Study: Sell HINDALCO when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell HINDALCO when below 200 SMA and near 50 SMA and below 50 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
1-20364.0860263443.333521.3111651.18-3291.71-11197.141.070.82-0.015-339.4
2-26644.62602733454868.6712294.5-4790.87-14719.081.020.83-0.015-444.08
3-10635760253541.675052.6312905.91-6647.8-14796.970.760.54-0.052-1772.62
4-110785602733455649.4414583.53-7979.4-19324.80.710.58-0.045-1846.42
5-100827602733456571.0214153.33-8431.65-27784.250.780.64-0.037-1680.45
6-48107.4659273245.768275.517277.17-8485.81-23360.50.980.82-0.016-815.38
7-42466.5359283147.469999.9920848.71-10402.14-25051.620.960.87-0.012-719.77
8-72453.8359273245.7610712.3822314.74-11302.75-38799.040.950.8-0.018-1228.03
9-33918.5659283147.4611353.230225.71-11348.65-33017.8910.9-0.0081-574.89
10-96928.0859273245.7610846.1624237.92-12180.45-31742.340.890.75-0.023-1642.85
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
atrnil26.03-48370.6158184031.0314367.0521631.13-7674.44-14217.861.870.84-0.016-833.98
50trail21.53-30502.2490266428.895796.347526.92-2831.36-3895.052.050.83-0.017-338.91
50nil21.6-34129.0689266329.215885.357526.92-2970.61-3895.051.980.82-0.019-383.47
atrtrail23.75-64534.5971254635.218690.3119826.95-6125.92-14217.861.420.77-0.022-908.94
50trail-12.45-48613.687186920.697755.9926535.32-2727.85-3895.052.840.74-0.021-558.78
50nil32.18-56174.0882166619.518574.9811290.38-2929.91-3764.62.930.71-0.03-685.05
50trail31.9-62610.6888196921.596702.1911290.38-2752.93-3895.052.430.67-0.034-711.49
atrtrail-14.79-10056771244733.87802.1526072.17-6123.81-14217.861.270.65-0.035-1416.44
atrtrail34.31-10832971244733.87478.7721950.86-6123.81-14217.861.220.62-0.039-1525.75
atrnil38.46-14722756104617.8620767.8831454.7-7715.34-14217.862.690.59-0.048-2629.05

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 31.03%, which is not acceptable. Avoid this strategy. Average return per trade is -0.42%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:0.842

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019806 Mar 2019 (-2.72%), 26 Apr 2019 (-2.9%), 28 May 2019 (6.35%), 24 Jun 2019 (-2.86%), 05 Jul 2019 (-2.83%), 24 Jul 2019 (6.1%), 09 Sep 2019 (-3.56%), 09 Oct 2019 (-3.59%)
2018521 May 2018 (-3.71%), 15 Jun 2018 (6.42%), 13 Aug 2018 (-3.7%), 16 Oct 2018 (-4.85%), 17 Dec 2018 (6.93%)
2015705 Jan 2015 (6.71%), 04 Feb 2015 (-3.53%), 26 Feb 2015 (-3.62%), 06 May 2015 (-3.39%), 25 May 2015 (6.71%), 09 Oct 2015 (-4.52%), 10 Nov 2015 (-4.27%)
2013202 May 2013 (-2.94%), 01 Jul 2013 (8.92%)
2012705 Mar 2012 (10.48%), 22 Jun 2012 (-3.41%), 30 Jul 2012 (-3.25%), 14 Aug 2012 (5.91%), 18 Sep 2012 (-3.4%), 23 Oct 2012 (-3.67%), 07 Nov 2012 (6.35%)
2011304 Jul 2011 (6.24%), 19 Jul 2011 (6.44%), 14 Dec 2011 (10.82%)
2010112 Jul 2010 (-3.25%)
2009101 Jan 2009 (-7.11%)
2008111 Apr 2008 (-6.33%)
2007202 Jan 2007 (6.17%), 30 May 2007 (-4.1%)
2006119 Sep 2006 (-3.41%)
2005112 Dec 2005 (-3.35%)
2004130 Jun 2004 (-4.21%)
2003118 Feb 2003 (4.8%)
2002111 Nov 2002 (-3.8%)
2001427 Feb 2001 (7.76%), 09 Apr 2001 (-4.6%), 05 Nov 2001 (-3.82%), 27 Dec 2001 (-4.66%)
2000407 Apr 2000 (-6.43%), 24 May 2000 (-5.39%), 31 May 2000 (-4.88%), 05 Dec 2000 (-3.36%)
1999123 Mar 1999 (8.58%)
1998403 Mar 1998 (-3.51%), 25 Sep 1998 (7.62%), 23 Oct 1998 (-4.1%), 14 Dec 1998 (-2.82%)
1996310 Jan 1996 (-2.27%), 11 Dec 1996 (-2.65%), 12 Dec 1996 (-2.74%)



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