Study: Sell HINDALCO when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HINDALCO when near 200 SMA and below 200 SMA and ADX is Trending" 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
1-4458.562213959.093396.711720.34-5401.74-13667.60.630.91-0.0073-202.66
2-22197.1522101245.454343.6614215.26-5469.48-12325.580.790.66-0.032-1008.96
3-25859.67221111506575.5123266.61-8926.39-21131.760.740.74-0.024-1175.44
4-29908.152291340.918968.5424601.1-8509.61-18918.351.050.73-0.025-1359.46
5-22894.0722101245.458763.7626457.79-9210.97-19003.380.950.79-0.019-1040.64
6-18083.332213959.095862.410665.6-10477.17-24155.410.560.81-0.018-821.97
7-33056.522291340.917359.8917400-7638.12-18412.160.960.67-0.032-1502.57
8-39771.2922121054.555450.6817900-10517.95-19913.420.520.62-0.039-1807.79
9-42472.362291340.917600.218415.28-8528.78-19455.050.890.62-0.039-1930.56
10-57599.262291340.919162.1524553.71-10773.74-24773.240.850.59-0.044-2618.15

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.91. 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 59.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.

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
atrnil25.08-985.012691734.6215040.6719665.05-8020.65-17280.441.880.99-0.00068-37.88
atrtrail23.38-4889.4129111837.939209.0419665.05-5899.38-9558.941.560.95-0.004-168.6
nilnil-11-4458.562213959.093396.711720.34-5401.74-13667.60.630.91-0.0073-202.66
atrnil37.6-48484.33255202022421.7829288.06-8029.66-17280.442.790.7-0.031-1939.37
atrtrail33.9-33372.6229101934.48751018853.9-5709.08-9558.941.320.69-0.03-1150.78
200nil21.62-22939.463492526.475585.746295.5-2928.45-3976.351.910.69-0.036-674.69
200trail21.57-25271.033592625.715585.746295.5-2905.49-3976.351.920.67-0.039-722.03
200nil31.88-25390.183262618.758402.769443.25-2915.64-3976.352.880.67-0.036-793.44
200trail31.76-27346.143462817.658402.769443.25-2777.24-3976.353.030.65-0.038-804.3
atrtrail-14.62-43036.6529101934.486543.616196.12-5709.08-9558.941.150.6-0.043-1484.02
200trail-12.21-60616.27333309.096228.8511606.69-2643.43-3976.352.360.24-0.12-1836.86

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 34.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.019%, 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:0.993

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Sep 2019 (6.73%)
2018216 Apr 2018 (-3.32%), 01 Nov 2018 (-4.51%)
2016121 Mar 2016 (-4.28%)
2013323 Jan 2013 (6.5%), 16 May 2013 (5.58%), 27 May 2013 (6.07%)
2012507 Feb 2012 (-4.28%), 10 Feb 2012 (-4.78%), 17 Feb 2012 (9.76%), 03 Oct 2012 (6.28%), 12 Dec 2012 (-2.76%)
2011123 Mar 2011 (-3.7%)
2010103 Jun 2010 (9.83%)
2008206 Feb 2008 (-8.64%), 11 Apr 2008 (-6.33%)
2007311 Jun 2007 (-3.84%), 29 Jun 2007 (-3.76%), 02 Aug 2007 (9.24%)
2004126 Aug 2004 (-3.1%)
2003111 Apr 2003 (-2.86%)
2002216 Jan 2002 (-3.13%), 28 Jan 2002 (-2.96%)
2001217 Jan 2001 (-3.52%), 23 Jan 2001 (7.68%)
1995129 Nov 1995 (-2.41%)



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