Study: Buy HDFC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HDFC when below 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
1-17617.4577383949.354417.419821.92-4755.86-17625.250.930.91-0.0077-228.8
212997877463159.746304.6140534.25-5162.37-20819.531.221.810.041688.03
318695077443357.147754.5242739.92-4674.21-20515.331.662.210.0522427.92
426741277453258.449940.849176.51-5622.62-18869.821.772.490.0633472.88
533789077492863.6410892.3276598.96-6994.07-26560.271.562.730.0634388.18
637788677492863.6412705.4173834.6-8738.54-31067.131.452.540.0654907.61
734751077473061.0411603.9357789.68-6595.84-22619.431.762.760.0724513.11
830793277473061.0411072.2158802.3-7082.07-18121.881.562.450.0663999.12
930681377473061.0411012.6945358.78-7026.11-19381.981.572.460.0673984.59
1033163477482962.3412144.6464575.45-8665.82-28036.621.42.320.0624306.94
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HDFC Performance, X=7, Profit Factor:2.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019430 Jan 2019 (3.12%), 19 Feb 2019 (-0.66%), 22 Aug 2019 (3.76%), 17 Sep 2019 (3.35%)
2018219 Sep 2018 (-1.33%), 08 Oct 2018 (4.2%)
2016515 Jan 2016 (1.75%), 10 Feb 2016 (-4.99%), 24 Feb 2016 (10.46%), 07 Apr 2016 (7.4%), 15 Nov 2016 (-0.66%)
2015507 May 2015 (9.53%), 08 Jun 2015 (2.05%), 21 Aug 2015 (-5.78%), 05 Nov 2015 (-0.42%), 09 Dec 2015 (6.21%)
2014110 Feb 2014 (5.28%)
2013608 Apr 2013 (4.25%), 19 Jul 2013 (0.58%), 06 Aug 2013 (-2.17%), 27 Aug 2013 (9.39%), 21 Nov 2013 (5.88%), 17 Dec 2013 (1.28%)
2012205 Mar 2012 (0.63%), 04 May 2012 (-2.22%)
2011631 Jan 2011 (-3.19%), 04 May 2011 (-2.69%), 20 Jun 2011 (10.48%), 05 Aug 2011 (-0.63%), 25 Aug 2011 (6.26%), 21 Nov 2011 (2.94%)
2010222 Jan 2010 (4.44%), 25 May 2010 (4.79%)
2009221 Jan 2009 (3.49%), 24 Feb 2009 (-10.87%)
2008817 Mar 2008 (17.4%), 26 May 2008 (-6.4%), 09 Jun 2008 (4.87%), 27 Jun 2008 (-2.02%), 16 Jul 2008 (28.89%), 08 Oct 2008 (-0.28%), 24 Oct 2008 (11.09%), 19 Nov 2008 (5.68%)
2007102 Apr 2007 (7.28%)
2006101 Jun 2006 (1.1%)
2004314 May 2004 (3.98%), 24 Jun 2004 (-1.43%), 17 Aug 2004 (2.78%)
2003117 Apr 2003 (-0.06%)
2002502 Jan 2002 (-0.81%), 22 Apr 2002 (7.11%), 28 May 2002 (3.95%), 24 Jul 2002 (3.69%), 22 Aug 2002 (-0.14%)
2001123 Jan 2001 (15.81%)
2000127 Sep 2000 (5.32%)
1999511 Feb 1999 (0.22%), 26 Mar 1999 (-1.75%), 17 Apr 1999 (-5.72%), 01 Nov 1999 (-0.57%), 16 Nov 1999 (-5.66%)
1998928 Jan 1998 (0.35%), 08 Jun 1998 (-2.77%), 23 Jul 1998 (-2.62%), 11 Aug 1998 (-0.77%), 25 Aug 1998 (0.33%), 23 Sep 1998 (-7.66%), 22 Oct 1998 (0.18%), 01 Dec 1998 (7.66%), 18 Dec 1998 (3.03%)
1997219 Sep 1997 (6.13%), 12 Nov 1997 (0.57%)
1996509 Jul 1996 (-7.07%), 30 Jul 1996 (16.06%), 13 Sep 1996 (-6.27%), 30 Sep 1996 (-11.31%), 04 Dec 1996 (7.66%)

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
atrtrail-14.87365356134597544.0313646.971863.9-5864.15-22537.482.331.830.0392726.54
atrtrail34.16331689134597544.0313076.2864466.46-5864.15-22537.482.231.750.0382475.29
atrnil24.87396159125576845.616220.8148114.21-7770.98-22537.482.091.750.0473169.27
atrnil38.89427098116407634.4825841.4872171.31-7981.07-22537.483.241.70.0413681.88
atrtrail23.54282034134607444.7812011.6648114.21-5927.91-22537.482.031.640.0372104.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. 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 44.03%, which is not acceptable. Avoid this strategy. Average return per trade is 1.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019530 Jan 2019 (3.34%), 19 Feb 2019 (0.33%), 27 Feb 2019 (6.23%), 22 Aug 2019 (5.74%), 17 Sep 2019 (5.28%)
2018319 Sep 2018 (-2.02%), 24 Sep 2018 (2.19%), 08 Oct 2018 (0.9%)
2016715 Jan 2016 (-2.07%), 10 Feb 2016 (-2.62%), 11 Feb 2016 (-1.33%), 23 Feb 2016 (-2.65%), 24 Feb 2016 (0.35%), 07 Apr 2016 (4.82%), 15 Nov 2016 (-0.76%)
2015907 May 2015 (2.99%), 08 Jun 2015 (-1.53%), 11 Jun 2015 (1.47%), 21 Aug 2015 (-2.35%), 24 Aug 2015 (-2.74%), 26 Aug 2015 (5.39%), 05 Nov 2015 (-2.49%), 10 Nov 2015 (1.24%), 09 Dec 2015 (0.36%)
2014110 Feb 2014 (0.27%)
2013808 Apr 2013 (0.34%), 19 Jul 2013 (0.18%), 06 Aug 2013 (-3.67%), 07 Aug 2013 (4.51%), 27 Aug 2013 (-4.67%), 28 Aug 2013 (7.85%), 21 Nov 2013 (1.91%), 17 Dec 2013 (-0.11%)
2012505 Mar 2012 (1.28%), 04 May 2012 (-1.63%), 08 May 2012 (-1.78%), 11 May 2012 (-1.79%), 16 May 2012 (4.6%)
20111231 Jan 2011 (-2.71%), 04 Feb 2011 (3.62%), 04 May 2011 (-2.33%), 12 May 2011 (-2.95%), 17 May 2011 (1.49%), 20 Jun 2011 (12.48%), 05 Aug 2011 (-2.49%), 08 Aug 2011 (-2.66%), 18 Aug 2011 (-2.37%), 25 Aug 2011 (2.82%), 21 Nov 2011 (-0.71%), 25 Nov 2011 (1.96%)
2010222 Jan 2010 (-4.08%), 25 May 2010 (4.19%)
2009421 Jan 2009 (4.9%), 24 Feb 2009 (-5.91%), 26 Feb 2009 (-1.17%), 04 Mar 2009 (35.93%)
20081517 Mar 2008 (12.2%), 26 May 2008 (-4.5%), 29 May 2008 (0.66%), 06 Jun 2008 (-5.0%), 09 Jun 2008 (-5.7%), 10 Jun 2008 (-2.12%), 27 Jun 2008 (-6.49%), 01 Jul 2008 (2.36%), 16 Jul 2008 (29.19%), 08 Oct 2008 (-6.98%), 10 Oct 2008 (-1.94%), 24 Oct 2008 (-9.84%), 27 Oct 2008 (19.55%), 19 Nov 2008 (-11.27%), 20 Nov 2008 (17.13%)
2007102 Apr 2007 (7.77%)
2006201 Jun 2006 (2.07%), 13 Jun 2006 (2.9%)
2004514 May 2004 (-5.71%), 17 May 2004 (7.93%), 24 Jun 2004 (-2.58%), 30 Jun 2004 (11.67%), 17 Aug 2004 (13.88%)
2003317 Apr 2003 (-3.61%), 24 Apr 2003 (-4.11%), 25 Apr 2003 (14.2%)
2002802 Jan 2002 (-2.21%), 07 Jan 2002 (0.99%), 22 Apr 2002 (-0.17%), 28 May 2002 (-2.91%), 04 Jun 2002 (-3.03%), 24 Jul 2002 (-1.42%), 22 Aug 2002 (-3.06%), 26 Aug 2002 (2.81%)
2001123 Jan 2001 (5.84%)
2000127 Sep 2000 (2.97%)
1999911 Feb 1999 (16.61%), 26 Mar 1999 (-3.52%), 30 Mar 1999 (-1.66%), 17 Apr 1999 (-4.51%), 19 Apr 1999 (-3.21%), 26 Apr 1999 (22.15%), 01 Nov 1999 (-1.99%), 15 Nov 1999 (-5.18%), 19 Nov 1999 (22.2%)
19981628 Jan 1998 (-1.33%), 08 Jun 1998 (-0.47%), 11 Jun 1998 (-4.4%), 16 Jun 1998 (3.41%), 23 Jul 1998 (-2.76%), 03 Aug 1998 (-2.27%), 11 Aug 1998 (-1.54%), 18 Aug 1998 (-1.37%), 25 Aug 1998 (-0.67%), 28 Aug 1998 (1.11%), 23 Sep 1998 (-1.86%), 25 Sep 1998 (1.33%), 05 Oct 1998 (-2.77%), 22 Oct 1998 (1.58%), 01 Dec 1998 (5.78%), 18 Dec 1998 (-0.57%)
1997419 Sep 1997 (-2.63%), 22 Sep 1997 (12.52%), 12 Nov 1997 (-2.77%), 13 Nov 1997 (-0.93%)
19961309 Jul 1996 (-2.47%), 12 Jul 1996 (-3.29%), 16 Jul 1996 (-0.84%), 30 Jul 1996 (12.48%), 13 Sep 1996 (-2.43%), 16 Sep 1996 (-2.49%), 17 Sep 1996 (1.57%), 30 Sep 1996 (-3.46%), 01 Oct 1996 (-3.65%), 07 Oct 1996 (-3.8%), 08 Oct 1996 (-4.09%), 09 Oct 1996 (18.74%), 04 Dec 1996 (-2.74%)



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