Study: Sell HCLTECH when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell HCLTECH when below 200 SMA and near 50 SMA and below 50 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
132396.7442222504189.9412913.26-2717.37-6075.561.541.540.039736.29
222188.2844212347.735961.0226195.24-4477.96-12036.041.331.220.016504.28
3-4306.1744192543.187330.3227040.25-5743.29-18306.311.280.97-0.0027-97.87
4-52689.0544212347.737089.5818425.25-8763.93-22630.630.810.74-0.028-1197.48
5-61776.4544202445.458527.6526985.98-9680.39-40213.460.880.73-0.026-1404.01
6-48585.84442222508659.726684.46-10868.15-26366.930.80.8-0.021-1104.22
7-85953.2944192543.189920.1324104.96-10977.43-41647.330.90.69-0.033-1953.48
8-64960.4544202445.4511892.9933044.25-12617.51-40139.210.940.79-0.022-1476.37
9-34341.5344202445.4512770.3848565.71-12072.88-44663.571.060.88-0.011-780.49
10-8920.1944232152.2712050.0648921.5-13622.46-72505.80.880.97-0.0025-202.73

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.54. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study.

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
nilnil-1132396.7442222504189.9412913.26-2717.37-6075.561.541.540.039736.29
atrtrail24.280.5854173731.4811720.7927672.98-5383.05-18042.532.1813.5e-051.49
atrtrail34.85-28317.8854173731.4810050.2925780.96-5383.05-18042.531.870.86-0.013-524.41
50trail21.71-25050.7468214730.885559.087813.71-3016.84-3997.011.840.82-0.02-368.39
atrnil27.1-49448.3741113026.8317930.1230368.95-8222.66-18042.532.180.8-0.022-1206.06
50trail-12.76-36515.17681751256588.9620241.24-2912.3-3997.012.260.75-0.023-536.99
50trail32.16-39932.1368185026.475938.1411720.57-2936.37-3997.012.020.73-0.031-587.24
50nil32.52-42855.5163135020.638527.711720.57-3074.31-3997.012.770.72-0.032-680.25
50nil22-43438.765184727.695728.397813.71-3118.08-3997.011.840.7-0.038-668.29
atrnil39.94-75151.373663016.6728815.8245553.43-8268.21-18042.533.490.7-0.032-2087.54
atrtrail-15.28-73383.354163829.638202.4220881.24-5384.79-18042.531.520.64-0.04-1358.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.54. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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, X=1, Profit Factor:1.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Jan 2019 (-0.87%)
2016820 Jan 2016 (0.79%), 01 Mar 2016 (-2.73%), 22 Mar 2016 (1.3%), 07 Apr 2016 (-0.56%), 05 Jul 2016 (2.88%), 20 Jul 2016 (0.88%), 29 Aug 2016 (-2.49%), 26 Oct 2016 (2.09%)
2015904 Jun 2015 (1.24%), 23 Jun 2015 (-1.15%), 08 Jul 2015 (1.67%), 27 Jul 2015 (1.47%), 10 Aug 2015 (-0.42%), 01 Sep 2015 (-0.14%), 16 Sep 2015 (-1.24%), 27 Nov 2015 (0.18%), 21 Dec 2015 (0.72%)
2012112 Jan 2012 (1.97%)
2011318 Oct 2011 (-1.47%), 16 Nov 2011 (0.56%), 14 Dec 2011 (-0.44%)
2008529 Feb 2008 (1.44%), 27 Mar 2008 (-3.04%), 23 Apr 2008 (3.18%), 27 Aug 2008 (2.55%), 25 Sep 2008 (5.31%)
2007405 Sep 2007 (-0.41%), 26 Sep 2007 (-2.68%), 08 Nov 2007 (-0.02%), 17 Dec 2007 (1.37%)
2006119 Sep 2006 (0.13%)
2005102 Mar 2005 (-1.46%)
2003409 Jan 2003 (3.89%), 03 Mar 2003 (2.48%), 21 Mar 2003 (-1.47%), 24 Jun 2003 (-2.92%)
2002420 Aug 2002 (3.51%), 09 Oct 2002 (-0.81%), 28 Nov 2002 (-2.22%), 16 Dec 2002 (-0.6%)
2001312 Jan 2001 (-0.67%), 01 Jun 2001 (6.46%), 07 Nov 2001 (-2.09%)



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