Study: Sell HDFCBANK when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when near 200 SMA and below 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: 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
1-41583.820812401593.325985.29-4527.53-12801.050.350.23-0.099-2079.19
2-43287.5420515255556.659094.29-4738.05-19073.831.170.39-0.065-2164.38
3-29333.32201010503348.969268.51-6282.3-16079.510.530.53-0.046-1466.67
4-10319.82201010505887.313106.95-6919.28-18094.590.850.85-0.013-515.99
5-17776.2520713358191.419637.42-5778.16-22225.281.420.76-0.019-888.81
6-6529.8220911457003.3623152.5-6323.64-20188.541.110.91-0.007-326.49
77512.9120911457562.2621720.12-5504.31-14491.161.371.120.0091375.65
81997.9320812409154.2920352.55-5936.37-18738.861.541.030.002199.9
9-56.1820812409685.8924375.47-6461.94-19437.971.51-5.8e-05-2.81
103004.8820911459965.3820828.38-7880.32-20287.871.261.030.0028150.24
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
atrnil25.4321056.122381534.7813259.5223965.06-5668-12565.812.341.250.019915.48
atrtrail23.42-11509.692671926.9210742.7223965.06-4563.62-12565.812.350.87-0.011-442.68
atrtrail34.19-19012.462671926.929670.923716.39-4563.62-12565.812.120.78-0.019-731.25
atrnil37.3-33078.342341917.3919683.7123716.39-5884.9-12565.813.340.7-0.029-1438.19
atrtrail-14.35-31706.432671926.927857.4717336.72-4563.62-12565.811.720.63-0.037-1219.48
200trail32.19-41209.843142712.97732.911406.14-2671.9-3906.092.890.43-0.075-1329.35
200trail22.03-41132.713152616.135878.317896.41-2712.47-3906.092.170.42-0.083-1326.86
200nil22.21-43665.172952417.245878.317896.41-3044.03-3906.091.930.4-0.089-1505.7
200trail-12.58-45537.58313289.689292.3417034.33-2621.95-3906.093.540.38-0.076-1468.95
200nil32.38-52960.162932610.348698.0811406.14-3040.55-3948.212.860.33-0.1-1826.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. 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 34.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, 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:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019206 Aug 2019 (-1.89%), 19 Aug 2019 (-1.97%)
2018319 Sep 2018 (-1.53%), 21 Sep 2018 (-1.74%), 12 Oct 2018 (4.34%)
2017103 Jan 2017 (-1.52%)
2016329 Jan 2016 (4.02%), 24 Nov 2016 (-2.07%), 14 Dec 2016 (-1.82%)
2015214 Sep 2015 (-2.25%), 22 Sep 2015 (-2.28%)
2013128 Mar 2013 (-2.57%)
2011324 Jan 2011 (6.82%), 29 Aug 2011 (-3.38%), 05 Dec 2011 (6.69%)
2007107 Mar 2007 (-4.97%)
2006306 Jun 2006 (11.98%), 28 Jun 2006 (-6.28%), 24 Jul 2006 (-5.07%)
2002230 Jan 2002 (-3.19%), 20 Sep 2002 (3.65%)
2001107 May 2001 (7.62%)
1998122 Sep 1998 (7.91%)



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