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

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when near 200 SMA and above 200 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
133504.5976403652.632416.388014.23-1754.18-6561.861.381.530.032440.85
235913.51763838503969.0310471.04-3023.94-10130.251.311.310.022472.55
32866.3376364047.374093.4310793.23-3612.43-16787.261.131.020.001537.71
414199.9763838504655.0914176.5-4281.41-20878.331.091.090.0064186.84
5-11189.6676364047.375532.7217126.27-5259.19-23010.131.050.95-0.0042-147.23
621104.4976463060.535106.6327866.47-7126.69-21562.950.721.10.0072277.69
718033.3376433356.586116.3317785.07-7423.3-26510.640.821.070.0057237.28
868098.4976433356.587230.122780.85-7357.44-35914.890.981.280.019896.03
910048276443257.898286.8827462.29-8254.39-24595.7411.380.0261322.14
1013326576453159.218557.0230396.44-8122.61-30680.171.051.530.0331753.48

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.53. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study.

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-1133504.5976403652.632416.388014.23-1754.18-6561.861.381.530.032440.85
atrnil310.4983298.7668224632.3517375.3729595.23-6499.12-13018.632.671.280.0211224.98
200trail-14.1335147.18123339026.838253.3927194.92-2635.72-3997.333.131.150.0094285.75
atrnil27.5637968.1978304838.4611404.7920578.02-6336.99-13018.631.81.120.011486.77
200nil22.7315849.8116407634.486010.797974.99-2955.02-3997.332.031.070.0064136.64
200nil33.682206.8107268124.39177.9511962.48-2918.76-3997.333.141.010.000820.62
atrtrail35.6-350.7193326134.418086.2524812.08-4247.72-10968.991.91-0.0001-3.77
200trail22.31-1027.46127418632.285620.817974.99-2691.64-3997.332.091-0.00041-8.09
atrtrail-16.16-10165.4593326134.417779.5423540.81-4247.72-10968.991.830.96-0.0031-109.31
200trail32.93-9922.26123348927.646684.6711962.48-2665.18-3997.332.510.96-0.0035-80.67
atrtrail25.17-16825.5993326134.417571.4116541.39-4247.72-10968.991.780.94-0.0056-180.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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, X=1, Profit Factor:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019529 Jan 2019 (-1.11%), 28 Feb 2019 (0.28%), 01 Aug 2019 (-0.34%), 20 Aug 2019 (0.24%), 04 Sep 2019 (-0.56%)
2018317 Sep 2018 (-0.15%), 15 Oct 2018 (-0.76%), 16 Nov 2018 (0.48%)
2017102 Jan 2017 (-0.6%)
2016605 Jan 2016 (0.44%), 01 Feb 2016 (-0.56%), 22 Mar 2016 (-0.43%), 07 Apr 2016 (0.36%), 29 Nov 2016 (1.77%), 13 Dec 2016 (-0.89%)
2015407 May 2015 (3.23%), 28 Aug 2015 (-0.05%), 10 Nov 2015 (-0.02%), 04 Dec 2015 (0.29%)
2014202 Jan 2014 (0.93%), 18 Feb 2014 (1.46%)
2013901 Mar 2013 (0.83%), 02 Apr 2013 (-0.99%), 13 Jun 2013 (1.52%), 08 Jul 2013 (1.49%), 20 Sep 2013 (-2.59%), 15 Oct 2013 (0.27%), 08 Nov 2013 (0.27%), 26 Nov 2013 (0.09%), 17 Dec 2013 (1.32%)
2012213 Jan 2012 (-1.94%), 22 May 2012 (-0.42%)
20111010 Jan 2011 (-0.26%), 17 Feb 2011 (-0.43%), 11 Mar 2011 (1.3%), 04 May 2011 (-1.81%), 18 May 2011 (0.28%), 20 Jun 2011 (1.15%), 08 Aug 2011 (0.51%), 23 Aug 2011 (-0.74%), 11 Nov 2011 (1.58%), 02 Dec 2011 (-0.78%)
2009108 Apr 2009 (-0.22%)
2008325 Mar 2008 (1.78%), 23 Apr 2008 (-0.19%), 09 May 2008 (1.07%)
2007305 Mar 2007 (-0.01%), 05 Apr 2007 (3.03%), 17 Aug 2007 (4.01%)
2006122 Jun 2006 (2.52%)
2005131 Oct 2005 (3.76%)
2004116 Aug 2004 (0.47%)
2003109 Jan 2003 (0.44%)
2002503 Jan 2002 (-1.02%), 29 Jan 2002 (-0.79%), 09 Apr 2002 (0.4%), 17 Sep 2002 (0.99%), 17 Dec 2002 (1.3%)
2001814 Mar 2001 (-0.64%), 19 Apr 2001 (1.69%), 09 May 2001 (-0.51%), 23 May 2001 (-0.4%), 31 Jul 2001 (0.92%), 20 Aug 2001 (-0.04%), 05 Sep 2001 (0.0%), 12 Oct 2001 (-2.29%)
2000419 Sep 2000 (-2.3%), 04 Oct 2000 (-0.61%), 18 Oct 2000 (1.62%), 08 Nov 2000 (0.43%)
1998504 Feb 1998 (-2.88%), 26 Feb 1998 (0.28%), 12 Mar 1998 (1.06%), 12 May 1998 (-3.28%), 24 Sep 1998 (-0.94%)
1996114 Oct 1996 (2.47%)



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