Study: Buy HDFCBANK when near 200 SMA and above 200 SMA and RSI is above 50 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 RSI is above 50 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
1-4222.641037302890.783564.36-1842.14-4587.351.570.67-0.036-422.26
2-19330.711046401906.33130.22-4492.65-10130.250.420.28-0.1-1933.07
3-35600.561019103874.883874.88-4386.16-16787.260.880.098-0.14-3560.06
4-41793.471028201909.322651.52-5701.51-12301.010.330.084-0.16-4179.35
5-69663.85101910606.91606.91-7807.86-23010.130.0780.0086-0.19-6966.38
6-64682.171028203051.633221.29-8848.18-21562.950.340.086-0.18-6468.22
7-64718.971028203432.596164.9-8948.02-16931.980.380.096-0.2-6471.9
8-77266.931019106331.976331.97-9288.77-20694.650.680.076-0.19-7726.69
9-92794.081028203283.945914.29-12420.25-21759.660.260.066-0.21-9279.41
10-1044561028205623.278445.41-14462.85-30680.170.390.097-0.18-10445.62

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.67. This strategy is not profitable and we advice you not to use it.

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-11-4222.641037302890.783564.36-1842.14-4587.351.570.67-0.036-422.26
200nil22.33-9045.291239255202.025834.09-2739.04-3763.781.90.63-0.044-753.77
200trail22.15-10783.861331023.085202.025834.09-2638.99-3763.781.970.59-0.05-829.53
200trail-13.77-14592.37131127.6916913.4616913.46-2625.49-3763.786.440.54-0.044-1122.49
atrtrail-15.82-26777.12112918.1812191.5318743.81-5684.47-8171.912.140.48-0.065-2434.28
atrtrail34.91-28816.52112918.1811171.8313225.64-5684.47-8171.911.970.44-0.078-2619.68
atrnil35.5-34222.9610282011967.2514816.47-7269.68-11839.151.650.41-0.087-3422.3
atrtrail24.36-36264.41112918.187447.898817.1-5684.47-8171.911.310.29-0.12-3296.76
atrnil25.1-42201.131028207978.169877.65-7269.68-11839.151.10.27-0.13-4220.11
200nil32.75-21705.89121118.338061.368061.36-2706.11-3763.782.980.27-0.12-1808.82
200trail32.54-23444.47131127.698061.368061.36-2625.49-3763.783.070.26-0.13-1803.42

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, X=1, Profit Factor:0.673

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018115 Oct 2018 (-0.76%)
2017102 Jan 2017 (-0.6%)
2016101 Feb 2016 (-0.56%)
2011102 Dec 2011 (-0.78%)
2008125 Mar 2008 (1.78%)
2002130 Dec 2002 (0.86%)
2001319 Apr 2001 (1.69%), 09 May 2001 (-0.51%), 12 Oct 2001 (-2.29%)
1998124 Sep 1998 (-0.94%)



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