Study: Buy HEXAWARE when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy HEXAWARE when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
143850.35251411565106.3114206.3-2512.54-5700.332.032.590.0821754.01
217242.95251114447989.0719770.41-5045.49-12785.021.581.240.021689.72
354467.41251312527761.9715521.86-3869.85-9339.212.012.170.0742178.7
476677.18251510608920.9729973.24-5713.74-19698.431.562.340.0743067.09
584813.5325178689564.4228724.35-9722.71-21687.520.982.090.0713392.54
694965.08251786810553.8426583.41-10556.26-26756.512.120.0723798.6
790998.41251786810252.4424264.05-10411.63-25922.360.982.090.0713639.94
8109767251786811768.2935682.43-11286.74-27718.961.042.220.0754390.68
977237.37251696411509.0745495.09-11878.64-31183.830.971.720.0493089.49
10132847251786813920.6349955.4-12975.46-30863.011.072.280.0755313.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.082, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HEXAWARE Performance, X=1, Profit Factor:2.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Oct 2019 (-1.68%)
2018122 Feb 2018 (0.07%)
2017221 Apr 2017 (2.02%), 19 Jul 2017 (-1.07%)
2015209 Jan 2015 (0.96%), 28 Jul 2015 (2.22%)
2014211 Jun 2014 (-1.17%), 12 Aug 2014 (-1.27%)
2012416 Jan 2012 (1.51%), 30 May 2012 (-2.85%), 14 Jun 2012 (2.19%), 21 Aug 2012 (1.61%)
2011422 Feb 2011 (5.68%), 21 Mar 2011 (0.71%), 03 Jun 2011 (-0.3%), 27 Sep 2011 (7.02%)
2009109 Nov 2009 (7.1%)
2007126 Mar 2007 (-2.29%)
2006212 May 2006 (-0.93%), 04 Jul 2006 (-0.44%)
2005121 Jun 2005 (2.48%)
2004304 Mar 2004 (0.07%), 25 Jun 2004 (2.11%), 06 Oct 2004 (-0.38%)
2003129 May 2003 (-1.45%)

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
atrnil310.322570922814145026752.945145.9-8389.21-11800.683.193.190.129181.85
nilnil-1143850.35251411565106.3114206.3-2512.54-5700.332.032.590.0821754.01
atrnil25.9316796329161355.1717415.3430097.27-8514.05-11800.682.052.520.15791.82
atrtrail24.7313583033171651.5213819.0526632.68-6193.38-8930.222.232.370.0894116.05
atrtrail-16.6712144433171651.5212972.8240911.49-6193.38-8930.222.092.230.073680.12
atrtrail35.5811242433171651.5212442.2739949.03-6193.38-8930.222.012.130.0693406.8
50trail31.7247844.0539152438.467786.6911445.35-2873.18-3975.92.711.690.0531226.77
50trail-12.8740175.7639142535.98000.323434.43-2873.14-3975.92.781.560.0381030.15
50nil31.8437804.2838132534.218898.411445.35-3115-3975.92.861.490.041994.85
50trail21.4528707.1340172342.55650.847630.23-2928.57-3975.91.931.430.039717.68
50nil21.4923654.8539162341.035987.297630.23-3136.6-3975.91.911.330.032606.53

In the table above, row 1 shows the best exit criterion. Profit factor is 3.19. Strategy is very good and impressively bullish. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 4.59%, 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.
HEXAWARE Performance, Profit Factor:3.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Oct 2019 (-3.03%)
2018122 Feb 2018 (11.18%)
2017221 Apr 2017 (8.34%), 19 Jul 2017 (10.13%)
2015209 Jan 2015 (9.94%), 28 Jul 2015 (9.05%)
2014311 Jun 2014 (-4.25%), 17 Jun 2014 (-4.25%), 12 Aug 2014 (-3.53%)
2012416 Jan 2012 (-3.69%), 30 May 2012 (-3.88%), 04 Jun 2012 (-4.34%), 21 Aug 2012 (10.15%)
2011422 Feb 2011 (-5.49%), 21 Mar 2011 (14.12%), 03 Jun 2011 (-3.59%), 27 Sep 2011 (17.26%)
2009109 Nov 2009 (22.57%)
2007326 Mar 2007 (-4.23%), 30 Mar 2007 (-4.47%), 04 Apr 2007 (13.96%)
2006212 May 2006 (-4.43%), 04 Jul 2006 (15.18%)
2005121 Jun 2005 (-3.65%)
2004304 Mar 2004 (-5.9%), 25 Jun 2004 (14.77%), 06 Oct 2004 (10.64%)
2003129 May 2003 (19.97%)



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