Study: Buy HCLTECH when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HCLTECH when below 200 SMA" 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
1-38765.2669373253.625932.4830895.88-8070.85-31979.370.740.85-0.013-561.82
2-33483.2369363352.177582.9127360.77-9286.91-58835.920.820.89-0.0087-485.26
3-34742.7369363352.179580.6239329.5-11504.4-56369.380.830.91-0.0075-503.52
414321569422760.8710278.2250670.53-10684.08-42532.710.961.50.0312075.58
517406869412859.4210159.6854222.54-8659.95-25427.871.171.720.0412522.73
611138969422760.8710605.6142261.69-12372.09-30357.140.861.330.0251614.34
746917.8169452465.229877.5529417.96-16565.51-55060.530.61.120.0098679.97
893396.669422760.8710709.6334922.54-13200.3-34945.20.811.260.021353.57
910517869422760.8711192.6439144.62-13515.32-46828.090.831.290.0211524.31
1011173569422760.8712298.1349045.14-14992.1-41355.930.821.280.0211619.34
Although, strategy looks good but profit factor on day 1 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
atrtrail24.45238923119457437.8220501.7381995.2-9238.58-35370.392.221.350.0242007.76
atrtrail35.59103385119457437.8217489.78122993-9238.58-35370.391.891.150.01868.78
atrtrail-15.98100606119457437.8217428.03176257-9238.58-35370.391.891.150.0089845.43
atrnil26.350395.89105406538.123319.0281995.2-13574.85-35370.391.721.060.0052479.96
atrnil314.63-16499690236725.5634496.97122993-14304.87-35370.392.410.83-0.016-1833.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jan 2019 (-1.16%), 05 Jul 2019 (-0.09%), 23 Jul 2019 (-1.22%), 26 Jul 2019 (1.03%)
2018517 May 2018 (-2.14%), 05 Jun 2018 (5.33%), 19 Oct 2018 (-0.93%), 23 Oct 2018 (2.17%), 07 Dec 2018 (-1.12%)
2017426 Apr 2017 (4.19%), 27 Oct 2017 (-2.52%), 30 Oct 2017 (5.33%), 01 Dec 2017 (4.13%)
20161007 Jan 2016 (-1.79%), 12 Jan 2016 (4.58%), 12 Feb 2016 (6.37%), 28 Apr 2016 (-2.5%), 29 Apr 2016 (-2.98%), 03 May 2016 (-1.73%), 11 May 2016 (5.22%), 28 Jun 2016 (5.03%), 27 Oct 2016 (5.07%), 21 Nov 2016 (6.51%)
2015619 Mar 2015 (-6.48%), 21 Apr 2015 (12.3%), 12 Jun 2015 (3.69%), 25 Aug 2015 (-3.2%), 01 Oct 2015 (-3.77%), 07 Oct 2015 (0.6%)
2014212 Dec 2014 (-2.77%), 15 Dec 2014 (1.79%)
2011804 Aug 2011 (-2.77%), 05 Aug 2011 (-3.38%), 08 Aug 2011 (-3.97%), 18 Aug 2011 (-4.66%), 22 Aug 2011 (-2.46%), 25 Aug 2011 (10.31%), 21 Nov 2011 (-3.56%), 23 Nov 2011 (7.36%)
2010202 Jul 2010 (7.19%), 19 Nov 2010 (1.51%)
2009320 Feb 2009 (-6.94%), 02 Mar 2009 (-5.9%), 09 Mar 2009 (13.46%)
20082021 Jan 2008 (-5.85%), 22 Jan 2008 (-0.21%), 13 Mar 2008 (-2.6%), 17 Mar 2008 (15.86%), 11 Apr 2008 (13.21%), 10 Jun 2008 (-1.92%), 18 Jun 2008 (-5.06%), 20 Jun 2008 (-3.81%), 25 Jun 2008 (-0.48%), 27 Jun 2008 (-4.0%), 03 Jul 2008 (-0.85%), 14 Jul 2008 (-7.56%), 18 Jul 2008 (-1.75%), 15 Sep 2008 (-6.21%), 29 Sep 2008 (-2.13%), 08 Oct 2008 (-9.01%), 10 Oct 2008 (-11.39%), 24 Oct 2008 (-14.61%), 02 Dec 2008 (-12.75%), 12 Dec 2008 (23.59%)
2007728 Mar 2007 (-0.83%), 02 Apr 2007 (2.65%), 24 Jul 2007 (-0.22%), 30 Jul 2007 (-2.49%), 01 Aug 2007 (-4.39%), 21 Aug 2007 (-4.27%), 24 Aug 2007 (13.44%)
2006319 May 2006 (-5.69%), 06 Jun 2006 (-7.64%), 08 Jun 2006 (-1.71%)
2005306 Jan 2005 (-2.15%), 10 Jan 2005 (-3.08%), 17 Jan 2005 (8.29%)
20031010 Jan 2003 (-4.07%), 17 Jan 2003 (-4.56%), 21 Jan 2003 (-2.0%), 24 Jan 2003 (-5.66%), 27 Jan 2003 (11.89%), 10 Mar 2003 (9.88%), 10 Apr 2003 (-6.56%), 29 Apr 2003 (-2.04%), 21 May 2003 (-5.51%), 22 May 2003 (11.72%)
20021222 Jan 2002 (-2.05%), 25 Jan 2002 (19.27%), 08 Apr 2002 (10.88%), 25 Apr 2002 (2.87%), 21 May 2002 (-5.38%), 22 May 2002 (2.72%), 19 Jun 2002 (10.51%), 25 Jul 2002 (-6.18%), 26 Jul 2002 (-6.7%), 04 Oct 2002 (-1.69%), 22 Oct 2002 (-7.41%), 24 Oct 2002 (15.89%)
20011822 Feb 2001 (12.25%), 02 Mar 2001 (-9.82%), 05 Mar 2001 (3.72%), 12 Mar 2001 (-13.57%), 13 Mar 2001 (29.08%), 10 Apr 2001 (-14.25%), 11 Apr 2001 (-17.69%), 04 Jun 2001 (-0.18%), 22 Jun 2001 (-8.3%), 25 Jun 2001 (-0.24%), 04 Jul 2001 (22.0%), 30 Jul 2001 (19.83%), 09 Aug 2001 (10.33%), 06 Sep 2001 (18.08%), 14 Sep 2001 (-12.52%), 17 Sep 2001 (-1.24%), 21 Sep 2001 (-5.63%), 25 Sep 2001 (41.0%)
2000221 Dec 2000 (-7.91%), 27 Dec 2000 (19.18%)



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