Study: Sell HINDALCO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell HINDALCO when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
117352.78251213484114.9811720.34-2463.61-8607.081.671.540.032694.11
232144.3251312526036.514215.26-3860.85-10491.471.561.690.0411285.77
343887.69251411567498.2323266.61-5553.42-12001.031.351.720.0391755.51
439094.61251312527036.224601.1-4364.66-14073.161.611.750.0371563.78
526090.12251510606350.5526457.79-6916.81-18908.870.921.380.0231043.6
6-17067.57251015408170.8511194.22-6585.07-27361.381.240.83-0.015-682.7
7-39740.38251114445956.1210775.86-7518.41-26748.40.790.62-0.036-1589.62
8-18729.49251114447718.1716087.73-7402.1-22011.71.040.82-0.016-749.18
917119.05251213489797.1218788.03-7726.64-19949.851.271.170.013684.76
1043467.532513125210730.5324553.71-8002.44-20284.21.341.450.0311738.7

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 1.75. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study.

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
nilnil-1439094.61251312527036.224601.1-4364.66-14073.161.611.750.0371563.78
atrnil27.7967525.6524111345.8315097.7819665.05-7580.76-17280.441.991.690.0492813.57
atrtrail24.2531163.2928111739.299874.5619665.05-4556.28-8064.482.171.40.0271112.97
atrnil310.9248712.842481633.3321590.6727719.34-7750.78-17280.442.791.390.0292029.7
200trail21.84-19892.8632824256076.987131.47-2854.53-3917.652.130.71-0.032-621.65
200nil21.91-23785.232824256076.987131.47-3016.71-3958.682.010.67-0.038-743.29
atrtrail34.71-30966.6728101835.715251.6811487.73-4637.97-8064.481.130.63-0.041-1105.95
atrtrail-14.71-30966.6728101835.715251.6811487.73-4637.97-8064.481.130.63-0.041-1105.95
200trail32.16-26136.533152616.138863.4210697.2-2709.76-3917.653.270.63-0.039-843.11
200nil32.38-28042.62952417.248863.4210697.2-3014.99-3958.682.940.61-0.043-966.99
200trail-12.77-50257.12313289.688131.5114363.84-2666.13-3917.653.050.33-0.092-1621.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.75. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 52%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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, X=4, Profit Factor:1.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Nov 2018 (3.29%)
2014230 Jan 2014 (3.56%), 12 Dec 2014 (0.39%)
2013123 Jan 2013 (2.04%)
2011223 Mar 2011 (-5.88%), 04 May 2011 (1.1%)
2010103 Jun 2010 (8.91%)
2008206 Feb 2008 (12.3%), 07 May 2008 (-0.28%)
2007102 Aug 2007 (-1.25%)
2006618 Jul 2006 (3.15%), 02 Aug 2006 (0.28%), 21 Aug 2006 (-7.04%), 19 Sep 2006 (-1.05%), 16 Nov 2006 (0.31%), 05 Dec 2006 (0.97%)
2005115 Apr 2005 (-0.86%)
2002207 Jun 2002 (-2.31%), 15 Jul 2002 (0.7%)
2001227 Feb 2001 (-4.64%), 19 Jul 2001 (-0.29%)
2000222 Aug 2000 (-0.01%), 18 Oct 2000 (8.75%)
1996109 Jan 1996 (-0.0%)
1995129 Nov 1995 (-2.58%)



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