Study: Sell HINDALCO when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell HINDALCO when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HINDALCO 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
1-26008.5566293743.943061.2711720.34-3102.31-9238.780.990.77-0.02-394.07
2-14347.4766313546.974192.7714215.26-4123.53-12325.581.020.9-0.008-217.39
3-35533.11663333505446.0223266.61-6522.78-21899.520.830.83-0.013-538.38
4-34657.5466323448.486326.224601.1-6973.41-31689.890.910.85-0.011-525.11
5-74498.9366283842.427278.8226457.79-7323.84-22414.80.990.73-0.024-1128.77
6-73841.3466293743.947213.8823640.03-7649.84-27361.380.940.74-0.024-1118.81
7-12910266273940.916447.3519207.52-7773.85-26748.40.830.57-0.043-1956.09
8-73919.866303645.457607.9830598.92-8393.31-22011.70.910.76-0.023-1120
9-69646.5866293743.949076.7837865.46-8996.57-19949.851.010.79-0.019-1055.25
10-79271.3666303645.459666.3333721.26-10257.26-24773.240.940.79-0.02-1201.08
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
atrnil25.9126534.7770254535.7114305.5719665.05-7357.88-17280.441.941.080.0072379.07
atrtrail24.0917282.0882305236.599525.4720118.71-5163.11-9950.331.841.060.0052210.76
atrnil37.82-33843.7266165024.2421001.1829288.06-7397.25-17280.442.840.91-0.0083-512.78
atrtrail34.57-62136.3582285434.157629.4525320.86-5106.68-9950.331.490.77-0.02-757.76
200trail21.62-61454.61109288125.696007.237956.85-2835.27-3976.352.120.73-0.029-563.8
200nil21.72-64242.21106287826.426061.757956.85-2999.63-3976.352.020.73-0.03-606.06
atrtrail-15.04-77043.8282285434.157097.0426390.61-5106.68-9950.331.390.72-0.027-939.56
200nil32.18-77002.9899188118.189248.1511577.81-3005.8-3978.433.080.68-0.033-777.81
200trail31.92-85353.29106188816.988383.4311577.81-2684.72-3976.353.120.64-0.038-805.22
200trail-12.38-137756105139212.388024.4817133.96-2631.24-3976.353.050.43-0.066-1311.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0072, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Apr 2019 (5.46%), 13 Sep 2019 (-3.23%), 23 Sep 2019 (6.73%)
2018916 Apr 2018 (-3.32%), 11 May 2018 (6.95%), 11 Jun 2018 (6.21%), 29 Aug 2018 (-3.2%), 10 Sep 2018 (-3.27%), 18 Sep 2018 (-3.55%), 01 Nov 2018 (-4.51%), 13 Nov 2018 (8.1%), 19 Dec 2018 (6.39%)
2016121 Mar 2016 (-4.28%)
2014330 Jan 2014 (6.33%), 12 Dec 2014 (7.87%), 30 Dec 2014 (7.23%)
2013423 Jan 2013 (6.5%), 16 May 2013 (5.58%), 27 May 2013 (6.07%), 30 Aug 2013 (-5.61%)
2012607 Feb 2012 (-4.28%), 10 Feb 2012 (-4.78%), 17 Feb 2012 (9.76%), 10 Jul 2012 (5.78%), 03 Oct 2012 (6.28%), 12 Dec 2012 (-2.76%)
2011223 Mar 2011 (-3.7%), 04 May 2011 (6.77%)
2010203 Jun 2010 (9.83%), 13 Jul 2010 (-3.15%)
2008306 Feb 2008 (-8.64%), 11 Apr 2008 (-6.33%), 07 May 2008 (-5.21%)
2007631 Jan 2007 (-2.92%), 08 Feb 2007 (8.44%), 11 Jun 2007 (-3.84%), 29 Jun 2007 (-3.76%), 02 Aug 2007 (9.24%), 29 Aug 2007 (-4.34%)
2006718 Jul 2006 (-6.6%), 21 Aug 2006 (-4.03%), 19 Sep 2006 (-3.41%), 11 Oct 2006 (-2.7%), 16 Nov 2006 (-2.81%), 29 Nov 2006 (-2.72%), 18 Dec 2006 (7.01%)
2005315 Apr 2005 (6.48%), 22 Jul 2005 (-2.58%), 01 Aug 2005 (-2.73%)
2004126 Aug 2004 (-3.1%)
2003111 Apr 2003 (-2.86%)
2002410 Jan 2002 (-3.5%), 24 Jan 2002 (-3.16%), 07 Jun 2002 (-2.83%), 15 Jul 2002 (-1.87%)
2001709 Jan 2001 (-3.9%), 17 Jan 2001 (-3.52%), 23 Jan 2001 (7.68%), 31 Jan 2001 (-4.17%), 27 Feb 2001 (7.76%), 09 Apr 2001 (-4.6%), 19 Jul 2001 (6.71%)
2000429 Jun 2000 (-4.33%), 24 Jul 2000 (-3.34%), 22 Aug 2000 (-2.69%), 18 Oct 2000 (7.65%)
1997101 Mar 1997 (-2.54%)
1996109 Jan 1996 (-2.36%)
1995229 Nov 1995 (-2.41%), 20 Dec 1995 (-2.12%)



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