Study: Buy HDFC when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy HDFC when near 200 SMA and above 200 SMA" 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
1-12609.3475324342.672911.613511.92-2460.01-8537.891.180.88-0.0091-168.12
2-46581.13753342444078.4328323.81-4313.56-16029.760.950.74-0.021-621.08
3-57392.9775403553.334532.9330372.27-6820.29-22384.790.660.76-0.02-765.24
4-63301.03753342445941.5726314.75-6175.54-23609.890.960.76-0.021-844.01
5-63589.6875344145.335183.3424896.59-5849.35-22671.970.890.73-0.024-847.86
6-63964.8875344145.336068.2432074.07-6592.32-21213.030.920.76-0.02-852.87
7-77197.05753342446978.4824940.25-7321.11-28632.970.950.75-0.023-1029.29
8-57662.09753639487083.7122915.79-8017.32-23025.130.880.82-0.017-768.83
9-53087.5675383750.677340.1419034.05-8973.32-21809.670.820.84-0.015-707.83
10-10191.1275403553.337961.7426984.44-9390.3-24986.640.850.97-0.0025-135.88
Although, strategy looks good but profit factor on day 5 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
200trail-13.528299.94119348528.577727.0522296.63-2757.88-3979.382.81.120.0083237.81
200trail32.5313587.9119348528.577294.3511732.23-2757.88-3979.382.641.060.0047114.18
200nil32.97-10552.36108268224.079236.7211732.23-3057.4-3979.613.020.96-0.0037-97.71
atrnil38.19-16471.8377205725.9717534.1630115.62-6441.32-15486.072.720.96-0.0039-213.92
atrtrail-15.29-18067.8698336533.678903.0540846.39-4797.98-14049.641.860.94-0.0044-184.37
atrtrail34.87-18791.2798336533.678881.1329655.9-4797.98-14049.641.850.94-0.0048-191.75
200trail22.07-17991.41121378430.585850.957959.23-2791.39-3979.382.10.92-0.0073-148.69
200nil22.36-21973.95113357830.976167.317959.23-3049.1-3979.382.020.91-0.0091-194.46
atrnil25.95-56872.6981255630.8611957.3822948.56-6353.7-15486.071.880.84-0.016-702.13
atrtrail24.37-50000.898336533.677935.3922948.56-4797.98-14049.641.650.84-0.014-510.21

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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0083, 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
2019812 Feb 2019 (-0.89%), 25 Feb 2019 (-1.17%), 11 Mar 2019 (2.81%), 08 May 2019 (8.65%), 05 Sep 2019 (0.58%), 16 Sep 2019 (-1.37%), 20 Sep 2019 (2.14%), 26 Sep 2019 (-1.93%)
2018423 May 2018 (1.05%), 30 May 2018 (2.75%), 18 Sep 2018 (-1.22%), 21 Nov 2018 (4.02%)
2016701 Jan 2016 (-1.85%), 12 May 2016 (-1.57%), 16 Nov 2016 (-1.24%), 29 Nov 2016 (-1.02%), 30 Nov 2016 (-1.31%), 07 Dec 2016 (-0.57%), 12 Dec 2016 (-1.19%)
2015606 May 2015 (6.53%), 09 Jun 2015 (-1.56%), 12 Jun 2015 (6.05%), 20 Aug 2015 (-1.8%), 05 Oct 2015 (0.45%), 28 Oct 2015 (-1.34%)
2014313 Jan 2014 (2.22%), 29 Jan 2014 (-1.94%), 26 Feb 2014 (3.01%)
20131505 Apr 2013 (-1.53%), 15 Apr 2013 (9.62%), 13 Jun 2013 (1.31%), 20 Jun 2013 (-1.95%), 25 Jun 2013 (5.64%), 08 Jul 2013 (1.05%), 23 Jul 2013 (-1.93%), 18 Oct 2013 (-1.69%), 21 Oct 2013 (-1.91%), 28 Oct 2013 (2.33%), 18 Nov 2013 (-1.07%), 25 Nov 2013 (-1.55%), 03 Dec 2013 (-0.97%), 09 Dec 2013 (-1.66%), 11 Dec 2013 (-1.33%)
20121005 Jan 2012 (-1.66%), 06 Jan 2012 (-1.5%), 28 Feb 2012 (-1.48%), 01 Mar 2012 (-1.3%), 12 Mar 2012 (-0.42%), 30 Mar 2012 (0.32%), 10 Apr 2012 (0.53%), 26 Apr 2012 (-0.96%), 28 May 2012 (-1.02%), 26 Jul 2012 (5.79%)
20112014 Jan 2011 (2.56%), 28 Jan 2011 (-1.67%), 15 Feb 2011 (-1.32%), 17 Feb 2011 (-1.71%), 21 Feb 2011 (-1.27%), 01 Mar 2011 (2.69%), 16 Mar 2011 (-1.72%), 25 Mar 2011 (5.41%), 02 Jun 2011 (-1.29%), 02 Aug 2011 (-1.98%), 11 Aug 2011 (-1.99%), 20 Sep 2011 (-1.72%), 11 Oct 2011 (-1.0%), 12 Oct 2011 (-1.5%), 14 Oct 2011 (-0.56%), 25 Oct 2011 (0.75%), 11 Nov 2011 (-1.08%), 02 Dec 2011 (-1.29%), 08 Dec 2011 (-1.48%), 27 Dec 2011 (-1.26%)
2010121 Jan 2010 (-1.9%)
2009117 Apr 2009 (-1.52%)
2008302 Apr 2008 (-1.44%), 21 Apr 2008 (-1.05%), 11 Aug 2008 (-1.17%)
2006427 Jul 2006 (-1.72%), 28 Jul 2006 (-1.15%), 01 Aug 2006 (-1.72%), 02 Aug 2006 (7.1%)
2004621 May 2004 (-0.91%), 14 Jun 2004 (-1.16%), 22 Jul 2004 (-1.58%), 23 Jul 2004 (-1.26%), 16 Sep 2004 (1.54%), 27 Sep 2004 (10.51%)
2003328 Mar 2003 (-1.35%), 16 Apr 2003 (-1.35%), 15 May 2003 (-1.92%)
2002915 Feb 2002 (-1.56%), 22 Feb 2002 (-1.16%), 01 Mar 2002 (-0.08%), 05 Mar 2002 (-1.21%), 13 Mar 2002 (-1.19%), 19 Mar 2002 (-0.94%), 22 Oct 2002 (-1.57%), 24 Oct 2002 (-1.09%), 04 Nov 2002 (6.69%)
2000229 Sep 2000 (-1.69%), 04 Oct 2000 (1.03%)
1999204 Nov 1999 (-1.54%), 01 Dec 1999 (11.15%)
19981018 Mar 1998 (-1.57%), 10 Apr 1998 (-1.69%), 23 Apr 1998 (-1.04%), 08 May 1998 (-1.72%), 14 May 1998 (-1.4%), 18 May 1998 (1.94%), 28 May 1998 (-1.96%), 29 May 1998 (2.06%), 05 Jun 1998 (-1.11%), 29 Jun 1998 (-1.15%)
1997306 Feb 1997 (3.67%), 23 Sep 1997 (7.41%), 15 Oct 1997 (-0.77%)
1996203 Jul 1996 (-1.42%), 05 Jul 1996 (-1.42%)



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