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
117159.83149564.293110.647725.48-2167.19-8664.11.442.580.0691225.7
220878.84148657.144990.2413012.05-3173.85-9445.591.572.10.0541491.35
326387.75148657.145101.1311095.41-2403.54-10201.212.122.830.0751884.84
411279.461477505021.3610370.69-3410.01-4674.841.471.470.034805.68
5-5009.65146842.864541.1814570.82-4032.09-7725.741.130.84-0.014-357.83
6-4915.13148657.144974.7811845.49-7452.23-11725.910.670.89-0.01-351.08
7-18158.49149564.294178.3813583.69-11152.79-18778.410.370.67-0.03-1297.03
8-25855.09146842.866646.314871.24-8216.61-20419.060.810.61-0.043-1846.79
9-21234.92146842.866857.1721759.66-7797.24-20330.10.880.66-0.033-1516.78
10-37316.54145935.71975625751.07-9566.29-18069.821.020.57-0.047-2665.47

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.83. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HDFCBANK Performance, X=3, Profit Factor:2.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
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
nilnil-1326387.75148657.145101.1311095.41-2403.54-10201.212.122.830.0751884.84
atrnil38.31-26098.311631318.7520611.3922809.13-6764.04-11114.273.050.7-0.031-1631.14
atrnil26.19-28719.6164122513304.0515206.08-6827.98-11114.271.950.65-0.041-1794.97
atrtrail34.69-17436.681651131.256321.7420519.18-4458.67-8562.051.420.64-0.033-1089.79
atrtrail-14.88-19188.411651131.255971.418767.45-4458.67-8562.051.340.61-0.038-1199.28
atrtrail24.31-19257.731651131.255957.5313679.45-4458.67-8562.051.340.61-0.04-1203.61

In the table above, row 1 shows the best exit criterion. Profit factor is 2.83. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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