Study: Sell HDFC 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 HDFC 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 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
13227.7752292355.772798.210389.03-3387.83-16600.510.831.040.002962.07
2-18297.4452282453.853155.8814345.19-4444.26-21838.670.710.83-0.013-351.87
311968.7252292355.774295.0617289.78-4895.13-25971.080.881.110.0072230.17
424766.0452292355.775855.5519662.71-6306.29-34824.210.931.170.011476.27
515784.2152282453.855698.2816771.63-5990.32-24751.910.951.110.0077303.54
639772.2352312159.626549.2517329.56-7774.02-21722.510.841.240.018764.85
733757.4652292355.777224.0918484.61-7640.92-28687.780.951.190.014649.18
8-49717.852252748.087905.9519160.79-9161.73-31674.210.860.8-0.018-956.11
9-54002.0252272551.928389.3219248.49-11220.55-30973.30.750.81-0.017-1038.5
10-93967.86522626508375.5726855.67-11989.72-40764.110.70.7-0.027-1807.07
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
50nil33.0646381.9171215029.589324.5311647.65-2988.66-3973.73.121.310.023653.27
50trail32.8136259.8272225030.567646.1411310.26-2639.11-3932.12.91.270.02503.61
50nil22.4635877.1472274537.56272.527864.42-2966.25-3973.72.111.270.022498.29
atrtrail35.4834192.2461243739.349040.2333876.12-4939.82-12251.571.831.190.013560.53
atrtrail24.8524625.5462253740.328478.6722584.08-5063.27-12251.571.671.130.011397.19
50trail22.3614211.5373254834.255717.777586.96-2681.93-3932.12.131.110.0095194.68
50trail-13.795173.3671215029.586552.7720787.86-2648.7-3932.12.471.040.002972.86
atrnil39.123331.4549133626.5318530.1333876.12-6598.89-13365.532.811.010.001267.99
atrtrail-15.85-934.161243739.347576.6435685.67-4939.82-12251.571.530.99-0.00039-15.31
atrnil26.56-9539.0455193634.5512120.7422584.08-6662.03-13365.531.820.96-0.0038-173.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.31. 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 29.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.33%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Nov 2018 (-1.81%), 12 Nov 2018 (-1.17%)
2017113 Jan 2017 (-1.57%)
2016704 Jan 2016 (-1.26%), 05 Jan 2016 (-1.69%), 05 Feb 2016 (5.3%), 09 Mar 2016 (-1.94%), 16 Mar 2016 (-1.3%), 30 Mar 2016 (-1.71%), 03 May 2016 (-1.63%)
2015502 Nov 2015 (-1.18%), 04 Nov 2015 (3.46%), 24 Nov 2015 (-1.86%), 27 Nov 2015 (3.22%), 18 Dec 2015 (-1.51%)
2014308 Jan 2014 (-1.74%), 31 Jan 2014 (4.59%), 18 Feb 2014 (-1.07%)
2013523 Sep 2013 (-1.39%), 12 Nov 2013 (-1.84%), 20 Nov 2013 (-1.23%), 26 Nov 2013 (-1.29%), 10 Dec 2013 (-1.52%)
2012303 May 2012 (5.56%), 24 May 2012 (3.39%), 07 Jun 2012 (-1.97%)
2011423 Mar 2011 (-1.66%), 04 Aug 2011 (4.98%), 15 Nov 2011 (3.65%), 30 Dec 2011 (-1.44%)
2010126 Feb 2010 (-1.45%)
2009309 Feb 2009 (-1.85%), 20 Mar 2009 (-1.97%), 31 Mar 2009 (-1.08%)
2008128 Jul 2008 (3.44%)
2006113 Jul 2006 (5.61%)
2004311 Aug 2004 (4.59%), 26 Aug 2004 (-1.16%), 30 Aug 2004 (-1.39%)
20021413 Feb 2002 (-1.33%), 04 Apr 2002 (-1.01%), 05 Apr 2002 (-1.15%), 12 Apr 2002 (-1.87%), 15 Apr 2002 (4.93%), 06 May 2002 (5.82%), 20 Jun 2002 (4.6%), 24 Jun 2002 (-1.18%), 04 Jul 2002 (-1.56%), 09 Jul 2002 (-1.36%), 10 Jul 2002 (-1.83%), 06 Aug 2002 (-1.98%), 12 Aug 2002 (-1.11%), 27 Sep 2002 (-1.33%)
1999701 Jan 1999 (-1.99%), 17 Feb 1999 (-1.77%), 18 Feb 1999 (-1.13%), 07 May 1999 (-1.24%), 27 May 1999 (-1.65%), 07 Jun 1999 (-1.94%), 11 Jun 1999 (4.83%)
1998512 May 1998 (-1.24%), 15 Jul 1998 (4.12%), 18 Nov 1998 (5.37%), 14 Dec 1998 (3.62%), 30 Dec 1998 (-1.49%)
1996605 Aug 1996 (5.62%), 27 Aug 1996 (-1.23%), 11 Sep 1996 (5.58%), 28 Oct 1996 (5.66%), 13 Dec 1996 (-1.25%), 17 Dec 1996 (-1.42%)



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