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

home > technical-strategy > hdfc > 2

In this study, we evaluate the performance of strategy "Sell HDFC when near 200 SMA and below 200 SMA and RSI is below 50" 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
127431.443212248.844099.6213926.67-2666.39-8644.171.541.470.027637.94
2-5868.743232053.494803.3213481.5-5817.26-20080.730.830.95-0.0041-136.48
3-17505.2443232053.495746.0820515.33-7483.26-34994.950.770.88-0.009-407.1
4-50730.8543212248.844901.9421370.87-6985.07-25590.310.70.67-0.029-1179.79
5-80043.2443192444.195078.5517148.1-7355.66-24004.180.690.55-0.046-1861.47
6-92432.1243212248.844489.3511566.71-8486.75-24076.690.530.5-0.053-2149.58
7-67457.8843212248.846117.6616356.69-8905.85-31624.620.690.66-0.033-1568.79
8-47244.6943222151.166329.3320138.5-8880.48-25969.090.710.75-0.023-1098.71
9-29661.943212248.847762.8319363.53-8758.24-28548.980.890.85-0.013-689.81
10-23152.4943202346.519087.6228036.62-8908.91-26348.871.020.89-0.0092-538.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.47. 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 48.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.

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
nilnil-1127431.443212248.844099.6213926.67-2666.39-8644.171.541.470.027637.94
200trail21.7622056.3568244435.295730.027925.75-2624.18-3899.032.181.190.016324.36
200trail32.4315270.2565194629.236867.111888.63-2504.45-3899.032.741.130.01234.93
200nil21.9812599.365234235.385804.887925.75-2878.88-3899.032.021.10.0093193.84
200nil32.96-10512.2857134422.819001.4811888.63-2898.44-3942.983.110.92-0.0074-184.43
atrtrail34.09-19911.1457193833.337916.6328865.73-4482.29-12087.281.770.88-0.0091-349.32
200trail-13.22-18801.7464174726.565802.2921064.07-2498.74-3899.032.320.84-0.013-293.78
atrtrail23.82-40671.4957193833.336823.9819527.49-4482.29-12087.281.520.76-0.022-713.53
atrtrail-14.33-40851.3157193833.336814.5226525.22-4482.29-12087.281.520.76-0.021-716.69
atrnil38.51-1128314583717.7816302.8527025.78-6574.42-13659.162.480.54-0.055-2507.35
atrnil26.49-11376745103522.2211530.7519527.49-6544.98-13659.161.760.5-0.064-2528.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 48.84%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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, X=1, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019530 Jan 2019 (-1.94%), 15 Feb 2019 (0.0%), 06 Mar 2019 (0.27%), 22 Aug 2019 (-1.47%), 27 Sep 2019 (2.89%)
2018121 Sep 2018 (6.56%)
2016217 Nov 2016 (0.03%), 15 Dec 2016 (-0.79%)
2015407 May 2015 (-2.69%), 08 Jun 2015 (-1.02%), 21 Aug 2015 (4.93%), 30 Oct 2015 (2.85%)
2013611 Apr 2013 (-0.16%), 16 Jul 2013 (-0.13%), 01 Aug 2013 (1.06%), 08 Nov 2013 (0.49%), 26 Nov 2013 (-0.09%), 10 Dec 2013 (-1.14%)
2012427 Feb 2012 (-0.8%), 16 Mar 2012 (2.43%), 09 Apr 2012 (-0.86%), 03 May 2012 (1.03%)
2011222 Feb 2011 (-0.92%), 04 Aug 2011 (1.72%)
2010222 Jan 2010 (1.11%), 25 May 2010 (-3.25%)
2008203 Apr 2008 (6.96%), 26 May 2008 (1.84%)
2007102 Apr 2007 (0.56%)
2004231 May 2004 (3.25%), 15 Jun 2004 (3.96%)
2003231 Mar 2003 (-2.25%), 12 May 2003 (0.02%)
2002302 Jan 2002 (0.34%), 18 Mar 2002 (-0.58%), 03 Apr 2002 (0.74%)
2001123 Jan 2001 (-3.7%)
2000103 Oct 2000 (-1.18%)
1999101 Nov 1999 (-4.32%)
1998224 Apr 1998 (-0.01%), 15 May 1998 (-0.82%)
1996104 Jul 1996 (-1.04%)
1995122 Nov 1995 (-0.16%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play