Study: Buy HDFC when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy HDFC when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-15540.7358302851.722487.687184.19-3220.39-13223.630.770.83-0.014-267.94
2-17395.6958312753.453386.9211104.84-4532.97-13325.710.750.86-0.012-299.93
3-27642.1558273146.554932.4512423.96-5187.68-17402.840.950.83-0.015-476.59
4-18810.4258283048.286059.6915683.17-6282.72-22595.090.960.9-0.0083-324.32
5-9826.2358233539.668489.1223474.58-5859.31-21651.051.450.95-0.0039-169.42
6-41424.6958223637.939382.8918329.25-6884.67-22178.21.360.83-0.015-714.22
7-74841.9158213736.218497.0617535.16-6845.41-18740.291.240.7-0.029-1290.38
8-47065.5858223637.939357.6522824.59-7025.94-16654.851.330.81-0.017-811.48
9-6258258233539.668706.6429171.67-7509.56-16664.741.160.76-0.022-1079
10-11626158193932.7610576.4427827.48-8133.68-24522.221.30.63-0.037-2004.51
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
atrnil37.1536942.746817512519718.739099.93-5848.53-12957.573.371.120.0093543.28
atrnil25.043508.7569214830.4313234.2826066.62-5716.9-12957.572.311.010.001150.85
50trail32.49-25164.591217023.087458.2211822.45-2596.96-3824.82.870.86-0.012-276.53
atrtrail23.52-35424.3580255531.258533.8922221.66-4523.12-11269.341.890.86-0.012-442.8
50trail22.1-3808694266827.665613.077881.64-2706.26-3824.82.070.79-0.021-405.17
50trail-13.24-38030.9591217023.086845.5321306.13-2596.96-3824.82.640.79-0.018-417.92
atrtrail-14.34-53053.9180255531.257828.7132485.37-4523.12-11269.341.730.79-0.018-663.17
atrtrail33.95-56246.6880255531.25770122475.57-4523.12-11269.341.70.77-0.02-703.08
50nil32.86-46979.384176720.248986.8511822.45-2981.43-3971.493.010.76-0.023-559.28
50nil22.31-46902.989256428.095836.597881.64-3012.78-3971.491.940.76-0.026-527

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0093, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Feb 2019 (-2.16%), 13 Mar 2019 (-1.67%), 28 Mar 2019 (5.26%), 09 Aug 2019 (-2.37%), 28 Aug 2019 (-2.63%)
2018909 Mar 2018 (-1.99%), 02 Apr 2018 (-1.88%), 09 Apr 2018 (-1.75%), 12 Apr 2018 (5.15%), 06 Jun 2018 (-1.66%), 21 Jun 2018 (4.38%), 28 Aug 2018 (-1.71%), 04 Sep 2018 (-1.62%), 06 Sep 2018 (-1.66%)
2017403 Oct 2017 (-1.76%), 01 Nov 2017 (-2.0%), 15 Dec 2017 (-1.7%), 18 Dec 2017 (-1.83%)
2016128 Oct 2016 (-2.11%)
2015208 Jan 2015 (8.17%), 19 Jun 2015 (7.67%)
2014203 Mar 2014 (6.45%), 18 Sep 2014 (-2.42%)
2013518 Feb 2013 (-1.96%), 08 Mar 2013 (-2.4%), 25 Mar 2013 (-2.6%), 16 Apr 2013 (8.52%), 09 Dec 2013 (-2.43%)
2012202 Apr 2012 (-2.18%), 12 Apr 2012 (-1.96%)
2011505 Jan 2011 (-2.4%), 11 Mar 2011 (-3.34%), 02 Jun 2011 (-2.5%), 11 Aug 2011 (-2.82%), 20 Sep 2011 (-2.99%)
2010327 May 2010 (-2.7%), 04 Jun 2010 (-2.42%), 22 Nov 2010 (-3.13%)
2009220 Aug 2009 (12.79%), 02 Dec 2009 (-2.99%)
2008329 Jan 2008 (-6.48%), 18 Feb 2008 (-5.57%), 22 Apr 2008 (-5.56%)
2007212 Jan 2007 (10.13%), 29 Aug 2007 (11.24%)
2006103 Apr 2006 (-2.86%)
2005417 Jan 2005 (-2.98%), 28 Apr 2005 (-3.14%), 03 May 2005 (9.39%), 31 Oct 2005 (10.2%)
2004108 Jun 2004 (-5.41%)
2003205 May 2003 (-4.31%), 19 May 2003 (11.23%)
2001719 Apr 2001 (-4.2%), 20 Apr 2001 (13.43%), 16 Jul 2001 (-3.24%), 08 Aug 2001 (-3.25%), 25 Sep 2001 (-5.18%), 05 Oct 2001 (-5.31%), 14 Dec 2001 (-2.23%)
2000229 Aug 2000 (-3.12%), 06 Nov 2000 (10.44%)
1999317 Sep 1999 (13.6%), 10 Dec 1999 (-5.63%), 20 Dec 1999 (19.55%)
1998225 May 1998 (-2.78%), 01 Jun 1998 (-2.88%)
1996125 Jun 1996 (-3.25%)



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