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

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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 ADX is Trending" 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
118687.552214863.643329.927184.19-3491.42-8958.530.951.670.043849.43
231638.492213959.094392.1912850.97-2828.89-8893.011.552.240.0631438.11
333055.712213959.095280.2713642.91-3954.21-11240.771.341.930.0511502.53
448094.532214863.64702115594.47-6274.93-23532.511.121.960.0512186.11
526142.672214863.646259.5120006.28-7686.32-21905.10.811.430.0281188.3
624978.0822121054.557952.7321221.33-7045.47-16576.451.131.350.0251135.37
721366.81221111509014.1819817.74-7071.74-17626.511.271.270.021971.22
836465.1322121054.558988.7521724.1-7139.98-16619.281.261.510.0351657.51
955054.62214863.647452.7119765.06-6160.42-14588.581.212.120.062502.48
1048109.27221111508971.8220664.6-4598.25-13852.121.951.950.0522186.79

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.24. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HDFC Performance, X=2, Profit Factor:2.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019313 Mar 2019 (1.23%), 22 Apr 2019 (1.36%), 22 Jul 2019 (-0.12%)
2018109 Feb 2018 (2.31%)
2017123 May 2017 (1.87%)
2013208 Mar 2013 (1.3%), 04 Jun 2013 (-1.08%)
2012210 Oct 2012 (-0.13%), 30 Oct 2012 (1.71%)
2010128 Jul 2010 (2.93%)
2008116 Jan 2008 (-1.23%)
2006119 Dec 2006 (1.85%)
2005117 Jan 2005 (3.31%)
2004220 Feb 2004 (-4.45%), 08 Jun 2004 (0.3%)
2001123 Feb 2001 (6.43%)
2000207 Jul 2000 (-3.74%), 20 Nov 2000 (-0.67%)
1999203 Sep 1999 (-0.61%), 10 Dec 1999 (0.83%)
1997207 Apr 1997 (3.13%), 29 Jul 1997 (-0.71%)

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-1231638.492213959.094392.1912850.97-2828.89-8893.011.552.240.0631438.11
atrnil39.9663603.032391439.1319019.8531440.13-7683.97-12957.572.481.590.0412765.35
50trail22.351750926111542.315478.957305.45-2850.63-3913.661.921.410.031673.42
50nil22.4814307.89251015406024.357305.45-3062.37-3913.661.971.310.026572.32
atrtrail35.2820258.43251213487910.122634.14-5743.29-11971.781.381.270.018810.34
50nil33.4210835.072471729.179018.3310958.18-3076.08-3913.662.931.210.016451.46
50trail-148422.89251015405118.2416520.37-2850.63-3913.661.81.20.014336.92
atrnil27.3917770.6323101343.4812160.3920960.09-7987.17-12957.571.521.170.015772.64
50trail32.845367.97251015404812.749356.03-2850.63-3913.661.691.130.0098214.72
atrtrail-16.242401.07251213486421.9828913.12-5743.29-11971.781.121.030.002396.04
atrtrail25-6748.58251213485659.5115089.43-5743.29-11971.780.990.91-0.0076-269.94

In the table above, row 1 shows the best exit criterion. Profit factor is 2.24. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.72%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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