Study: Sell HEXAWARE 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 HEXAWARE 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 HEXAWARE 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
111486.7443241955.812982.2712646.37-3162.51-16476.190.941.190.014267.13
221591.9743261760.474741.7714519.91-5982.01-17195.210.791.210.018502.14
3-10674.0443222151.166684.1425910.93-7510.72-24242.420.890.93-0.0065-248.23
420064.2443232053.499126.6834682.86-9492.47-36081.750.961.110.009466.61
5-1838.6643232053.499872.8530571.69-11445.71-31853.420.860.99-0.00076-42.76
6-43303.6343222151.1610073.5231983.81-12615.29-39734.530.80.84-0.016-1007.06
7-30275.5943222151.169877.1837236.32-11789.22-27499.640.840.88-0.012-704.08
8-29373.1243212248.8411416.2632528.28-12232.48-33736.760.930.89-0.011-683.1
9-59464.6443212248.8411665.0141430.5-13837.72-42424.240.840.8-0.02-1382.9
10-96142.9643202346.5111148.3948313.09-13874.39-500000.80.7-0.031-2235.88
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
atrnil27.92-56853.464012283015778.3522158.1-8792.63-15503.031.790.77-0.03-1421.34
atrnil311.12-63153.83472720.5925540.9633237.14-8960.76-15503.032.850.74-0.031-1857.46
50nil21.59-40038.5466165024.246277.947782.86-2809.71-3929.742.230.71-0.037-606.64
50trail21.57-39720.6467175025.375849.557782.86-2783.26-3929.742.10.71-0.037-592.85
atrtrail24.56-68089.2654223240.746374.5517000.71-6510.3-12979.350.980.67-0.04-1260.91
50trail31.82-45395.3366155122.736220.0411346.72-2719.53-3929.742.290.67-0.04-687.81
atrtrail34.7-71779.3254223240.746206.8222594.33-6510.3-12979.350.950.66-0.042-1329.25
atrtrail-14.94-76216.9254223240.746005.1132931.89-6510.3-12979.350.920.63-0.043-1411.42
50nil31.97-63133.1363105315.878789.211346.72-2849.53-3929.743.080.58-0.056-1002.11
50trail-12.32-60977.4866155122.735181.2316742.27-2719.53-3929.741.910.56-0.055-923.9

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 30%, which is not acceptable. Avoid this strategy. Average return per trade is -0.71%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HEXAWARE Performance, Profit Factor:0.769

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019710 Jan 2019 (-3.08%), 29 Jan 2019 (-2.92%), 30 Jan 2019 (-3.1%), 12 Mar 2019 (-2.91%), 10 Apr 2019 (5.7%), 07 May 2019 (-3.24%), 13 Jun 2019 (-2.76%)
2018218 Dec 2018 (7.33%), 27 Dec 2018 (-3.56%)
2017106 Jan 2017 (5.84%)
2016604 Feb 2016 (-4.61%), 15 Feb 2016 (-4.79%), 19 Jul 2016 (-2.85%), 04 Aug 2016 (5.76%), 09 Nov 2016 (-3.36%), 27 Dec 2016 (-2.87%)
2015206 Oct 2015 (8.67%), 26 Nov 2015 (-3.77%)
2013618 Feb 2013 (-4.84%), 26 Feb 2013 (-4.85%), 22 Mar 2013 (-4.56%), 18 Apr 2013 (8.63%), 27 May 2013 (6.97%), 19 Jun 2013 (7.53%)
2010429 Apr 2010 (-5.05%), 11 Jun 2010 (-5.2%), 22 Jun 2010 (-4.57%), 24 Sep 2010 (-4.25%)
2008501 Jan 2008 (9.82%), 03 Mar 2008 (-7.75%), 09 Apr 2008 (-6.49%), 12 May 2008 (11.08%), 22 Dec 2008 (-5.85%)
2007322 May 2007 (-4.21%), 13 Jun 2007 (8.27%), 13 Sep 2007 (9.07%)
2005314 Sep 2005 (-3.78%), 23 Sep 2005 (-5.85%), 20 Oct 2005 (-5.89%)
2003110 Jun 2003 (-6.11%)



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