Study: Sell HEROMOTOCO when near 200 SMA and below 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HEROMOTOCO 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
128954.3367343350.753502.4613487.46-2731.19-11779.221.281.320.02432.15
234300.0166372956.064913.1515925.83-5085.74-18418.490.971.230.016519.7
3-13555.4466323448.485175.2422359.87-5269.5-22578.40.980.92-0.0057-205.39
4-58583.1266303645.456943.9726329.33-7413.95-26358.460.940.78-0.019-887.62
5-11351.53663333508109.7132061.07-8453.7-28268.30.960.96-0.0033-171.99
656256.1766372956.068547.0630534.35-8965-29884.140.951.220.016852.37
761715.6366392759.098754.4433299.89-10359.54-26020.60.851.220.016935.09
822322966353153.0314884.53163161-9604.19-22470.811.551.750.0293382.25
923251166353153.0315545.9164253-10051.45-27947.761.551.750.033522.9
1025121166382857.5813873.96164554-9857.13-28333.331.411.910.0333806.23
Although, strategy looks good but profit factor on day 4 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
atrtrail-1617130277324541.5613393.94169400-5717.86-11882.372.341.670.0212224.71
200nil22.1456762.65853451405833.247984.79-2775.83-3985.22.11.40.032667.8
200nil32.6558257.9282245829.279084.0511977.19-2754.47-3985.23.31.360.026710.46
200trail-13.6236858.17842163259036.2439896.09-2427.03-3985.23.721.240.014438.79
200trail21.9431733.4487335437.935284.867631.13-2641.98-3985.221.220.019364.75
200trail32.3427228.7185246128.247400.1311446.7-2465.16-3985.231.180.014320.34
atrtrail34.6939043.8777324541.569260.8531570.31-5717.86-11882.371.621.150.011507.06
atrtrail23.913802.0877324541.568472.0523073.03-5717.86-11882.371.481.050.0043179.25
atrnil25.4313259.7565244136.9212945.4923073.03-7254.44-16365.651.781.040.004204
atrnil38.658191.7862184429.0318139.1231570.31-7234.37-16365.652.511.030.0022132.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 41.56%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
HEROMOTOCO Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Aug 2019 (2.96%), 25 Sep 2019 (0.25%)
2018730 Jan 2018 (1.77%), 12 Mar 2018 (5.72%), 07 Jun 2018 (-0.7%), 18 Jun 2018 (5.05%), 06 Jul 2018 (3.83%), 13 Dec 2018 (-1.66%), 21 Dec 2018 (19.43%)
2017531 Jan 2017 (-2.27%), 29 Mar 2017 (-1.06%), 18 Apr 2017 (-0.75%), 13 Nov 2017 (-1.98%), 01 Dec 2017 (3.32%)
2016525 Jan 2016 (0.77%), 01 Feb 2016 (-0.72%), 26 Feb 2016 (-0.74%), 28 Nov 2016 (-2.92%), 16 Dec 2016 (2.19%)
2015509 Feb 2015 (-2.22%), 24 Jul 2015 (5.32%), 14 Aug 2015 (13.31%), 16 Oct 2015 (-2.29%), 09 Dec 2015 (-1.38%)
2014121 Feb 2014 (-2.46%)
2013115 Jul 2013 (-0.28%)
2012919 Jan 2012 (-3.0%), 27 Feb 2012 (-4.17%), 01 Mar 2012 (-0.49%), 19 Mar 2012 (-2.34%), 04 May 2012 (3.06%), 12 Jun 2012 (-0.87%), 18 Jun 2012 (-2.77%), 06 Aug 2012 (2.8%), 02 Nov 2012 (5.1%)
2011606 Jan 2011 (0.92%), 12 Jan 2011 (15.06%), 19 Apr 2011 (5.91%), 09 May 2011 (-2.2%), 12 May 2011 (-3.83%), 09 Jun 2011 (-2.1%)
2010420 Sep 2010 (-2.59%), 07 Oct 2010 (-2.33%), 19 Oct 2010 (-2.4%), 02 Nov 2010 (0.06%)
2009107 Jan 2009 (-3.86%)
2008709 Jan 2008 (0.53%), 29 Jan 2008 (-5.94%), 11 Feb 2008 (-4.21%), 31 Mar 2008 (-5.48%), 22 Jul 2008 (-5.51%), 23 Oct 2008 (1.96%), 10 Nov 2008 (0.51%)
2007515 Feb 2007 (0.9%), 21 Feb 2007 (6.17%), 01 Jun 2007 (0.58%), 01 Nov 2007 (-4.88%), 15 Nov 2007 (-4.21%)
2006128 Dec 2006 (-3.13%)
2005119 Apr 2005 (-4.54%)
2004206 Aug 2004 (0.12%), 14 Sep 2004 (3.6%)
2003111 Jun 2003 (-3.2%)
2002122 Jul 2002 (-2.6%)
2001101 Mar 2001 (84.7%)
2000410 Jan 2000 (-5.33%), 01 Feb 2000 (10.62%), 12 Jul 2000 (-3.0%), 28 Jul 2000 (6.83%)
1999103 Dec 1999 (-4.91%)
1998111 Jun 1998 (-5.29%)
1997202 Jan 1997 (-3.05%), 07 Jan 1997 (-3.03%)
1996429 Feb 1996 (-1.06%), 19 Aug 1996 (0.66%), 22 Aug 1996 (-4.91%), 12 Sep 1996 (0.31%)



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