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

home > technical-strategy > hdfc > 12

In this study, we evaluate the performance of strategy "Sell HDFC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50 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 HDFC 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
1-15789.481046403018.216509.7-4643.72-7900.660.650.43-0.07-1578.95
2-35475.231046401772.825159.28-7094.42-20080.730.250.17-0.1-3547.52
3-36891.131055504278.327352.03-11656.55-34994.950.370.37-0.064-3689.11
4-30203.091055504238.398708.38-10279-25590.310.410.41-0.064-3020.31
5-48981.781055502229.825313.38-12026.17-23955.60.190.19-0.12-4898.18
6-55433.321055501578.543383.65-12665.2-24076.690.120.12-0.13-5543.33
7-70359.921037302741.63325.49-11226.39-31624.620.240.1-0.13-7035.99
8-70212.841037301398.563103.24-10629.79-25489.40.130.056-0.17-7021.28
9-68964.521037302042.122527.74-10727.27-23834.510.190.082-0.16-6896.45
10-61850.581037302284.933991.99-9815.05-25408.680.230.1-0.14-6185.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.43. This strategy is not profitable and we advice you not to use it.

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
200trail21.695480.77135838.465609.487793.11-2820.83-3899.031.991.240.02421.6
200nil21.694895.96135838.465609.487793.11-2893.93-3899.031.941.210.018376.61
200trail32.42-5629.14124833.334234.378692.97-2820.83-3899.031.50.75-0.025-469.1
200nil32.73-11172.33112918.187352.718692.97-2875.31-3899.032.560.57-0.051-1015.67
nilnil-11-15789.481046403018.216509.7-4643.72-7900.660.650.43-0.07-1578.95
200trail-12.92-15689.77124833.331719.212607.89-2820.83-3899.030.610.3-0.12-1307.48
atrtrail23.67-43363.181221016.675201.988831.43-5376.71-8848.390.970.19-0.15-3613.6
atrnil25.1-53917.191019108831.438831.43-6972.07-12703.61.270.14-0.21-5391.72
atrtrail33.83-48372.51221016.672697.323822.11-5376.71-8848.390.50.1-0.22-4031.04
atrtrail-13.83-48372.51221016.672697.323822.11-5376.71-8848.390.50.1-0.22-4031.04
atrnil37.9-67164.3310010000-6716.43-12703.600-0.56-6716.43

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
HDFC Performance, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (2.0%), 06 Mar 2019 (-1.15%)
2016318 Nov 2016 (2.54%), 22 Nov 2016 (2.68%), 25 Nov 2016 (-1.65%)
2015107 May 2015 (-1.08%)
2010102 Feb 2010 (-1.95%)
2004131 May 2004 (3.9%)
2003131 Mar 2003 (-1.29%)
2002102 Jan 2002 (2.9%)
2001123 Jan 2001 (-1.77%)
2000103 Oct 2000 (-1.4%)
1995122 Nov 1995 (-1.0%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play