Study: Sell HDIL when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell HDIL when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HDIL 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. buy 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
1-28525.941761135.292609.379127.81-4016.56-17261.590.650.35-0.098-1678
21029.711710758.824147.99068.41-5778.47-18457.30.721.030.002860.57
3-19403.911771041.187020.1818047.34-6854.52-25482.091.020.72-0.037-1141.41
4-67373.8179852.944766.9913313.61-13784.59-29201.10.350.39-0.097-3963.16
5-47372.48178947.067401.0115680.47-11842.28-30991.740.620.56-0.067-2786.62
613484.89179852.9410258.4224080.98-9855.11-33333.331.041.170.018793.23
727873.221710758.8212209.7329106.03-13460.59-34435.260.911.30.0321639.6
825862.94178947.0615404.6834234.23-10819.39-39531.681.421.270.0281521.35
918920.73179852.9415528.740629.64-15104.7-44903.581.031.160.0171112.98
1034374.5179852.9418094.5342914.57-16059.54-45179.061.131.270.0282022.03
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
atrnil38.9591224.341971236.8430856.4250914.64-10397.55-16605.732.971.730.074801.28
atrtrail-16.9552499.282191242.8616652.4450550.5-8114.39-16605.732.051.540.0452499.97
atrtrail3648982.72191242.8616261.7142608.07-8114.39-16605.7321.50.0472332.51
atrnil25.8947747.851981142.1120376.3933943.09-10478.48-16605.731.941.410.0482513.04
atrtrail24.7139575.262191242.8615216.4433943.09-8114.39-16605.731.881.410.0421884.54
50trail-11.96-6869.842752218.5210433.3224467.51-2683.47-3931.793.890.88-0.013-254.44
50trail31.48-10643.362752218.529678.6110757.08-2683.47-3931.793.610.82-0.025-394.2
50nil31.48-13770.322752218.529678.6110757.08-2825.61-3931.793.430.78-0.032-510.01
50trail21.37-19895.182762122.226443.347171.39-2788.34-3931.792.310.66-0.059-736.86
50nil21.37-20304.352762122.226443.347171.39-2807.83-3931.792.290.66-0.06-752.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.84%, which is not acceptable. Avoid this strategy. Average return per trade is 2.4%, which is very good. Sharpe Ratio is 0.07, 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.
HDIL Performance, Profit Factor:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017431 Oct 2017 (-3.79%), 08 Nov 2017 (-4.28%), 04 Dec 2017 (14.16%), 22 Dec 2017 (-4.34%)
2016128 Mar 2016 (-5.33%)
2015229 Sep 2015 (-6.47%), 05 Nov 2015 (-4.75%)
2013107 May 2013 (-6.03%)
2012320 Mar 2012 (-8.3%), 23 Mar 2012 (25.46%), 19 Jun 2012 (-5.44%)
2011304 Mar 2011 (-5.93%), 12 Jul 2011 (13.27%), 28 Oct 2011 (13.58%)
2010413 Apr 2010 (9.28%), 25 Jun 2010 (-4.19%), 27 Sep 2010 (-3.53%), 08 Oct 2010 (10.95%)
2008105 Aug 2008 (21.3%)



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