Study: Buy HDFC when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy HDFC when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-10031.382381534.782550.425614.38-2028.98-6093.411.260.67-0.031-436.15
2-12384.4223121152.172602.117929.08-3964.52-11081.90.660.72-0.026-538.45
3-11401.7223101343.484704.9313450.34-4496.23-13743.631.050.8-0.017-495.73
4-9094.723111247.835756.3721498.21-6034.56-18135.490.950.87-0.01-395.42
5-20417.9123101343.485019.669590.92-5431.88-16301.490.920.71-0.029-887.74
6-4695.5723121152.174636.2110883.7-5484.55-14473.980.850.92-0.0067-204.16
7-10916.9823111247.835956.5512802.55-6369.92-11731.10.940.86-0.013-474.65
8-27602.6523101343.486587.3917308.35-7190.51-16590.330.920.7-0.029-1200.12
9-34989.7523111247.834927.1613226.19-7432.38-15040.270.660.61-0.041-1521.29
101399.4423131056.525766.5418296.67-7356.56-15606.450.781.020.001560.85
Although, strategy looks good but profit factor on day 9 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-13.8920807.953592625.719223.2121026.67-2392.34-3905.793.861.330.02594.51
atrnil38.5631382.95258173217997.7827074.82-6623.49-15486.072.721.280.0211255.32
atrtrail-16.1314971.530102033.3310800.4740846.39-4651.66-10668.032.321.160.0098499.05
200trail32.548483.713592625.717853.8510710.25-2392.34-3905.793.281.140.01242.39
200trail22.114666.0937122532.435576.977140.17-2490.3-3905.792.241.070.0066126.11
200nil22.71157.9135122334.295576.977140.17-2902.86-3909.851.9210.000224.51
atrtrail35.63-2153.7230102033.339087.9418215.09-4651.66-10668.031.950.98-0.0018-71.79
200nil33.3-1868.713382524.248578.1810710.25-2819.76-3905.793.040.97-0.0023-56.63
atrnil27.32-16611.12258173211998.5218049.88-6623.49-15486.071.810.85-0.015-664.44
atrtrail25.1-28842.5330102033.336419.0612143.39-4651.66-10668.031.380.69-0.031-961.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Feb 2019 (-1.17%), 11 Mar 2019 (2.81%)
2016329 Nov 2016 (-1.02%), 30 Nov 2016 (-1.31%), 07 Dec 2016 (-0.57%)
2015206 May 2015 (6.53%), 28 Oct 2015 (-1.34%)
2013113 Jun 2013 (1.31%)
2012212 Mar 2012 (-0.42%), 28 May 2012 (-1.02%)
2011215 Feb 2011 (-1.32%), 17 Feb 2011 (-1.71%)
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%)
2003128 Mar 2003 (-1.35%)
2002720 Feb 2002 (-1.95%), 22 Feb 2002 (-1.16%), 01 Mar 2002 (-0.08%), 05 Mar 2002 (-1.21%), 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%)
1998418 Mar 1998 (-1.57%), 10 Apr 1998 (-1.69%), 23 Apr 1998 (-1.04%), 29 Jun 1998 (-1.15%)
1997306 Feb 1997 (3.67%), 23 Sep 1997 (7.41%), 15 Oct 1997 (-0.77%)



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