Study: Buy HDFC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy HDFC when 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
136310.0161322952.463828.6716697.12-2972.67-13023.721.291.420.025595.25
295886.3661392263.935310.7333310.43-5056-14906.441.051.860.0431571.91
312865061382362.3676751999.45-5586.78-26296.811.2120.0432109.02
412088961372460.667129.958238.29-5954.9-22039.721.21.850.0391981.78
516812061392263.937534.5752439.19-5714.95-23290.571.322.340.0552756.06
621667261342755.7410409.9269863.95-5083.9-23042.82.052.580.0573552
725128661382362.310450.4662580.73-6340.5-17463.621.652.720.0684119.44
829198161441772.139895.9555215.06-8437.7-17463.621.173.040.084786.57
932948861421968.8511428.4755439.63-7921.47-21809.671.443.190.0825401.44
1030038261421968.8511040.0252834.27-8594.65-25294.191.282.840.0754924.3
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=9, Profit Factor:3.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Jan 2019 (1.35%), 09 May 2019 (11.71%), 23 Jul 2019 (0.65%)
2018321 May 2018 (1.38%), 16 Aug 2018 (2.27%), 11 Sep 2018 (-5.39%)
2017406 Mar 2017 (6.72%), 27 Sep 2017 (1.83%), 25 Oct 2017 (5.19%), 06 Dec 2017 (3.69%)
2016213 Oct 2016 (-0.32%), 11 Nov 2016 (-1.92%)
2015326 Mar 2015 (0.52%), 24 Apr 2015 (-4.8%), 12 Aug 2015 (-9.22%)
2014407 May 2014 (10.32%), 10 Sep 2014 (3.0%), 10 Oct 2014 (3.02%), 12 Dec 2014 (4.36%)
2013411 Jan 2013 (-0.23%), 25 Jan 2013 (0.6%), 26 Feb 2013 (7.79%), 04 Jun 2013 (-1.15%)
2011110 Jan 2011 (-0.37%)
2010412 Jan 2010 (-6.94%), 19 May 2010 (1.24%), 28 Jul 2010 (6.14%), 09 Dec 2010 (4.44%)
2009310 Jul 2009 (11.49%), 03 Nov 2009 (6.15%), 15 Dec 2009 (2.29%)
2008221 Jan 2008 (11.72%), 11 Mar 2008 (6.71%)
2007128 Feb 2007 (6.51%)
2006409 Mar 2006 (3.13%), 12 Apr 2006 (0.79%), 22 May 2006 (-2.63%), 12 Dec 2006 (6.81%)
2005405 Jan 2005 (4.24%), 22 Mar 2005 (-1.76%), 25 Aug 2005 (5.86%), 21 Oct 2005 (8.74%)
2004217 Mar 2004 (6.0%), 12 May 2004 (-2.67%)
2003212 Mar 2003 (-4.52%), 28 Mar 2003 (2.04%)
2001316 Jan 2001 (5.58%), 05 Mar 2001 (8.23%), 14 Sep 2001 (1.48%)
2000330 Mar 2000 (24.57%), 04 Jul 2000 (0.2%), 22 Sep 2000 (-6.56%)
1999129 Oct 1999 (-5.32%)
1997531 Mar 1997 (4.92%), 30 Jul 1997 (-5.11%), 18 Aug 1997 (-0.53%), 02 Sep 1997 (-4.93%), 16 Sep 1997 (7.58%)
1996314 Mar 1996 (27.72%), 27 May 1996 (1.05%), 03 Jul 1996 (-10.9%)

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-15.2817976989414846.0710331.4248861.23-5079.56-11481.452.031.740.0362019.88
atrnil38.8820830475264934.6720074.0749202.07-6400.45-12714.493.141.660.0412777.39
atrtrail34.5315643089414846.079762.1649202.07-5079.56-11481.451.921.640.0331757.64
atrtrail23.7310722089414846.078561.9232801.38-5079.56-11481.451.691.440.0281204.72
atrnil25.7613210080334741.2513132.0132801.38-6409.71-12714.492.051.440.0321651.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 46.07%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019529 Jan 2019 (-1.99%), 09 May 2019 (13.6%), 23 Jul 2019 (0.39%), 31 Jul 2019 (-2.21%), 01 Aug 2019 (3.47%)
2018521 May 2018 (-1.61%), 23 May 2018 (0.96%), 16 Aug 2018 (1.69%), 11 Sep 2018 (1.2%), 18 Sep 2018 (-1.98%)
2017406 Mar 2017 (9.6%), 27 Sep 2017 (1.05%), 25 Oct 2017 (-1.8%), 06 Dec 2017 (2.75%)
2016313 Oct 2016 (-2.04%), 17 Oct 2016 (2.25%), 11 Nov 2016 (-2.87%)
2015626 Mar 2015 (1.0%), 24 Apr 2015 (-2.86%), 27 Apr 2015 (-1.77%), 30 Apr 2015 (-0.54%), 12 Aug 2015 (0.62%), 20 Aug 2015 (-2.27%)
2014607 May 2014 (3.73%), 10 Sep 2014 (-0.83%), 16 Sep 2014 (3.51%), 10 Oct 2014 (-1.54%), 16 Oct 2014 (11.47%), 12 Dec 2014 (2.26%)
2013811 Jan 2013 (-0.08%), 25 Jan 2013 (-2.09%), 31 Jan 2013 (2.77%), 26 Feb 2013 (-1.22%), 28 Feb 2013 (7.16%), 04 Jun 2013 (-2.76%), 11 Jun 2013 (-2.87%), 13 Jun 2013 (1.13%)
2011210 Jan 2011 (1.06%), 14 Jan 2011 (1.19%)
2010512 Jan 2010 (-2.55%), 21 Jan 2010 (-2.79%), 19 May 2010 (-1.08%), 28 Jul 2010 (5.33%), 09 Dec 2010 (0.21%)
2009310 Jul 2009 (9.09%), 03 Nov 2009 (4.27%), 15 Dec 2009 (0.59%)
2008321 Jan 2008 (-5.45%), 22 Jan 2008 (15.7%), 11 Mar 2008 (-4.94%)
2007128 Feb 2007 (2.22%)
2006609 Mar 2006 (1.85%), 12 Apr 2006 (-3.06%), 13 Apr 2006 (-0.03%), 22 May 2006 (-2.1%), 24 May 2006 (-3.16%), 12 Dec 2006 (0.41%)
2005605 Jan 2005 (-2.71%), 07 Jan 2005 (4.04%), 22 Mar 2005 (-3.05%), 23 Mar 2005 (-3.3%), 25 Aug 2005 (16.64%), 21 Oct 2005 (12.72%)
2004217 Mar 2004 (13.33%), 12 May 2004 (-2.95%)
2003312 Mar 2003 (-1.99%), 17 Mar 2003 (1.33%), 28 Mar 2003 (-2.73%)
2001416 Jan 2001 (-2.86%), 19 Jan 2001 (-3.49%), 05 Mar 2001 (-1.69%), 14 Sep 2001 (-3.99%)
2000430 Mar 2000 (20.39%), 04 Jul 2000 (0.09%), 22 Sep 2000 (-3.58%), 26 Sep 2000 (-4.08%)
1999129 Oct 1999 (-5.74%)
1997831 Mar 1997 (1.45%), 30 Jul 1997 (0.66%), 07 Aug 1997 (-4.45%), 12 Aug 1997 (-1.43%), 02 Sep 1997 (-1.55%), 10 Sep 1997 (-2.29%), 15 Sep 1997 (-2.76%), 18 Sep 1997 (-2.61%)
1996414 Mar 1996 (24.43%), 27 May 1996 (-3.03%), 28 May 1996 (4.18%), 03 Jul 1996 (-3.13%)



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