Study: Buy HDFCBANK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
142745.47123685555.282707.5920797.72-2570.38-23221.421.051.30.017347.52
291749.95123705356.914023.1730484.33-3582.49-13666.071.121.480.027745.93
3121694123626150.415655.7528218.18-3753.48-14216.741.511.530.031989.38
4136257123685555.285973.4139886.85-4907.9-17964.711.221.50.0281107.78
5181606123675654.477034.0742149.93-5172.8-18203.261.361.630.0331476.47
6121331123715257.726519.3936916.55-6568.19-50905.70.991.360.02986.43
7253617123695456.18198.5240700.81-5779.28-217761.421.810.0432061.92
8204553123695456.18046.7531966.05-6493.94-21886.41.241.580.0341663.03
9177307123715257.728252.0631992.69-7857.5-21759.661.051.430.0281441.52
10194645123665753.669742.1239689.36-7865.52-34464.41.241.430.0271582.48
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
50trail-14.321168591895613329.638134.9732727.02-2546.61-3973.123.191.350.019618.3
atrnil311.09113507106347232.0816730.4226060.76-6324-13926.722.651.250.0191070.82
atrtrail-15.8793904.68153599438.568618.4932825.72-4410.49-11077.881.951.230.015613.76
atrtrail35.2181218.13153599438.568403.4623637.53-4410.49-11077.881.911.20.014530.84
50nil34.0859422.471694612327.229231.7711675.11-2969.42-3973.123.111.160.013351.61
50nil22.9243520.31866612035.486087.347825.37-2985.37-3973.122.041.120.011233.98
atrnil27.6252215.17122457736.8911576.1324900.61-6087.15-13926.721.91.110.0096427.99
50trail22.636316.11956712834.365592.977825.37-2643.85-3973.122.121.110.0093186.24
50trail33.2131378.321905813230.536307.3611276.27-2533.7-3973.122.491.090.0072165.15
atrtrail24.7616248.66153599438.567302.2924900.61-4410.49-11077.881.661.040.0031106.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 29.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
HDFCBANK Performance, Profit Factor:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019823 Jan 2019 (-1.35%), 05 Feb 2019 (-0.15%), 21 Feb 2019 (-1.19%), 25 Feb 2019 (-1.61%), 07 Mar 2019 (7.29%), 08 Jul 2019 (-1.51%), 11 Jul 2019 (-1.15%), 18 Jul 2019 (-1.1%)
2018701 Jan 2018 (6.07%), 06 Feb 2018 (-1.61%), 26 Feb 2018 (-1.6%), 26 Mar 2018 (-0.08%), 05 Apr 2018 (0.31%), 03 Aug 2018 (-0.47%), 09 Aug 2018 (-1.26%)
2017710 Jan 2017 (6.92%), 26 Sep 2017 (2.35%), 30 Oct 2017 (-0.59%), 17 Nov 2017 (0.64%), 04 Dec 2017 (-1.51%), 08 Dec 2017 (-1.02%), 14 Dec 2017 (-0.06%)
2016405 Jul 2016 (5.71%), 30 Sep 2016 (-0.26%), 21 Oct 2016 (-1.01%), 10 Nov 2016 (-1.42%)
20151213 Mar 2015 (0.0%), 20 May 2015 (-0.33%), 04 Jun 2015 (-1.02%), 10 Jun 2015 (-1.27%), 18 Jun 2015 (2.1%), 12 Aug 2015 (-0.13%), 29 Sep 2015 (0.72%), 09 Nov 2015 (-1.6%), 19 Nov 2015 (-1.41%), 27 Nov 2015 (-1.54%), 17 Dec 2015 (-1.37%), 28 Dec 2015 (-1.1%)
2014617 Jan 2014 (0.44%), 24 Jan 2014 (-1.91%), 20 Feb 2014 (9.9%), 29 Apr 2014 (8.23%), 11 Jul 2014 (1.83%), 14 Aug 2014 (2.72%)
20131007 Jan 2013 (-1.1%), 14 Feb 2013 (-0.99%), 12 Apr 2013 (5.58%), 06 Jun 2013 (-1.87%), 11 Jul 2013 (-0.89%), 18 Jul 2013 (-1.44%), 26 Nov 2013 (-1.08%), 27 Nov 2013 (4.91%), 18 Dec 2013 (-1.15%), 26 Dec 2013 (-1.4%)
2012320 Mar 2012 (0.29%), 04 Sep 2012 (-0.92%), 11 Sep 2012 (4.29%)
20111505 Jan 2011 (-0.97%), 18 Feb 2011 (-1.87%), 04 May 2011 (-1.37%), 09 May 2011 (-1.88%), 27 May 2011 (2.06%), 16 Jun 2011 (-1.4%), 21 Jun 2011 (8.71%), 28 Jul 2011 (-1.57%), 07 Sep 2011 (-1.71%), 15 Sep 2011 (-1.49%), 16 Sep 2011 (-0.04%), 13 Oct 2011 (1.66%), 26 Oct 2011 (0.68%), 02 Dec 2011 (-1.2%), 07 Dec 2011 (-1.68%)
2010818 Feb 2010 (-1.3%), 06 May 2010 (-1.98%), 07 Jul 2010 (5.95%), 22 Oct 2010 (-1.28%), 01 Nov 2010 (0.51%), 15 Nov 2010 (-1.43%), 02 Dec 2010 (-1.65%), 29 Dec 2010 (-0.04%)
2009709 Jul 2009 (-1.76%), 22 Jul 2009 (-1.72%), 04 Aug 2009 (-1.85%), 21 Aug 2009 (-0.93%), 26 Aug 2009 (-1.82%), 01 Sep 2009 (-1.21%), 04 Sep 2009 (0.75%)
2007912 Jan 2007 (0.73%), 19 Jan 2007 (-1.22%), 13 Feb 2007 (-1.33%), 22 Mar 2007 (-1.92%), 19 Apr 2007 (-1.22%), 02 Aug 2007 (-1.48%), 09 Aug 2007 (-1.48%), 28 Aug 2007 (-1.03%), 29 Aug 2007 (-0.34%)
20061020 Feb 2006 (-0.96%), 23 Feb 2006 (-1.0%), 27 Feb 2006 (2.79%), 29 Mar 2006 (10.38%), 19 May 2006 (-1.07%), 03 Jul 2006 (0.08%), 07 Jul 2006 (-1.61%), 10 Jul 2006 (-1.71%), 11 Dec 2006 (-1.56%), 13 Dec 2006 (0.04%)
20051011 Jan 2005 (-1.62%), 21 Mar 2005 (-1.19%), 23 May 2005 (-1.47%), 24 May 2005 (-1.08%), 03 Jun 2005 (5.57%), 30 Aug 2005 (-1.32%), 08 Sep 2005 (7.34%), 23 Sep 2005 (0.93%), 07 Oct 2005 (-0.79%), 13 Oct 2005 (-1.92%)
20041706 Feb 2004 (4.67%), 20 Feb 2004 (-1.25%), 23 Feb 2004 (-1.73%), 25 Feb 2004 (2.88%), 30 Mar 2004 (2.75%), 20 Apr 2004 (-0.68%), 04 May 2004 (0.24%), 07 May 2004 (-1.33%), 09 Jun 2004 (-1.08%), 16 Jun 2004 (0.17%), 28 Jun 2004 (-1.28%), 06 Jul 2004 (-1.18%), 09 Jul 2004 (-1.87%), 13 Jul 2004 (-1.05%), 16 Jul 2004 (0.19%), 06 Aug 2004 (-0.39%), 27 Aug 2004 (9.37%)
20031616 Apr 2003 (-0.86%), 28 Apr 2003 (0.68%), 08 May 2003 (-1.08%), 23 May 2003 (-0.59%), 02 Jun 2003 (5.44%), 19 Jun 2003 (-1.99%), 20 Jun 2003 (-1.5%), 27 Jun 2003 (13.43%), 14 Aug 2003 (5.59%), 08 Sep 2003 (-1.64%), 16 Sep 2003 (-1.34%), 30 Sep 2003 (11.98%), 14 Nov 2003 (0.2%), 19 Nov 2003 (-1.59%), 20 Nov 2003 (-1.02%), 25 Nov 2003 (6.98%)
2002511 Feb 2002 (-0.63%), 14 Feb 2002 (3.62%), 11 Mar 2002 (-1.39%), 19 Mar 2002 (-1.97%), 02 Apr 2002 (-1.52%)
2001312 Mar 2001 (-1.6%), 17 Apr 2001 (-1.53%), 20 Apr 2001 (-1.06%)
20001128 Apr 2000 (-1.77%), 02 Jun 2000 (-1.14%), 06 Jun 2000 (-1.81%), 17 Jul 2000 (-1.33%), 03 Aug 2000 (-1.9%), 08 Aug 2000 (-1.67%), 04 Oct 2000 (-1.24%), 11 Oct 2000 (-1.48%), 12 Oct 2000 (-1.36%), 13 Oct 2000 (-1.29%), 16 Oct 2000 (-1.35%)
1999705 Jul 1999 (0.73%), 13 Aug 1999 (-1.0%), 17 Aug 1999 (0.05%), 20 Aug 1999 (7.99%), 26 Oct 1999 (0.05%), 28 Oct 1999 (-1.11%), 03 Nov 1999 (-1.03%)
1998209 Jan 1998 (-1.79%), 27 Jan 1998 (-1.8%)
1997528 May 1997 (-1.04%), 20 Aug 1997 (-1.85%), 21 Aug 1997 (-1.6%), 05 Sep 1997 (-1.48%), 14 Oct 1997 (16.36%)
1996712 Jun 1996 (10.71%), 23 Jul 1996 (-1.63%), 02 Sep 1996 (-1.37%), 05 Sep 1996 (-1.0%), 20 Sep 1996 (-1.13%), 01 Oct 1996 (-1.08%), 05 Dec 1996 (5.22%)



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