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

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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 and RSI is below 50" 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
1-14151.8273442.862045.733229.36-5072.25-17261.590.40.3-0.096-2021.69
23555.3473442.865862.238875.74-3507.84-8888.891.671.250.028507.91
34752.7573442.869403.1218047.34-5864.15-16740.741.61.20.021678.96
4-4580.2775271.435747.2713313.61-16658.32-29185.190.350.86-0.016-654.32
510509.5374357.149605.4815680.47-9304.13-24888.891.031.380.0371501.36
638516.6975271.4311477.7424080.98-9436-14074.071.223.040.145502.38
737722.2375271.4312959.625146.51-13537.89-17037.040.962.390.125388.89
828920.2874357.1412904.8517474.69-7566.37-14518.521.712.270.114131.47
925977.1775271.4310105.0116196.06-12273.95-22370.370.822.060.0923711.02
1026359.9575271.4310300.8116882-12572.06-240000.822.050.0913765.71
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HDIL Performance, X=6, Profit Factor:3.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Dec 2017 (5.94%)
2016128 Mar 2016 (-7.04%)
2015105 Nov 2015 (8.06%)
2012120 Mar 2012 (12.04%)
2011112 Jul 2011 (1.88%)
2010227 Sep 2010 (-2.4%), 11 Oct 2010 (0.77%)

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
atrnil2669862.5385362.520836.1433943.09-11439.4-16605.731.823.040.168732.82
atrnil312.7583923.88445031937.3150914.64-10956.37-16605.732.912.910.1410490.47
atrtrail24.2254416.2395455.5618260.1533943.09-9221.13-16605.731.982.480.126046.25
50trail-12.9127572.58114736.3612044.7924467.51-2943.8-3451.024.092.340.0892506.6
atrtrail-17.6748572.5995455.5617091.4250550.5-9221.13-16605.731.852.320.0895396.95
atrtrail36.7842728.2595455.5615922.5528321.8-9221.13-16605.731.732.160.0984747.58
50trail31.8217029.4114736.36940910632.59-2943.8-3451.023.21.830.081548.13
50nil31.8216620.23114736.36940910632.59-3002.25-3451.023.131.790.0781510.93
50trail21.824484.08114736.366272.667088.39-2943.8-3451.022.131.220.028407.64
50nil21.824074.9114736.366272.667088.39-3002.25-3451.022.091.190.025370.45

In the table above, row 1 shows the best exit criterion. Profit factor is 3.04. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bearish. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 4.37%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDIL Performance, Profit Factor:3.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Dec 2017 (9.44%)
2016128 Mar 2016 (-5.33%)
2015105 Nov 2015 (9.51%)
2012220 Mar 2012 (-8.3%), 23 Mar 2012 (16.97%)
2011112 Jul 2011 (8.85%)
2010227 Sep 2010 (-3.53%), 11 Oct 2010 (7.32%)



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