Study: Sell HDFCBANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HDFCBANK 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
1-72252.6368284041.182869.6716077.31-3815.09-12801.050.750.53-0.047-1062.54
2-80299.0968254336.764361.6717353.95-4403.28-25947.520.990.58-0.038-1180.87
3-74887.9868274139.714780.9315490.32-4974.95-35860.060.960.63-0.032-1101.29
4-62555.3168293942.655402.1714476.98-5620.98-25655.980.960.71-0.026-919.93
5-27726.468264238.247601.5520361.01-5365.88-23323.621.420.88-0.0099-407.74
6-34946.8368313745.596190.6123152.5-6131.23-21574.341.010.85-0.013-513.92
7-62320.9768293942.656935.821720.12-6755.36-19533.531.030.76-0.022-916.48
8-68211.6468303844.126705.6924305.11-7089.01-200000.950.75-0.023-1003.11
9-62078.4668264238.248857.3433828.92-6961.17-23652.811.270.79-0.018-912.92
10-12104268264238.248269.7722872.15-8001.34-30543.321.030.64-0.036-1780.03
Although, strategy looks good but profit factor on day 1 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
atrtrail23.95-56107.4792276529.359018.2623965.06-4609.24-12565.811.960.81-0.016-609.86
atrnil25.52-84539.8877195824.6813758.8223965.06-5964.78-12565.812.310.76-0.025-1097.92
atrtrail34.38-86415.2992266628.268210.6923716.39-4543.84-12565.811.810.71-0.026-939.3
atrtrail-14.7-95425.1792266628.267864.1626750.59-4543.84-12565.811.730.68-0.029-1037.23
atrnil36.87-1449807512631619673.7533771.48-6048.65-12565.813.250.62-0.04-1933.07
200trail21.93-116015120229818.336073.397920.95-2547.24-3906.092.380.54-0.058-966.79
200nil32.55-128286112169614.299032.1211406.14-2841.67-3960.473.180.53-0.056-1145.41
200trail32.21-119869118199916.16823.7111406.14-2520.4-3906.092.710.52-0.055-1015.84
200nil22.03-139416116219518.16167.417920.95-2830.86-3906.092.180.48-0.07-1201.86
200trail-12.72-1411721171710014.536416.3124073.37-2502.49-3906.092.560.44-0.063-1206.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 29.35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.3%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, Profit Factor:0.813

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019430 Jan 2019 (-1.36%), 06 Aug 2019 (-1.64%), 19 Aug 2019 (0.11%), 29 Aug 2019 (-1.19%)
2018519 Sep 2018 (-1.53%), 21 Sep 2018 (0.44%), 26 Sep 2018 (-1.82%), 12 Oct 2018 (-1.36%), 23 Oct 2018 (4.11%)
2017203 Jan 2017 (-1.09%), 09 Jan 2017 (-1.36%)
2016712 Jan 2016 (-1.44%), 14 Jan 2016 (0.69%), 29 Jan 2016 (-1.31%), 21 Mar 2016 (-1.93%), 24 Nov 2016 (-2.07%), 14 Dec 2016 (-1.39%), 28 Dec 2016 (-1.52%)
2015524 Aug 2015 (-1.59%), 14 Sep 2015 (-1.53%), 22 Sep 2015 (-2.28%), 18 Nov 2015 (-1.66%), 08 Dec 2015 (-1.32%)
2014117 Feb 2014 (-2.12%)
20131020 Mar 2013 (0.68%), 28 Mar 2013 (-0.92%), 02 Jul 2013 (-1.64%), 10 Jul 2013 (-2.44%), 24 Jul 2013 (5.71%), 18 Sep 2013 (-3.8%), 09 Oct 2013 (-2.46%), 12 Nov 2013 (-1.19%), 20 Nov 2013 (-1.07%), 19 Dec 2013 (-2.94%)
2012111 Jan 2012 (-2.15%)
20111511 Jan 2011 (-3.07%), 13 Jan 2011 (0.72%), 24 Jan 2011 (6.82%), 07 Mar 2011 (-1.63%), 03 May 2011 (-1.94%), 10 May 2011 (-2.31%), 24 May 2011 (-2.22%), 16 Aug 2011 (-3.36%), 24 Aug 2011 (0.42%), 29 Aug 2011 (-3.38%), 23 Sep 2011 (-2.05%), 03 Oct 2011 (0.34%), 10 Oct 2011 (-3.43%), 17 Nov 2011 (5.82%), 05 Dec 2011 (6.69%)
2009102 Apr 2009 (-4.48%)
2008203 Mar 2008 (11.48%), 28 Mar 2008 (1.06%)
2007307 Mar 2007 (-4.97%), 15 Mar 2007 (-3.44%), 29 Mar 2007 (-1.09%)
2006406 Jun 2006 (11.98%), 28 Jun 2006 (-6.28%), 14 Jul 2006 (-0.68%), 24 Jul 2006 (-5.07%)
2002930 Jan 2002 (-2.01%), 08 Feb 2002 (-3.02%), 04 Apr 2002 (-3.12%), 05 Apr 2002 (-1.39%), 16 Apr 2002 (-3.0%), 23 Apr 2002 (1.17%), 04 Jun 2002 (0.12%), 19 Sep 2002 (3.66%), 27 Sep 2002 (4.59%)
20011312 Jan 2001 (-3.23%), 24 Apr 2001 (-0.73%), 07 May 2001 (-1.83%), 10 May 2001 (-2.46%), 16 May 2001 (-3.45%), 21 May 2001 (7.8%), 25 Jul 2001 (-1.94%), 02 Aug 2001 (-0.56%), 04 Sep 2001 (-2.33%), 07 Sep 2001 (4.62%), 27 Nov 2001 (4.63%), 06 Dec 2001 (-2.7%), 31 Dec 2001 (-1.43%)
2000215 Sep 2000 (6.87%), 27 Oct 2000 (-3.25%)
1999112 Mar 1999 (2.72%)
1998403 Feb 1998 (9.36%), 19 Mar 1998 (-3.41%), 15 May 1998 (11.26%), 22 Sep 1998 (7.91%)
1996328 May 1996 (-3.61%), 20 Aug 1996 (-3.64%), 08 Oct 1996 (-3.22%)



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