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

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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 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
1-5792.95115645.452340.935856.14-2916.27-5761.250.80.67-0.032-526.63
2-11841.6114736.362740.676380.1-3257.75-83470.840.48-0.055-1076.51
3-9038.26115645.452000.214425.83-3173.22-7671.080.630.53-0.048-821.66
44486.67116554.553330.4510748.45-3099.2-7043.151.071.290.019407.88
54282.94116554.553993.4910966.05-3935.6-8874.941.011.220.015389.36
66915.71117463.64498611113.85-6996.58-12714.470.711.250.019628.7
72292.27116554.554796.999134.69-5297.93-16434.030.911.090.0062208.39
8-9634.77115645.455189.1310387.4-5930.07-16098.070.880.73-0.026-875.89
9631.57117463.645190.6311951.48-8925.71-17229.930.581.020.001557.42
10-7576.6116554.554661.59992.76-7109.12-13994.320.660.79-0.021-688.78
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
atrnil210.2751935.92116554.5513855.1816029.88-6239.03-8811.782.222.660.0944721.45
atrnil315.1129738.9693633.3321580.6423332.79-5833.83-8014.943.71.850.0523304.33
atrtrail36.7323307.83115645.4510234.6219766.6-4644.21-5610.862.21.840.0472118.89
atrtrail26.1721689.691266509020.4516029.88-5405.5-7699.941.671.670.0451807.47
50trail33.1314339.511551033.337984.8211310.26-2558.46-3888.273.121.560.036955.97
50nil33.45702.261541126.679627.8411310.26-2982.64-3967.973.231.170.014380.15
50nil22.873843.291551033.336598.67540.17-2914.97-3967.972.261.130.011256.22
atrtrail-17.182733.61115645.456119.7813870.46-4644.21-5610.861.321.10.0083248.51
50trail22.81502.41551033.335417.47540.17-2558.46-3888.272.121.060.005100.16
50trail-13.93-2115.341441028.575987.189489.57-2606.41-3888.272.30.92-0.0072-151.1

In the table above, row 1 shows the best exit criterion. Profit factor is 2.66. 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 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 2.36%, which is very good. Sharpe Ratio is 0.094, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, Profit Factor:2.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016109 Mar 2016 (-2.79%)
2012124 May 2012 (4.6%)
2010126 Feb 2010 (-2.81%)
2002520 Jun 2002 (8.01%), 24 Jun 2002 (-4.41%), 04 Jul 2002 (7.78%), 06 Aug 2002 (7.37%), 27 Sep 2002 (-2.64%)
1996305 Aug 1996 (7.31%), 28 Oct 1996 (6.49%), 13 Dec 1996 (-2.95%)



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