Study: Sell HDFC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA

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In this study, we evaluate the performance of strategy "Sell HDFC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA" 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
122424.6733171651.524391.7513926.67-3264.69-8644.171.351.430.027679.54
2-26729.0733161748.484980.1613481.5-6259.51-20080.730.80.75-0.023-809.97
3-37544.433171651.525568.0920515.33-8262.62-34994.950.670.72-0.023-1137.71
4-60167.0133161748.484761.2821370.87-8020.44-25590.310.590.56-0.042-1823.24
5-84281.9633132039.395352.3817148.1-7693.14-24004.180.70.45-0.059-2554
6-11119233151845.453799.9411566.71-9343.93-24076.690.410.34-0.082-3369.44
7-95674.3133151845.455109.7511552.08-9573.37-31624.620.530.44-0.063-2899.22
8-85406.7533151845.455843.9220138.5-9614.75-25969.090.610.51-0.052-2588.08
9-64367.4633132039.398213.5419363.53-8557.18-28548.980.960.62-0.036-1950.53
10-59871.7833132039.398814.7519951.04-8723.17-26348.871.010.66-0.033-1814.3

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 51.52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.

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
200trail21.7739529.0948202841.675847.157925.75-2764.78-3899.032.111.510.038823.52
200nil22.0235902.1345192642.225943.937925.75-2962.79-3899.032.011.470.036797.83
nilnil-1122424.6733171651.524391.7513926.67-3264.69-8644.171.351.430.027679.54
200trail32.5227655.7446163034.786605.1111888.63-2600.87-3899.032.541.350.025601.21
200trail-13.4310462.5646163034.785530.5421064.07-2600.87-3899.032.131.130.0089227.45
200nil33.23909.24401030259222.6111888.63-2943.89-3942.983.131.040.003797.73
atrtrail33.67-46077.8942132930.956787.3218866.13-4631.48-12087.281.470.66-0.033-1097.09
atrtrail23.57-56168.3842132930.956011.1212577.42-4631.48-12087.281.30.58-0.045-1337.34
atrtrail-13.83-59038.842132930.955790.3214712.43-4631.48-12087.281.250.56-0.047-1405.69
atrnil37.06-93626.133362718.1814792.7819906.07-6754.92-13659.162.190.49-0.066-2837.16
atrnil26.06-1099653372621.219714.6513270.71-6844.89-13659.161.420.38-0.093-3332.26

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 41.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019630 Jan 2019 (-1.06%), 15 Feb 2019 (-1.0%), 21 Feb 2019 (2.0%), 06 Mar 2019 (-1.15%), 22 Aug 2019 (-1.24%), 27 Sep 2019 (2.83%)
2018121 Sep 2018 (3.49%)
2016317 Nov 2016 (2.42%), 22 Nov 2016 (2.68%), 25 Nov 2016 (-1.65%)
2015307 May 2015 (-1.08%), 08 Jun 2015 (-1.07%), 21 Aug 2015 (3.96%)
2013811 Apr 2013 (-1.72%), 16 Jul 2013 (-1.24%), 17 Jul 2013 (-1.15%), 01 Aug 2013 (3.06%), 20 Nov 2013 (-0.37%), 26 Nov 2013 (-1.58%), 10 Dec 2013 (-1.69%), 13 Dec 2013 (3.94%)
2012727 Feb 2012 (-1.31%), 29 Feb 2012 (-1.57%), 16 Mar 2012 (2.5%), 21 Mar 2012 (2.07%), 09 Apr 2012 (-1.37%), 03 May 2012 (2.31%), 07 May 2012 (3.14%)
2011104 Aug 2011 (2.4%)
2010322 Jan 2010 (2.93%), 02 Feb 2010 (-1.95%), 25 May 2010 (-1.56%)
2008103 Apr 2008 (3.68%)
2007102 Apr 2007 (-1.45%)
2004131 May 2004 (3.9%)
2003131 Mar 2003 (-1.29%)
2002102 Jan 2002 (2.9%)
2001123 Jan 2001 (-1.77%)
2000103 Oct 2000 (-1.4%)
1999301 Nov 1999 (-1.18%), 05 Nov 1999 (2.24%), 11 Nov 1999 (3.11%)
1998212 May 1998 (-1.48%), 15 May 1998 (-1.89%)
1996304 Jul 1996 (-1.57%), 09 Jul 1996 (-1.94%), 10 Jul 1996 (2.91%)
1995122 Nov 1995 (-1.0%)



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