Study: Buy HDFCBANK when near 200 SMA and above 200 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when near 200 SMA and above 200 SMA and RSI is above 50" 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
18062.0237201754.051774.674311.63-1613.62-5189.291.11.290.021217.89
221597.9537201754.053634.179866.57-3005.02-10130.251.211.420.028583.73
3-18929.7637152240.543913.3610793.23-3528.64-16787.261.110.76-0.021-511.62
48069.7137162143.245921.5314176.5-4127.37-12301.011.431.090.007218.1
5-45720.3637162143.246179.3812489.52-6885.26-23010.130.90.68-0.031-1235.69
6-53741.3137201754.055506.7913164.56-9639.83-21562.950.570.67-0.034-1452.47
7-52963.5737181948.657221.5120981.01-9628.99-26510.640.750.71-0.029-1431.45
8-20183.2937191851.358060.9418037.97-9630.06-35914.890.840.88-0.0097-545.49
9-6412.4837211656.767895.8724491.7-10764.1-24595.740.730.96-0.003-173.31
10-29860.6337201754.058264.6622937.41-11479.64-30680.170.720.85-0.013-807.04
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.4550621.3933122136.3616223.5827375.04-6860.08-11839.152.361.350.0271533.98
atrnil28.187964.5334132138.2411566.6720578.02-6781.06-11839.151.711.060.0051234.25
atrtrail36.17-1573.3940132732.58839.1816968.08-4314.18-8372.162.050.99-0.0012-39.33
200nil22.43-3504.0358193932.765778.777350.46-2905.15-3930.891.990.97-0.003-60.41
200trail-13.93-6776.6960144623.337842.8120591.31-2534.26-3866.093.090.94-0.0043-112.94
200nil32.89-10081.8356134323.218757.4911025.68-2882.08-3930.893.040.92-0.0074-180.03
200trail22.23-11083.8862184429.035691.457198.95-2580.23-3866.092.210.9-0.0096-178.77
atrtrail25.72-16915.7440132732.5765915021.84-4314.18-8372.161.780.85-0.014-422.89
200trail32.68-17913.5601545256576.5810798.42-2590.27-3866.092.540.85-0.014-298.56
atrtrail-16.8-18080.1140132732.57569.4418743.81-4314.18-8372.161.750.84-0.014-452

In the table above, row 1 shows the best exit criterion. Profit factor is 1.35. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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:1.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Sep 2019 (-1.97%)
2018315 Oct 2018 (-2.13%), 22 Oct 2018 (-2.1%), 16 Nov 2018 (5.53%)
2017102 Jan 2017 (4.56%)
2016201 Feb 2016 (-1.97%), 22 Mar 2016 (5.65%)
2014118 Feb 2014 (6.38%)
2013410 Apr 2013 (6.79%), 20 Sep 2013 (-4.19%), 15 Oct 2013 (-3.71%), 03 Dec 2013 (7.37%)
2012113 Jan 2012 (7.76%)
2011317 Feb 2011 (-3.0%), 03 Mar 2011 (9.88%), 02 Dec 2011 (-3.42%)
2009108 Apr 2009 (13.69%)
2008225 Mar 2008 (-5.92%), 23 Apr 2008 (-5.14%)
2002303 Jan 2002 (8.48%), 17 Sep 2002 (-1.71%), 17 Dec 2002 (8.55%)
2001719 Apr 2001 (-4.08%), 09 May 2001 (-3.7%), 23 May 2001 (-3.67%), 31 Jul 2001 (-2.79%), 08 Aug 2001 (-2.88%), 20 Aug 2001 (-2.63%), 12 Oct 2001 (-4.09%)
2000229 Sep 2000 (-4.6%), 11 Oct 2000 (-4.58%)
1998226 Feb 1998 (12.72%), 24 Sep 1998 (-3.77%)



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