Study: Buy HEXAWARE when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy HEXAWARE when near 200 SMA and above 200 SMA" 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
14692.292491537.55675.4514994.83-3092.45-7612.981.841.10.0089195.51
250557.182417770.835590.4515269.09-6354.35-11250.70.882.140.0772106.55
310692.8224131154.176007.7418254.76-6127.98-17063.570.981.160.014445.53
414758.0724131154.176539.7215646.94-6387.12-13050.821.021.210.019614.92
540896.1724111345.8310211.7631293.88-5494.86-12975.811.861.570.0411704.01
675423.8724141058.339963.3523794.21-6406.31-12124.781.562.180.0813142.66
790584.972415962.512171.4528886.66-10220.76-16362.571.191.980.073774.37
866172.542415962.510797.7428938.91-10643.73-19049.511.011.690.0542757.19
970521.012415962.511111.3428510.18-10683.23-19566.511.041.730.0562938.38
1075076.722415962.512122.7635155.41-11862.74-27480.611.021.70.0543128.2
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=6, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 May 2019 (-2.73%), 09 Oct 2019 (3.44%)
2017114 Feb 2017 (5.23%)
2016303 Mar 2016 (2.74%), 04 Apr 2016 (0.93%), 22 Apr 2016 (-5.19%)
2015113 Nov 2015 (-5.81%)
2014212 May 2014 (4.7%), 31 Jul 2014 (2.25%)
2013109 Jul 2013 (11.9%)
2012202 Jan 2012 (5.75%), 08 Oct 2012 (-1.66%)
2010510 May 2010 (-1.06%), 20 Jul 2010 (4.44%), 10 Aug 2010 (-4.1%), 20 Sep 2010 (-3.99%), 04 Oct 2010 (6.92%)
2009117 Apr 2009 (0.0%)
2007304 Apr 2007 (7.14%), 03 May 2007 (-1.43%), 21 May 2007 (-6.06%)
2006115 Jun 2006 (4.96%)
2003217 Apr 2003 (3.62%), 09 May 2003 (5.72%)

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
atrnil314.422469061910952.6331932.6352915.77-8046.66-10895.223.974.410.1412995.07
atrnil29.65188329201286020786.2135277.18-7638.24-9932.942.724.080.159416.43
200trail31.9790913.8933161748.488553.5311474.28-2702.5-3695.113.172.980.112754.97
200nil32.0694709.9333161748.489135.6511474.28-3027.09-3939.683.022.840.112870
200trail21.5659483.91341717506201.567979.5-2702.5-3695.112.292.290.0921749.53
atrtrail35.8188794.7526121446.1513250.5744139.5-5015.15-8135.992.642.260.0633415.18
atrtrail2585044.0326121446.1512938.0129426.33-5015.15-8135.992.582.210.0713270.92
200nil21.5653965.93341717506201.567979.5-3027.09-3939.682.052.050.0811587.23
200trail-13.4337982.93301218407134.6820282.96-2646.29-3695.112.71.80.0511266.1
atrtrail-15.9647878.5426121446.159840.8821876.29-5015.15-8135.991.961.680.0481841.48

In the table above, row 1 shows the best exit criterion. Profit factor is 4.41. Strategy is very good and impressively bullish. Percentage of profitable trades is 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is 6.5%, 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:4.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 May 2019 (-2.99%), 09 Oct 2019 (-3.37%)
2017114 Feb 2017 (7.78%)
2016103 Mar 2016 (-3.69%)
2015113 Nov 2015 (-3.78%)
2014212 May 2014 (16.21%), 31 Jul 2014 (12.87%)
2013109 Jul 2013 (11.72%)
2012202 Jan 2012 (13.25%), 08 Oct 2012 (-4.16%)
2010410 May 2010 (-5.45%), 20 Jul 2010 (-3.85%), 20 Sep 2010 (-3.96%), 04 Oct 2010 (11.57%)
2009117 Apr 2009 (26.46%)
2007204 Apr 2007 (13.96%), 03 May 2007 (-4.97%)
2006115 Jun 2006 (22.07%)
2003117 Apr 2003 (23.78%)



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