Study: Buy HCLTECH when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy HCLTECH when there is Golden Cross (50 DMA > 200 DMA)" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-34892.16115645.452312.714615.1-7742.61-16049.380.30.25-0.1-3172.01
2-51902.48115645.453061.375843.82-11201.56-24608.650.270.23-0.11-4718.41
3-16797.85116554.556216.1311956.23-10818.92-16223.980.570.69-0.036-1527.08
4-30603.07116554.556260.410855.78-13633.09-22589.140.460.55-0.056-2782.1
5-54840.13115645.457804.4123485.46-15643.69-28140.890.50.42-0.077-4985.47
6-46044.09113827.2714453.0626314.38-11175.41-28540.311.290.48-0.065-4185.83
7-51942.69113827.2715601.7838590.87-12343.5-23202.611.260.47-0.064-4722.06
8-58124.55113827.2712594.0330691.22-11988.33-30528.41.050.39-0.075-5284.05
9-52023.42113827.271304927648.79-11396.3-30651.451.150.43-0.072-4729.4
10-48778.9114736.3612023.3525460.37-13838.9-32086.950.870.5-0.065-4434.45
Although, strategy looks good but profit factor on day 2 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
atrtrail33.93-19352.12146842.8611308.5527387.03-10900.43-14686.771.040.78-0.024-1382.29
atrtrail23.5-34267.5146842.868822.6618258.02-10900.43-14686.770.810.61-0.051-2447.68
atrnil35-48767.781431121.4321060.8727387.03-10177.31-14686.772.070.56-0.058-3483.41
atrnil24.21-56015.621441028.5712832.6118258.02-10734.6-14686.771.20.48-0.08-4001.12
atrtrail-14.36-56532.81145935.717554.6327658.27-10478.44-14686.770.720.4-0.084-4038.06

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 42.86%, which is not acceptable. Avoid this strategy. Average return per trade is -0.69%, 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:0.778

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Feb 2019 (0.44%)
2018117 Jul 2018 (0.36%)
2016113 Oct 2016 (1.53%)
2012105 Mar 2012 (7.24%)
2009216 Jun 2009 (-6.72%), 17 Jun 2009 (-7.34%)
2008226 Jun 2008 (-5.54%), 27 Jun 2008 (-4.0%)
2006115 Sep 2006 (10.65%)
2005117 Mar 2005 (-3.54%)
2003128 Aug 2003 (13.69%)
2002113 Feb 2002 (-3.36%)
2001219 Jan 2001 (-6.12%), 22 Jan 2001 (-6.98%)



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