Study: Buy HINDALCO when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy HINDALCO when ADX is Trending and there is Golden 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: 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
111748.89128466.675523.8117768.84-8110.4-9722.220.681.360.026979.07
21943.88128466.673356.449600-6226.92-11332.850.541.080.0059161.99
3-22188.24127558.334855.599816.22-11235.48-16175.620.430.61-0.042-1849.02
4-50610.41125741.676004.6311070.27-11519.08-26686.510.520.37-0.077-4217.53
5-46175.2125741.676467.5112954.48-11216.11-25099.210.580.41-0.072-3847.93
6-84173.35124833.335967.912221.2-13505.62-32837.30.440.22-0.11-7014.45
7-100196124833.334651.18310.42-14850.07-38095.240.310.16-0.14-8349.68
8-87553.031239259460.2418698.44-12881.53-33630.950.730.24-0.11-7296.09
9-100344124833.336333.7720837.15-15709.83-32440.480.40.2-0.13-8361.96
10-9899712392511061.9221570.42-14686.97-27976.190.750.25-0.12-8249.75

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.36. 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 66.67%, which is good. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid 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
nilnil-1111748.89128466.675523.8117768.84-8110.4-9722.220.681.360.026979.07
atrtrail-13.87-29640.591541126.6710934.9329351.91-6670.94-12161.31.640.6-0.04-1976.04
atrtrail33-37667.1164122510498.8121142.3-6638.53-12161.31.580.53-0.053-2354.19
atrtrail22.69-37987.93164122510418.614094.87-6638.53-12161.31.570.52-0.06-2374.25
atrnil23.19-73309.961631318.7512942.8114094.87-8626.03-13389.071.50.35-0.11-4581.87
atrnil34.5-80171.121621412.519268.0621142.3-8479.09-13389.072.270.32-0.11-5010.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 66.67%, which is good. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, X=1, Profit Factor:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Nov 2018 (3.98%)
2016129 Apr 2016 (2.39%)
2013104 Jan 2013 (1.4%)
2012127 Mar 2012 (-2.71%)
2010125 Aug 2010 (0.24%)
2009112 Jun 2009 (-4.86%)
2007127 Jul 2007 (-4.25%)
2004106 Oct 2004 (1.08%)
2002126 Feb 2002 (-4.4%)
1999119 May 1999 (1.03%)
1997101 Apr 1997 (3.09%)
1996113 Feb 1996 (8.88%)



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