Study: Buy HINDALCO when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy HINDALCO when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-3908.2563392461.92033.285852.3-3466.92-11564.040.590.95-0.0035-62.04
2-5420.3163333052.384246.3710295.95-4851.69-14671.160.880.96-0.003-86.04
3-10270.3763303347.625408.8618078.1-5228.37-21995.761.030.94-0.0045-163.02
4-43273.6863293446.036562.1916572.52-6869.92-15345.980.960.81-0.017-686.88
5-28774.8463253839.688832.5519591.31-6568.12-16127.231.340.88-0.01-456.74
631810.9763253839.6810853.1833421.65-6303.12-16095.381.721.130.01504.94
71513.8563253839.6810607.129185.88-6938.52-34426.231.531.010.0004424.03
836566.4563283544.4411723.338897.24-8333.88-51763.541.411.130.0086580.42
927004.4363273642.8613248.0538886.87-9185.92-40834.581.441.080.0061428.64
1011251.4963323150.7911534.7538151.01-11543.89-50869.3511.030.0024178.6
Although, strategy looks good but profit factor on day 4 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
50trail-13.5910279290256527.781107541718-2678.21-3994.984.141.590.0271142.13
50nil32.6210270790315934.449166.3611836.77-3075.43-3994.982.981.570.0391141.19
50trail32.3283581.9194326234.047954.1411561.75-2757.27-3994.982.881.490.034889.17
50nil22.0362564.0796395740.626114.67891.18-3086.06-3994.981.981.360.029651.71
50trail21.9636391.797366137.115765.597707.83-2806.06-3994.982.051.210.018375.17
atrtrail-15.7445988.1874264835.1412690.461773.48-5915.88-13588.282.151.160.0099621.46
atrtrail24.29-7860.7977294837.669564.4917917.98-5942.31-13588.281.610.97-0.0025-102.09
atrnil37.95-27674.763174626.9818919.4227984.47-7593.58-14174.382.490.92-0.0073-439.28
atrtrail35.01-28628.61752748369503.7926876.97-5942.31-13588.281.60.9-0.0087-381.71
atrnil25.61-36885.3871254635.2112415.5218656.32-7549.42-14174.381.640.89-0.011-519.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. 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 27.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.57%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018519 Jan 2018 (-1.41%), 24 Jan 2018 (-1.73%), 29 Jan 2018 (-1.61%), 19 Nov 2018 (-1.22%), 03 Dec 2018 (-1.85%)
20171127 Mar 2017 (1.89%), 24 Apr 2017 (3.05%), 04 May 2017 (-1.67%), 18 May 2017 (-1.83%), 16 Jun 2017 (1.1%), 03 Jul 2017 (-0.7%), 10 Jul 2017 (6.84%), 27 Sep 2017 (15.76%), 17 Nov 2017 (-2.0%), 22 Nov 2017 (-1.33%), 20 Dec 2017 (5.42%)
2016313 May 2016 (-1.44%), 15 Sep 2016 (-1.96%), 20 Sep 2016 (4.07%)
2014403 Jan 2014 (-1.21%), 21 Aug 2014 (-0.92%), 31 Oct 2014 (-1.95%), 29 Dec 2014 (-0.18%)
2013317 Jan 2013 (-0.88%), 13 Nov 2013 (4.39%), 18 Dec 2013 (2.11%)
2011104 Apr 2011 (-1.9%)
2010522 Feb 2010 (8.31%), 03 May 2010 (-1.35%), 23 Nov 2010 (-1.47%), 01 Dec 2010 (0.2%), 10 Dec 2010 (-1.02%)
2008510 Jan 2008 (-1.41%), 11 Jan 2008 (-1.75%), 21 Feb 2008 (-1.38%), 05 May 2008 (-1.62%), 02 Jun 2008 (-1.9%)
2007203 Jan 2007 (-1.38%), 21 Sep 2007 (-1.21%)
2006509 Aug 2006 (1.17%), 17 Aug 2006 (-1.28%), 15 Sep 2006 (-1.94%), 20 Sep 2006 (0.88%), 27 Nov 2006 (-1.92%)
2005201 Mar 2005 (5.18%), 04 Apr 2005 (-1.68%)
20041012 Feb 2004 (-1.0%), 01 Apr 2004 (2.16%), 16 Apr 2004 (-0.52%), 23 Apr 2004 (-1.34%), 20 Oct 2004 (-1.44%), 27 Oct 2004 (-1.85%), 17 Nov 2004 (-1.36%), 22 Nov 2004 (2.32%), 06 Dec 2004 (-0.44%), 15 Dec 2004 (-0.36%)
2003315 Apr 2003 (4.23%), 19 Sep 2003 (-1.34%), 25 Sep 2003 (9.4%)
2002526 Mar 2002 (0.58%), 02 Apr 2002 (-1.8%), 13 May 2002 (-1.3%), 20 May 2002 (-1.14%), 20 Jun 2002 (-1.0%)
2001608 Mar 2001 (-1.43%), 28 Mar 2001 (-1.4%), 03 Apr 2001 (-1.19%), 04 Apr 2001 (-0.53%), 10 Apr 2001 (-1.2%), 13 Jun 2001 (-1.66%)
2000503 Feb 2000 (-1.42%), 11 Feb 2000 (-1.32%), 27 Jul 2000 (2.34%), 05 Sep 2000 (1.51%), 04 Oct 2000 (-1.32%)
1999617 Sep 1999 (-1.29%), 21 Sep 1999 (-1.29%), 25 Nov 1999 (-1.56%), 26 Nov 1999 (-0.44%), 30 Nov 1999 (-1.95%), 03 Dec 1999 (-1.19%)
1997430 May 1997 (3.31%), 25 Jun 1997 (12.75%), 21 Jul 1997 (18.62%), 01 Oct 1997 (-1.18%)
1996412 Jan 1996 (-1.25%), 17 Jan 1996 (-1.85%), 18 Jan 1996 (20.86%), 20 Jun 1996 (-0.79%)
1995127 Dec 1995 (-0.78%)



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