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

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In this study, we evaluate the performance of strategy "Sell HDIL when near 200 SMA and below 200 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
15924.131266505803.9217161.72-4816.56-14184.41.21.20.021493.68
229176.6212665013126.3551089.11-8263.57-27186.761.591.590.0432431.39
325005.68127558.3314778.4148976.9-15688.64-34515.370.941.320.0322083.81
424978.38127558.3315672.3951617.16-16945.67-36879.430.921.290.032081.53
5-19247.8127558.3313081.6945676.57-22163.93-37012.110.590.83-0.022-1603.98
6-33955.9412665012566.3433531.35-18225.66-38492.60.690.69-0.043-2829.66
7-24586.55125741.671611534719.47-15023.08-36473.761.070.77-0.03-2048.88
8-3098.1412665016120.5437887.79-16636.9-35127.860.970.97-0.0039-258.18
9-10560.21125741.6717702.3842376.24-14153.16-436071.250.89-0.013-880.02
1010458.4412665016691.846336.63-14948.73-42395.691.121.120.013871.54
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
atrnil311.62109988136746.1530641.5344297.55-10551.56-14829.962.92.490.128460.63
atrtrail-1648035.71157846.6716785.8739281.3-8683.18-14829.961.931.690.063202.38
atrnil27.8548705.17136746.1520427.6929531.7-10551.56-14829.961.941.660.0733746.55
200trail-11.9521446.971941521.0515923.4440000-2816.45-3776.585.651.510.0321128.79
atrtrail35.4733994.94157846.6714780.0529569.69-8683.18-14829.961.71.490.0482266.33
atrtrail24.8714845.9157846.6712044.4719713.13-8683.18-14829.961.391.210.026989.73
200nil31.42-4482.781941521.05944111374.84-2816.45-3776.583.350.89-0.014-235.94
200nil21.32-8867.041951426.326129.037583.23-2822.3-3776.582.170.78-0.036-466.69
200trail31.26-15341.761941521.056726.2511374.84-2816.45-3776.582.390.64-0.057-807.46
200trail21.16-16095.541951426.324683.337583.23-2822.3-3776.581.660.59-0.073-847.13

In the table above, row 1 shows the best exit criterion. Profit factor is 2.49. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 4.23%, which is very good. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDIL Performance, Profit Factor:2.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017104 Aug 2017 (13.13%)
2016126 Sep 2016 (13.96%)
2015109 Jun 2015 (22.15%)
2014405 Mar 2014 (-4.49%), 27 Oct 2014 (-5.35%), 25 Nov 2014 (-4.81%), 04 Dec 2014 (14.78%)
2012230 Jul 2012 (-4.63%), 22 Aug 2012 (14.06%)
2010319 Feb 2010 (-5.2%), 02 Mar 2010 (-5.05%), 09 Mar 2010 (13.84%)
2008109 May 2008 (-7.41%)



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