Study: Buy HDFC when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HDFC when above 200 SMA and RSI is oversold" 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
1-623.52115645.454494.968187.72-3849.72-8356.731.170.97-0.0024-56.68
2-124.31116554.553942.977883.68-4756.43-10069.930.830.99-0.00044-11.3
33369.67114736.368601.0816253.36-4433.52-10787.851.941.110.0084306.33
419554.91116554.558125.9421894.23-5840.14-10503.031.391.670.0411777.72
536040.63117463.648920.5228184.44-6600.75-16508.721.352.370.0633276.42
644214.12117463.648994.5329789.86-4686.9-7464.861.923.360.0834019.47
752799.16117463.648930.0726200.58-2427.83-4930.53.686.440.124799.92
888829.87119281.8210822.8939012.05-4288.07-5230.772.5211.360.148075.44
985915.9119281.8210718.7940525.84-5276.61-9034.972.039.140.137810.54
1098901.8119281.8212507.2944601.14-6831.91-9790.211.838.240.138991.07
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=8, Profit Factor:11.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017125 Oct 2017 (6.71%)
2016117 Oct 2016 (5.88%)
2015130 Apr 2015 (4.22%)
2010121 Jan 2010 (3.23%)
2008122 Jan 2008 (19.51%)
2005123 Mar 2005 (2.48%)
2004117 Mar 2004 (5.64%)
2003212 Mar 2003 (-2.62%), 27 Mar 2003 (0.12%)
2000126 Sep 2000 (0.92%)
1997115 Sep 1997 (-1.67%)

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
atrnil37.9398266.8415694024526.2340782.01-5432.28-8163.614.513.010.0856551.12
atrnil23.7557823.62167943.7515341.8327188-5507.68-8163.612.792.170.0663613.98
atrtrail34.3126610.771651131.2515596.5840782.01-4670.2-8163.613.341.520.0271663.17
atrtrail2324451.921651131.2515164.8127188-4670.2-8163.613.251.480.0311528.24
atrtrail-14.7519234.011651131.2514121.2331401.64-4670.2-8163.613.021.370.0221202.13

In the table above, row 1 shows the best exit criterion. Profit factor is 3.01. Strategy is very good and impressively bullish. Percentage of profitable trades is 40%, which is not acceptable. Avoid this strategy. Average return per trade is 3.28%, which is very good. Sharpe Ratio is 0.085, 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:3.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017125 Oct 2017 (-1.8%)
2016117 Oct 2016 (6.29%)
2015130 Apr 2015 (9.93%)
2010121 Jan 2010 (-2.79%)
2008122 Jan 2008 (20.39%)
2005223 Mar 2005 (-3.36%), 29 Mar 2005 (10.89%)
2004117 Mar 2004 (12.33%)
2003312 Mar 2003 (-1.99%), 17 Mar 2003 (-2.32%), 28 Mar 2003 (-2.73%)
2000226 Sep 2000 (-4.08%), 28 Sep 2000 (13.75%)
1997215 Sep 1997 (-2.76%), 18 Sep 1997 (-2.61%)



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