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

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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 ADX is Trending" 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
19352.64116554.554957.279495.9-4078.19-8184.761.221.460.04850.24
221565.74117463.647341.9220808.91-7456.92-11345.220.981.720.0531960.52
320477.78118372.737268.6117291.91-12557.04-22246.460.581.540.041861.62
449583.45119281.829792.9425206.66-19276.49-24209.380.512.290.084507.59
579130.45118372.7312686.722157.09-7454.38-11912.481.74.540.157193.68
694563.1118372.7314425.225677.14-6946.16-15397.082.085.540.198596.65
796596.26117463.6417047.6923505.28-5684.38-16774.7235.250.178781.48
8103113119281.8213510.6529484.17-9241.67-14991.91.466.580.199373.87
988495.39118372.7313582.2331711.61-6720.82-17260.942.025.390.158045.04
1090077.41118372.7315242.2431318.04-10620.17-20097.241.443.830.138188.86
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HEXAWARE Performance, X=8, Profit Factor:6.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 May 2018 (8.6%), 25 Jul 2018 (2.29%)
2017121 Apr 2017 (10.86%)
2014117 Oct 2014 (14.74%)
2012103 Oct 2012 (-7.5%)
2007126 Mar 2007 (2.14%)
2006328 Apr 2006 (-1.75%), 04 Jul 2006 (3.51%), 25 Sep 2006 (7.27%)
2004216 Jan 2004 (2.92%), 25 Jun 2004 (8.46%)

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-18.3689557.37117463.6417132.3243033.27-7592.21-10921.262.263.950.128141.58
atrtrail36.8279108.25117463.6415639.5933640.69-7592.21-10921.262.063.60.127191.66
atrnil310.64121588116554.5528322.0533640.69-9668.86-11485.532.933.520.1411053.46
atrtrail25.8272748.92117463.6414731.1122427.13-7592.21-10921.261.943.40.136613.54
50trail-13.3839377.09136746.159607.0117735.64-2609.28-3289.953.683.160.13029.01
50nil21.529032.27148657.145621.477211.18-2656.59-3289.952.122.820.122073.73
50trail21.529032.27148657.145621.477211.18-2656.59-3289.952.122.820.122073.73
50nil31.9231399.67136746.158277.4410033.8-2609.28-3289.953.172.720.112415.36
50trail31.9231399.67136746.158277.4410033.8-2609.28-3289.953.172.720.112415.36
atrnil25.9164943.92116554.5518881.3722427.13-9668.86-11485.531.952.340.0985903.99

In the table above, row 1 shows the best exit criterion. Profit factor is 3.95. Strategy is very good and impressively bullish. Percentage of profitable trades is 63.64%, which is good. Average return per trade is 4.07%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HEXAWARE Performance, Profit Factor:3.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018207 May 2018 (7.71%), 25 Jul 2018 (5.29%)
2017121 Apr 2017 (15.19%)
2014117 Oct 2014 (21.52%)
2012103 Oct 2012 (-3.62%)
2007126 Mar 2007 (-4.23%)
2006328 Apr 2006 (-1.88%), 04 Jul 2006 (2.14%), 25 Sep 2006 (0.17%)
2004216 Jan 2004 (-5.46%), 25 Jun 2004 (7.95%)



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