Study: Buy HDFCBANK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when below 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
115621357332457.896564.3251634.8-2517.04-8660.022.613.590.0662740.59
214283857322556.148026.1652385.21-4559.97-20522.351.762.250.052505.93
313784757322556.148906.3353278.54-5886.21-24767.11.511.940.0452418.37
418665957322556.1410818.3658924.42-6381.12-18795.761.72.170.0533274.73
523561957381966.679963.8163641.24-7526.63-20361.011.322.650.0624133.66
632002857332457.8913784.5963927.1-5619.31-24273.52.453.370.0745614.53
728516457332457.8914012.7164423.02-7385.64-18194.951.92.610.0645002.88
823940057352261.412237.1867286.05-8586.41-18483.751.432.270.0564200
927027757352261.412828.9363641.24-8124.35-24390.241.582.510.0634741.7
1026218857391868.4211063.251027.34-9404.28-19598.921.182.550.0694599.78

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 3.59. Strategy is very good and impressively bullish. Percentage of profitable trades is 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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=1, Profit Factor:3.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Jan 2019 (2.22%), 05 Aug 2019 (0.45%)
2018219 Sep 2018 (0.45%), 30 Oct 2018 (-0.05%)
2016415 Jan 2016 (-1.56%), 11 Feb 2016 (-0.4%), 25 Feb 2016 (1.95%), 24 Nov 2016 (2.04%)
2015324 Aug 2015 (-0.06%), 07 Sep 2015 (1.99%), 18 Nov 2015 (1.94%)
2014127 Jan 2014 (-0.73%)
2013421 Mar 2013 (-0.29%), 20 Jun 2013 (-0.21%), 29 Jul 2013 (-1.13%), 16 Aug 2013 (-0.54%)
2011711 Jan 2011 (2.73%), 02 Feb 2011 (2.03%), 03 May 2011 (1.15%), 16 Aug 2011 (2.42%), 05 Oct 2011 (2.58%), 21 Nov 2011 (-0.13%), 19 Dec 2011 (2.02%)
2009215 Jan 2009 (1.38%), 24 Feb 2009 (1.15%)
2008705 Mar 2008 (-3.79%), 22 May 2008 (-0.16%), 09 Jun 2008 (-4.33%), 24 Jun 2008 (1.39%), 15 Jul 2008 (-1.58%), 24 Oct 2008 (-4.17%), 18 Nov 2008 (-3.34%)
2007107 Mar 2007 (6.4%)
2006108 Jun 2006 (2.89%)
2004217 May 2004 (25.82%), 20 Aug 2004 (2.05%)
2002711 Apr 2002 (-0.33%), 29 Apr 2002 (-0.09%), 23 May 2002 (1.77%), 24 Jun 2002 (-0.61%), 10 Oct 2002 (0.17%), 25 Oct 2002 (0.68%), 11 Dec 2002 (3.22%)
2001313 Mar 2001 (10.29%), 14 Jun 2001 (-1.65%), 12 Sep 2001 (-0.23%)
2000218 Sep 2000 (10.03%), 23 Nov 2000 (3.16%)
1999108 Feb 1999 (-0.49%)
1998703 Feb 1998 (0.29%), 13 May 1998 (4.31%), 29 May 1998 (-2.09%), 15 Jun 1998 (0.17%), 28 Aug 1998 (2.66%), 12 Oct 1998 (-2.22%), 03 Nov 1998 (1.73%)
1996120 Aug 1996 (4.78%)

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-1115621357332457.896564.3251634.8-2517.04-8660.022.613.590.0662740.59
atrnil39.836389785315436.4725493.3761648.06-7896.25-19755.053.231.850.0494281.14
atrtrail34.3623909010042584213867.0246204.07-5919.4-19755.052.341.70.0372390.9
atrtrail-15.0920745910042584213113.9151436.11-5919.4-19755.052.221.60.0322074.59
atrtrail23.5817495110042584212339.9130802.71-5919.4-19755.052.081.510.0321749.51
atrnil25.4620278789375241.5716425.7741098.71-7787.81-19755.052.111.50.0352278.51

In the table above, row 1 shows the best exit criterion. Profit factor is 3.59. Strategy is very good and impressively bullish. Percentage of profitable trades is 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.066, 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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