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

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In this study, we evaluate the performance of strategy "Buy HINDALCO when near 200 SMA and above 200 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
1-40432.4458253343.13088.0218080.72-3564.63-10782.970.870.66-0.03-697.11
2-16493.2358283048.284115.3315897.86-4390.75-12867.310.940.87-0.01-284.37
3-10163258223637.934965.3616842.62-5857.5-144000.850.52-0.051-1752.27
4-12667358213736.216067.5617196.7-6867.33-24742.270.880.5-0.053-2184.01
5-12499558263244.836774.6425913.62-9410.49-32406.630.720.58-0.04-2155.08
6-12611858253343.18187.0726855.12-10024.1-39595.620.820.62-0.037-2174.46
7-69098.7958233539.6610403.5928621.91-8810.9-35495.651.180.78-0.02-1191.36
8-39003.5958263244.839775.8139811.54-9161.71-31487.781.070.87-0.011-672.48
9-72122.8758243441.389682.8839811.54-8956.23-33136.761.080.76-0.021-1243.5
10-11278458213736.2111627.0538371.51-9647.36-33305.251.210.68-0.03-1944.56
Although, strategy looks good but profit factor on day 1 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
200trail-12.964916.1493227123.6611811.141718-2745.47-3902.354.31.330.017698.02
200trail31.8815502.3896276928.127744.811647.6-2805.9-3902.352.761.080.0066161.48
200nil31.998876.2393256826.888389.3111494.89-2953.77-3967.012.841.040.003895.44
atrtrail-15.08-4247.673254834.251182261773.48-6245.78-11519.781.890.99-0.001-58.19
atrtrail34.7-8831.3973264735.6211168.8128036.22-6366.39-11519.781.750.97-0.0025-120.98
atrtrail24-15269.0874274736.4910516.7221360.19-6366.39-11519.781.650.95-0.0046-206.34
200nil21.74-11977.8597316631.965881.187934.01-2943.85-3917.5720.94-0.006-123.48
200trail21.7-15723.2998306830.615866.987934.01-2819.6-3902.352.080.92-0.008-160.44
atrnil37.71-35275.8562154724.1921274.7934883.95-7540.38-14464.862.820.9-0.009-568.97
atrnil25.5-61000.166204630.314219.0223255.97-7508.27-14464.861.890.82-0.018-924.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 23.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Sep 2019 (-1.44%)
2018618 Apr 2018 (3.69%), 25 May 2018 (-1.07%), 06 Jun 2018 (-1.26%), 28 Aug 2018 (-1.63%), 12 Sep 2018 (0.08%), 15 Nov 2018 (-1.86%)
2016105 Apr 2016 (17.37%)
2015101 Jan 2015 (-1.06%)
2014720 Oct 2014 (-0.63%), 27 Oct 2014 (-1.79%), 28 Oct 2014 (7.58%), 09 Dec 2014 (-1.79%), 22 Dec 2014 (-1.13%), 29 Dec 2014 (-1.24%), 31 Dec 2014 (-1.26%)
2013128 Jan 2013 (-1.21%)
2012606 Feb 2012 (-1.52%), 01 Mar 2012 (-1.47%), 05 Oct 2012 (-1.12%), 05 Dec 2012 (-1.72%), 11 Dec 2012 (-1.11%), 14 Dec 2012 (11.01%)
2011317 Mar 2011 (-1.65%), 18 Apr 2011 (-1.53%), 03 May 2011 (-1.16%)
2010524 May 2010 (-1.22%), 04 Jun 2010 (-1.3%), 24 Jun 2010 (-1.77%), 28 Jun 2010 (-1.23%), 19 Jul 2010 (1.85%)
2008408 May 2008 (-1.53%), 13 May 2008 (8.88%), 02 Jun 2008 (-1.54%), 05 Jun 2008 (-1.04%)
2007703 Jan 2007 (-1.35%), 05 Feb 2007 (-1.54%), 19 Jun 2007 (3.65%), 08 Aug 2007 (-1.8%), 31 Aug 2007 (-1.42%), 07 Sep 2007 (-1.05%), 11 Sep 2007 (-1.32%)
2006926 Jul 2006 (-1.62%), 22 Aug 2006 (-1.88%), 18 Sep 2006 (-1.34%), 20 Sep 2006 (0.88%), 15 Nov 2006 (-1.79%), 24 Nov 2006 (-1.06%), 28 Nov 2006 (-1.04%), 06 Dec 2006 (-0.94%), 15 Dec 2006 (-1.08%)
2005325 Jul 2005 (-1.06%), 26 Jul 2005 (-1.22%), 02 Aug 2005 (2.85%)
2004107 Sep 2004 (14.72%)
2003208 Apr 2003 (-1.55%), 15 Apr 2003 (4.23%)
2002515 Jan 2002 (-1.45%), 25 Jan 2002 (-1.92%), 06 Jun 2002 (-1.78%), 10 Jun 2002 (4.22%), 11 Jul 2002 (-1.67%)
20011311 Jan 2001 (-1.53%), 24 Jan 2001 (-1.17%), 01 Feb 2001 (-1.43%), 06 Feb 2001 (7.43%), 08 Mar 2001 (-1.59%), 28 Mar 2001 (-1.61%), 29 Mar 2001 (-1.15%), 03 Apr 2001 (-1.43%), 04 Apr 2001 (-0.53%), 10 Apr 2001 (-1.63%), 16 Apr 2001 (-0.13%), 19 Apr 2001 (6.54%), 03 Jul 2001 (-1.53%)
20001109 Feb 2000 (4.1%), 22 Jun 2000 (-1.15%), 05 Jul 2000 (-1.09%), 06 Jul 2000 (2.27%), 26 Jul 2000 (2.08%), 10 Aug 2000 (-1.78%), 21 Aug 2000 (-1.6%), 23 Aug 2000 (-1.05%), 29 Aug 2000 (3.66%), 13 Oct 2000 (-1.3%), 22 Dec 2000 (-1.41%)
1998220 Apr 1998 (-1.25%), 21 Apr 1998 (-1.45%)
1997130 Oct 1997 (1.68%)
1996311 Jan 1996 (-1.54%), 18 Jan 1996 (20.86%), 23 Jul 1996 (-1.95%)
1995126 Dec 1995 (0.31%)



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