Study: Sell HDFC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell HDFC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1-184.21107370966.884066.24-2317.45-4089.250.420.97-0.0019-18.42
25300.11064603576.849714.81-4040.23-7898.620.891.330.023530.01
3-14323.781046404567.196317.41-5432.09-12718.650.840.56-0.046-1432.38
4-15175.371046404103.79300.39-5265.03-14289.050.780.52-0.051-1517.54
5-17890.651037306702.4410552.02-5428.28-11459.221.230.53-0.056-1789.07
6-29186.291037305834.3812114.74-6669.92-16768.720.870.37-0.081-2918.63
7-12789.291037309510.6614066.95-5903.04-9891.661.610.69-0.033-1278.93
8-26529.1210373011293.1423079.01-8629.79-13279.311.310.56-0.05-2652.91
9-35133.241037306592.3311492.07-7844.32-12257.190.840.36-0.097-3513.32
10-49854.431028205075.845217.51-7500.76-19774.130.680.17-0.15-4985.44
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
atrnil26.2-6255.6110373013676.116476.46-6754.84-10849.732.020.87-0.013-625.56
atrnil38.9-8826.3610282022114.3924714.69-6631.89-10849.733.330.83-0.015-882.64
atrtrail24.4-24941.071037304706.9913009.39-5580.29-10849.730.840.36-0.083-2494.11
atrtrail34.8-31337.781037302574.766612.68-5580.29-10849.730.460.2-0.14-3133.78
atrtrail-14.8-31337.781037302574.766612.68-5580.29-10849.730.460.2-0.14-3133.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is -0.31%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFC Performance, Profit Factor:0.868

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018119 Oct 2018 (-3.55%)
2017105 Jan 2017 (-2.37%)
2013116 Aug 2013 (8.24%)
2011126 May 2011 (-2.7%)
2010103 Mar 2010 (-2.69%)
2004128 Jun 2004 (-4.59%)
2002106 Feb 2002 (-2.32%)
1998103 Jul 1998 (-5.42%)
1997110 Nov 1997 (5.77%)
1996108 Aug 1996 (6.5%)



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