Study: Sell HCLTECH when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HCLTECH when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and ADX is Trending" 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
14671.341064602492.094351.13-2570.3-3941.650.971.450.037467.13
2-8851.171046403220.114628.21-3621.94-7914.340.890.59-0.051-885.12
3-15403.21064603109.315558.3-8514.77-18415.060.370.55-0.049-1540.32
4-43053.231037301249.023385.55-6685.76-13117.30.190.08-0.19-4305.32
5-34596.321037302859.114725.02-6167.67-17368.760.460.2-0.12-3459.63
6-34900.91046403422.115790.09-8098.22-19675.960.420.28-0.11-3490.09
7-62844.951037302950.843352.57-10242.49-20946.210.290.12-0.16-6284.5
8-63368.011046403596.278985.28-12958.85-26001.30.280.19-0.14-6336.8
9-70247.151037307186.4520042.6-13115.21-28177.640.550.23-0.12-7024.71
10-56792.6810282014998.1828233.93-10848.63-23889.741.380.35-0.093-5679.27

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
atrtrail24.1727807.3212392522258.3431144.44-4329.74-9609.075.141.710.0432317.28
atrtrail34.526402.81221016.6735658.0246716.67-4491.32-9609.077.941.590.0312200.23
nilnil-114671.341064602492.094351.13-2570.3-3941.650.971.450.037467.13
atrnil25.714663.110373022258.3431144.44-7444.56-16052.272.991.280.0231466.31
atrnil36.19588.6410282035658.0246716.67-7715.93-16052.274.621.160.012958.86
200trail31.611037.311851327.787978.7611732.18-2988.96-3818.382.671.030.002457.63
200nil31.82-69.11741323.539962.7611732.18-3070.78-3818.383.241-0.00016-4.06
200trail21.56-1614.151861233.335616.387821.46-2942.7-3818.381.910.95-0.0047-89.68
200nil21.76-2720.561751229.416731.17821.46-3031.34-3818.382.220.93-0.008-160.03
200trail-12.5-12917.61831516.6710286.7930171.01-2918.53-3818.383.520.7-0.021-717.64
atrtrail-15.33-25063.4121118.3325299.125299.1-4578.41-9609.075.530.5-0.054-2088.62

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 25%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
HCLTECH Performance, Profit Factor:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018317 May 2018 (-1.04%), 30 May 2018 (-0.14%), 26 Oct 2018 (-3.45%)
2017326 Apr 2017 (-2.09%), 27 Oct 2017 (-0.43%), 31 Oct 2017 (-0.85%)
2010125 Nov 2010 (-3.5%)
2007109 Apr 2007 (9.62%)
2006324 May 2006 (15.57%), 19 Sep 2006 (-3.18%), 25 Sep 2006 (8.2%)
2003115 Sep 2003 (-4.8%)



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