Study: Buy HEXAWARE when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HEXAWARE when below 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
1-587.1954302455.564217.9620895.52-5296.92-20754.720.81-0.0004-10.87
2-45844.2454282651.854935.6513488.76-7078.56-32879.820.70.75-0.025-848.97
3-62710.2354243044.446601.6615706.81-7371.67-35545.560.90.72-0.03-1161.3
4-7829.1454282651.858109.6521482.1-9034.59-50168.730.90.97-0.003-144.98
520841.5654302455.569303.7440965.86-10761.27-42519.690.861.080.007385.95
661940.854292553.711077.165445.46-10371.81-46794.151.071.240.0181147.05
722012.7554282651.8511938.1975104.08-12009.87-50168.730.991.070.0057407.64
8-25046.65427275012551.7563280.6-13479.4-51293.590.930.93-0.0063-463.83
9-9336.4754292553.711878.5961615.32-14152.62-53768.280.840.97-0.0023-172.9
10-49296.9453262749.0613015.1753955.04-14358.94-64341.960.910.87-0.012-930.13
Although, strategy looks good but profit factor on day 3 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
atrnil311.7421415577235429.8732691.1876618.14-9958.18-22561.343.281.40.0322781.24
atrtrail35.4383147.0896356136.4615840.959350.26-7725.97-21819.582.051.180.014866.12
atrnil28.4550835.9480275333.7521322.7251078.76-9903.35-22561.342.151.10.0096635.45
atrtrail-16.2728.3596356136.4613486.0848279.72-7725.97-21819.581.7510.000147.59
atrtrail24.85-3758.1897366137.1112997.739566.84-7732.38-21819.581.680.99-0.00077-38.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 29.87%, which is not acceptable. Avoid this strategy. Average return per trade is 1.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, which is low, don't trade solely on the basis of this study. 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:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Oct 2019 (-3.74%)
2018409 Oct 2018 (-5.35%), 23 Oct 2018 (-5.62%), 25 Oct 2018 (-6.34%), 29 Oct 2018 (19.66%)
2017420 Jan 2017 (-2.79%), 01 Feb 2017 (9.04%), 13 Apr 2017 (-2.58%), 18 Apr 2017 (7.97%)
20161412 Jan 2016 (-3.58%), 13 Jan 2016 (-3.9%), 18 Jan 2016 (-4.39%), 20 Jan 2016 (14.12%), 08 Apr 2016 (-3.38%), 29 Apr 2016 (-3.04%), 03 May 2016 (-3.2%), 06 May 2016 (-4.26%), 13 May 2016 (12.08%), 10 Aug 2016 (-2.74%), 29 Aug 2016 (-2.99%), 29 Sep 2016 (-2.96%), 17 Oct 2016 (8.73%), 27 Dec 2016 (8.61%)
2015324 Aug 2015 (-5.6%), 02 Nov 2015 (11.98%), 09 Dec 2015 (-3.62%)
2014128 Jul 2014 (13.34%)
2013324 Jan 2013 (-4.95%), 14 May 2013 (-3.35%), 16 May 2013 (-3.41%)
2012617 Oct 2012 (-3.88%), 15 Nov 2012 (-3.57%), 19 Nov 2012 (11.95%), 07 Dec 2012 (-4.96%), 11 Dec 2012 (-5.16%), 13 Dec 2012 (-5.35%)
2011128 Dec 2011 (14.82%)
2010723 Feb 2010 (18.15%), 09 Jun 2010 (16.0%), 11 Aug 2010 (-3.46%), 12 Aug 2010 (-3.74%), 25 Aug 2010 (-3.68%), 30 Aug 2010 (-3.86%), 31 Aug 2010 (12.08%)
20081721 Jan 2008 (-9.03%), 13 Feb 2008 (26.28%), 17 Mar 2008 (29.68%), 23 May 2008 (-5.06%), 26 May 2008 (-5.29%), 04 Jun 2008 (-5.64%), 09 Jun 2008 (-5.74%), 23 Jun 2008 (-6.29%), 12 Sep 2008 (-4.51%), 15 Sep 2008 (-5.07%), 16 Sep 2008 (-5.73%), 17 Sep 2008 (-6.82%), 18 Sep 2008 (-8.02%), 26 Sep 2008 (-8.19%), 10 Oct 2008 (-11.28%), 24 Oct 2008 (-10.91%), 27 Oct 2008 (38.31%)
20071228 Feb 2007 (16.05%), 24 May 2007 (-4.19%), 05 Jun 2007 (-4.24%), 18 Jul 2007 (-4.67%), 19 Jul 2007 (-5.03%), 30 Jul 2007 (14.55%), 01 Aug 2007 (-6.13%), 06 Aug 2007 (-6.34%), 17 Oct 2007 (14.47%), 01 Nov 2007 (-5.79%), 13 Nov 2007 (-5.36%), 26 Nov 2007 (23.56%)
2005405 Jul 2005 (-4.34%), 14 Jul 2005 (-5.75%), 21 Jul 2005 (18.56%), 27 Oct 2005 (15.96%)



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