Study: Sell HDFCBANK when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell HDFCBANK when there is Dead Cross (50 DMA < 200 DMA)" 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
19885.18169756.253110.647725.48-2587.23-8664.11.21.550.033617.82
211164.531688504990.2413012.05-3594.68-9445.591.391.390.024697.78
340665.45169756.257204.0924027.83-3453.05-10201.212.092.680.0652541.59
420835.511688507506.9324905.92-4902.49-15349.871.531.530.0311302.22
5-19180.1167943.754548.9714570.82-5669.21-18766.180.80.62-0.035-1198.76
6-34762.841688504974.7811845.49-9320.13-24328.270.530.53-0.05-2172.68
7-56628.7169756.254178.3813583.69-13462.02-32186.720.310.4-0.064-3539.29
8-43975.66167943.757171.1814871.24-10463.77-28441.010.690.53-0.05-2748.48
9-43393.75167943.756366.3121759.66-9773.1-25579.970.650.51-0.051-2712.11
10-54576.271661037.59926.125751.07-11413.29-28036.330.870.52-0.053-3411.02
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
HDFCBANK Performance, X=3, Profit Factor:2.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020218 Mar 2020 (12.01%), 29 Sep 2020 (-4.88%)
2018106 Nov 2018 (1.31%)
2017118 Jan 2017 (-0.16%)
2016112 Feb 2016 (-0.36%)
2013106 Aug 2013 (1.06%)
2011216 Feb 2011 (-5.1%), 02 Dec 2011 (2.63%)
2008109 Apr 2008 (5.55%)
2007110 May 2007 (0.07%)
2002121 May 2002 (2.5%)
2001115 May 2001 (2.14%)
2000112 Oct 2000 (-0.55%)
1998223 Mar 1998 (-0.89%), 18 Jun 1998 (5.14%)
1996129 May 1996 (-0.15%)

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
atrtrail24.11-410.811861233.338912.8723689.55-4490.67-8562.051.980.99-0.00056-22.82
atrnil25.78-9872.681851327.7815381.1523689.55-6675.26-11114.272.30.89-0.011-548.48
atrtrail34.56-12017.841861233.336978.3720519.18-4490.67-8562.051.550.78-0.019-667.66
atrtrail-14.72-13769.561861233.336686.4118767.45-4490.67-8562.051.490.74-0.023-764.98
atrnil37.83-42785.721831516.6720611.3922809.13-6974.66-11844.782.960.59-0.045-2376.98

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.011%, 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:0.992

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020218 Mar 2020 (11.84%), 29 Sep 2020 (-2.42%)
2018106 Nov 2018 (-0.59%)
2017118 Jan 2017 (-0.8%)
2016112 Feb 2016 (-2.18%)
2013106 Aug 2013 (-1.81%)
2011316 Feb 2011 (-3.0%), 17 Feb 2011 (6.0%), 02 Dec 2011 (6.84%)
2008109 Apr 2008 (0.33%)
2007110 May 2007 (-1.47%)
2002121 May 2002 (1.09%)
2001115 May 2001 (-1.26%)
2000112 Oct 2000 (-4.28%)
1998323 Mar 1998 (-3.56%), 24 Mar 1998 (-3.62%), 18 Jun 1998 (0.64%)
1996129 May 1996 (-1.95%)



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