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

home > technical-strategy > hindalco > 22

In this study, we evaluate the performance of strategy "Buy HINDALCO when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" 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
1788.22352114602048.045514.02-3015.77-10663.250.681.020.001322.52
211588.2635201557.144113.0410295.95-4711.51-13241.910.871.160.012331.09
36591.6135171848.575465.5718078.1-4795.73-13947.541.141.080.0053188.33
4-16270.9735161945.716694.2112401.9-6493.6-15345.981.030.87-0.012-464.88
5-28827.8835132237.149283.619591.31-6796.12-16745.261.370.81-0.017-823.65
6-1120.453514214010134.7433421.65-6809.85-16365.731.490.99-0.00061-32.01
7-20757.4735152042.868221.0422533.46-7203.65-25904.081.140.86-0.012-593.07
826993.9935171848.571058430008.01-8496.33-29229.241.251.180.013771.26
93185.733514214012801.8723759.94-8382.88-36722.341.531.020.001491.02
10-19067.3135171848.579456.0721011.77-9990.03-31098.680.950.89-0.0093-544.78
Although, strategy looks good but profit factor on day 5 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
50nil32.9861290.7849173234.699186.8611836.77-2965.18-3908.373.11.650.0431250.83
50nil22.2848927.1754233142.596136.347891.18-2974.47-3908.372.061.530.04906.06
50trail32.4737713.753173632.087683.7711561.75-2580.85-3908.372.981.410.028711.58
50trail-13.4332495.3351133825.499746.5840902.56-2479.22-3908.373.931.340.018637.16
50trail22.1517661.6355203536.365511.387707.83-2644.74-3908.372.081.190.016321.12
atrnil3925631.5738122631.5818177.6227984.47-7403.84-14174.382.461.130.011674.51
atrtrail-15.5614062.2943152834.8811337.4260890.38-5571.39-13448.362.031.090.0055327.03
atrnil25.47-1539.2540152537.512206.2818656.32-7385.34-14174.381.650.99-0.00078-38.48
atrtrail24.3-2912.8944162836.369647.1817917.98-5616.71-13448.361.720.98-0.0016-66.2
atrtrail35.14-9721.544162836.369221.6426876.97-5616.71-13448.361.640.94-0.0052-220.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 34.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Nov 2018 (-1.22%), 03 Dec 2018 (-1.85%)
2017524 Apr 2017 (4.75%), 04 May 2017 (-1.67%), 18 May 2017 (-1.83%), 03 Jul 2017 (5.92%), 20 Dec 2017 (4.51%)
2014231 Oct 2014 (-1.95%), 29 Dec 2014 (-1.54%)
2013113 Nov 2013 (3.51%)
2011104 Apr 2011 (-1.9%)
2010322 Feb 2010 (4.55%), 01 Dec 2010 (5.8%), 10 Dec 2010 (-1.02%)
2008221 Feb 2008 (-1.38%), 05 May 2008 (-1.62%)
2007203 Jan 2007 (-1.38%), 21 Sep 2007 (-1.21%)
2006309 Aug 2006 (3.41%), 17 Aug 2006 (-1.28%), 27 Nov 2006 (-1.92%)
2005104 Apr 2005 (-1.68%)
2004512 Feb 2004 (-1.53%), 01 Apr 2004 (3.17%), 16 Apr 2004 (-1.24%), 17 Nov 2004 (-1.94%), 15 Dec 2004 (4.88%)
2003115 Apr 2003 (5.75%)
2002313 May 2002 (-1.3%), 20 May 2002 (-1.14%), 20 Jun 2002 (-1.0%)
2001428 Mar 2001 (-1.4%), 03 Apr 2001 (-1.19%), 04 Apr 2001 (3.69%), 10 Apr 2001 (-1.2%)
2000211 Feb 2000 (-1.32%), 05 Sep 2000 (5.41%)
1999425 Nov 1999 (-1.56%), 26 Nov 1999 (5.78%), 30 Nov 1999 (-1.95%), 03 Dec 1999 (-1.19%)
1997330 May 1997 (3.07%), 10 Jun 1997 (4.32%), 01 Oct 1997 (-1.18%)
1996401 Jan 1996 (-1.73%), 12 Jan 1996 (-1.25%), 17 Jan 1996 (-1.85%), 19 Jan 1996 (5.32%)
1995127 Dec 1995 (4.25%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play