Study: Sell HINDALCO when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell HINDALCO when there is Dead Cross (50 DMA < 200 DMA)" 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
1-27339.142191242.862437.174910.71-4106.14-12580.620.590.45-0.059-1301.86
2-8321.382181338.15097.959893.49-3777.31-8565.741.350.83-0.015-396.26
367999.122191242.8613755.1165474.31-4649.74-8905.762.962.220.0433238.05
484970.7821111052.3814210.5164041.5-7134.48-13935.141.992.190.054046.23
544234.6621101147.6214351.7662430.83-9025.72-24842.551.591.450.0252106.41
629758.2921101147.6216203.3762648.22-12025.03-25753.091.351.220.0161417.06
78259.422191242.8617696.465286.56-12584.01-45194.981.411.050.0038393.31
854515.7121111052.3817244.166581.03-13516.94-48472.391.281.40.0242595.99
917015.132112957.1416275.1166324.11-19809.58-70547.720.821.10.0064810.24
1022845.1721111052.3817864.6866837.94-17366.63-56671.481.031.130.0091087.87
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HINDALCO Performance, X=3, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018202 Apr 2018 (-1.37%), 11 Dec 2018 (-1.8%)
2014124 Dec 2014 (-3.82%)
2013107 Mar 2013 (1.63%)
2012110 Apr 2012 (0.08%)
2011116 May 2011 (2.77%)
2010108 Jul 2010 (-4.45%)
2008327 Mar 2008 (3.03%), 27 May 2008 (-3.61%), 23 Jun 2008 (2.49%)
2007103 Jan 2007 (6.78%)
2006119 Sep 2006 (-2.21%)
2005124 May 2005 (-1.02%)
2004127 May 2004 (-2.51%)
2002130 Jul 2002 (7.14%)
2001116 Aug 2001 (-2.19%)
2000215 Mar 2000 (-1.39%), 22 Nov 2000 (-2.86%)
1997102 Dec 1997 (5.23%)
1996223 Jan 1996 (-0.66%), 30 Aug 1996 (32.74%)

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
atrtrail-15.5-6326.152471729.1716290.0353212.9-7079.79-14530.592.30.95-0.0038-263.59
atrtrail34.84-16278.79258173213009.729066.88-7079.79-14530.591.840.86-0.012-651.15
atrnil36.24-40781.64256192421725.529066.88-9007.09-16533.732.410.76-0.024-1631.27
atrtrail23.96-35377.59258173210622.3519377.92-7079.79-14530.591.50.71-0.032-1415.1
atrnil24.96-84232.65256192414483.6719377.92-9007.09-16533.731.610.51-0.065-3369.31

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 29.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.13%, 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:0.947

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018202 Apr 2018 (1.02%), 11 Dec 2018 (-3.91%)
2014124 Dec 2014 (-3.99%)
2013107 Mar 2013 (9.35%)
2012110 Apr 2012 (-3.43%)
2011116 May 2011 (2.23%)
2010208 Jul 2010 (-3.45%), 09 Jul 2010 (-3.36%)
2008327 Mar 2008 (-3.31%), 27 May 2008 (-4.92%), 28 May 2008 (26.61%)
2007103 Jan 2007 (5.04%)
2006119 Sep 2006 (-3.41%)
2005124 May 2005 (-2.44%)
2004127 May 2004 (-5.96%)
2002130 Jul 2002 (-2.25%)
2001216 Aug 2001 (-3.16%), 17 Aug 2001 (1.85%)
2000315 Mar 2000 (-7.27%), 16 Mar 2000 (-2.4%), 22 Nov 2000 (-2.57%)
1997102 Dec 1997 (10.92%)
1996223 Jan 1996 (-2.09%), 30 Aug 1996 (-2.26%)



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