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

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In this study, we evaluate the performance of strategy "Sell HDFC when near 200 SMA and below 200 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
113680.9228151353.573317.427915.07-2775.42-7900.661.21.380.025488.6
21037.73281414504262.0510526.32-4187.92-20080.731.021.020.001237.06
3-9185.5928131546.435724.8511270.84-5573.91-34994.951.030.89-0.0077-328.06
43382.1828131546.436198.1915789.47-5146.29-25590.311.21.040.0031120.79
5-29192.5828151353.574432.0514856.97-7359.48-23955.60.60.69-0.027-1042.59
6-24634.528151353.574308.2711004.78-6866.04-24076.690.630.72-0.024-879.8
7-26459.2428131546.436670.2516356.69-7544.83-31624.620.880.77-0.019-944.97
8-29588.0828131546.436753.9614712.92-7825.97-25489.40.860.75-0.023-1056.72
9-29208.7828151353.576103.9415371.55-9289.84-23834.510.660.76-0.023-1043.17
10-21132.7928151353.576111.7219125.27-8677.59-25408.680.70.81-0.016-754.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.38. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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-1113680.9228151353.573317.427915.07-2775.42-7900.661.21.380.025488.6
200nil33.1817891.7633102330.38276.8111868.24-2820.71-3954.592.931.280.021542.17
200trail21.9712129.8537132435.145647.887912.16-2553.86-3899.032.211.20.017327.83
200trail32.4710557.2136112530.566648.3611801.43-2502.99-3899.032.661.170.013293.26
200nil22.178888.3636132336.115647.887912.16-2805.83-3954.592.011.140.012246.9
atrnil29.8113155.242691734.6214366.5119527.49-6831.96-12703.62.11.110.0099505.97
atrtrail25.27-4551.1930102033.339110.5219527.49-4782.82-8848.391.90.95-0.004-151.71
atrtrail35.67-567530102033.338998.1427126.21-4782.82-8848.391.880.94-0.0045-189.17
200trail-13.28-15016.5436102627.784999.2411531.1-2500.34-3899.0320.77-0.022-417.13
atrnil314.25-37515.372442016.6724299.4627126.21-6735.66-12703.63.610.72-0.027-1563.14
atrtrail-15.83-37043.2130102033.335861.3215695.31-4782.82-8848.391.230.61-0.042-1234.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 53.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (0.21%), 08 Mar 2019 (-0.72%)
2016118 Nov 2016 (2.23%)
2015107 May 2015 (-2.69%)
2013111 Sep 2013 (-0.33%)
2012124 May 2012 (1.09%)
2011114 Feb 2011 (-0.59%)
2010202 Feb 2010 (-3.95%), 17 Feb 2010 (-0.69%)
2004331 May 2004 (3.25%), 15 Jun 2004 (3.96%), 26 Jul 2004 (1.6%)
2003131 Mar 2003 (-2.25%)
2002602 Jan 2002 (0.34%), 21 Feb 2002 (-1.42%), 14 Jun 2002 (1.5%), 28 Jun 2002 (2.13%), 16 Oct 2002 (1.76%), 30 Oct 2002 (0.3%)
2001123 Jan 2001 (-3.7%)
2000103 Oct 2000 (-1.18%)
1999110 Mar 1999 (1.91%)
1998201 Apr 1998 (0.66%), 24 Apr 1998 (-0.01%)
1997217 Jan 1997 (3.67%), 04 Feb 1997 (0.25%)
1996105 Aug 1996 (-0.36%)
1995122 Nov 1995 (-0.16%)



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