Study: Buy HDFCBANK when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy HDFCBANK when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-2959.22271531.823606.827516.69-1880.46-8128.741.920.9-0.0085-134.51
2-32083.272281436.362817.624632-3901.73-10130.250.720.41-0.08-1458.33
3-31100.92261627.275746.449934.81-4098.72-16787.261.40.53-0.05-1413.68
4-23814.762281436.365200.5610527.45-4672.81-12301.011.110.64-0.036-1082.49
5-63132.452271531.823902.868324.4-6030.17-23010.130.650.3-0.082-2869.66
6-46361.3622101245.453968.617978.24-7170.62-21562.950.550.46-0.06-2107.33
7-38686.322101245.454915.317785.07-7319.94-16931.980.670.56-0.045-1758.47
8-46516.012291340.915892.5722780.85-7657.63-20694.650.770.53-0.044-2114.36
9-55236.6422101245.456348.7827462.29-9893.7-21759.660.640.53-0.046-2510.76
10-38950.1222101245.458961.2730396.44-10713.56-30680.170.840.7-0.027-1770.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.9. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.067%, we advise you not to use this strategy.

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
atrnil39.2412421.052161528.5719047.5529595.23-6790.95-13018.632.81.120.0098591.48
nilnil-11-2959.22271531.823606.827516.69-1880.46-8128.741.920.9-0.0085-134.51
atrnil26.95-25674.052161528.5712698.3719730.15-6790.95-13018.631.870.75-0.027-1222.57
atrtrail-15.76-23733.1625718289756.8223540.81-5112.83-11123.041.910.74-0.023-949.33
atrtrail35.28-24521.8325718289644.1521232.75-5112.83-11123.041.890.73-0.024-980.87
200trail-13.57-18922.42842414.2911925.6127194.92-2776.03-3936.894.30.72-0.021-675.8
200nil23.25-24922.262451920.836465.067582.83-3013.03-3936.892.150.56-0.054-1038.43
atrtrail24.96-42555.2325718287067.9514155.17-5112.83-11123.041.380.54-0.053-1702.21
200nil33.71-29223.242432112.511046.7411374.25-2969.69-3936.893.720.53-0.053-1217.64
200trail22.36-30500.542862221.435168.067582.83-2795.86-3936.891.850.5-0.063-1089.3
200trail32.64-43830.632842414.295698.5511138.8-2776.03-3936.892.050.34-0.093-1565.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0098, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Aug 2019 (-1.81%), 13 Aug 2019 (-2.07%), 28 Aug 2019 (-1.98%)
2018217 Sep 2018 (-1.46%), 15 Oct 2018 (-2.13%)
2016201 Feb 2016 (-1.97%), 29 Nov 2016 (6.11%)
2013102 Apr 2013 (-2.47%)
2012122 May 2012 (8.38%)
2011102 Dec 2011 (-3.42%)
2008125 Mar 2008 (-5.92%)
2007105 Mar 2007 (14.8%)
2006122 Jun 2006 (-6.51%)
2005131 Oct 2005 (10.62%)
2002229 Jan 2002 (9.82%), 30 Dec 2002 (7.41%)
2001415 Mar 2001 (-5.56%), 19 Apr 2001 (-4.08%), 09 May 2001 (-3.7%), 12 Oct 2001 (-4.09%)
1998124 Sep 1998 (-3.77%)



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