002 (5.12%), 02 Jul 2002 (-1.78%), 16 Jul 2002 (4.48%)
2001415 Jan 2001 (-1.78%), 17 Jan 2001 (-1.17%), 09 Feb 2001 (-1.25%), 13 Feb 2001 (-1.5%)
2000226 Oct 2000 (-1.0%), 27 Oct 2000 (-1.0%)



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