Study: Buy HDFCBANK when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

home > technical-strategy > hdfcbank > 55

In this study, we evaluate the performance of strategy "Buy HDFCBANK when ADX is Trending and there is Golden 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: 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
13385.2895455.562998.188944.7-2901.4-4048.111.031.290.02376.14
27791.6195455.564097.349958.14-3173.78-4777.731.291.610.038865.73
37020.4394544.448599.6611588.46-5475.64-9597.011.571.260.021780.05
423787.5595455.568265.5414187.55-4385.03-9056.921.882.360.0692643.06
511373.5795455.567823.7113904.61-6936.25-11715.831.131.410.0291263.73
610360.295455.566812.0117492.84-5924.97-13211.471.151.440.0281151.13
76361.3296366.674912.3817096.28-7704.32-13294.560.641.280.018706.81
88339.0695455.566859.6316435.34-6489.77-13211.471.061.320.022926.56
914660.4896366.676976.2919167.22-9065.75-12920.650.771.540.0361628.94
1015445.1896366.677966.3218770.65-10784.24-14956.380.741.480.0341716.13
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
HDFCBANK Performance, X=4, Profit Factor:2.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018121 Dec 2018 (0.56%)
2017106 Feb 2017 (-0.8%)
2016111 May 2016 (1.29%)
2012122 Feb 2012 (-0.18%)
2011128 Apr 2011 (-3.26%)
2009125 May 2009 (5.93%)
2003130 Jan 2003 (5.79%)
2002122 Jan 2002 (-4.53%)
2001123 Feb 2001 (7.09%)

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
atrnil24.2236661.2394544.4414721.2623315.35-4444.76-6571.413.312.650.084073.47
atrnil314.2234202.2193633.3321467.1334973.02-5033.2-7975.384.272.130.0563800.25
atrtrail22.67-2310.4993633.336254.4615950.77-3512.31-4778.51.780.89-0.0085-256.72
atrtrail33.11-12820.1493633.332751.245441.11-3512.31-4778.50.780.39-0.088-1424.46
atrtrail-13.11-12820.1493633.332751.245441.11-3512.31-4778.50.780.39-0.088-1424.46

In the table above, row 1 shows the best exit criterion. Profit factor is 2.65. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 44.44%, which is not acceptable. Avoid this strategy. Average return per trade is 2.04%, which is very good. Sharpe Ratio is 0.08, 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:2.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018121 Dec 2018 (-1.73%)
2017106 Feb 2017 (-1.29%)
2016111 May 2016 (3.19%)
2012122 Feb 2012 (-2.45%)
2011128 Apr 2011 (-2.36%)
2009125 May 2009 (11.66%)
2003130 Jan 2003 (6.62%)
2002122 Jan 2002 (-3.29%)
2001123 Feb 2001 (7.98%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play