Study: Buy HINDALCO when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HINDALCO when below 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
1-133254114536146.493471.9319966.39-5201.08-20942.090.670.58-0.04-1168.89
2-126215114526245.615549.9725563.03-6690.53-20285.360.830.7-0.028-1107.15
3-100201114456939.477994.0726036.88-6665.72-19861.991.20.78-0.02-878.96
4-112620114476741.238877.7529083.67-7908.57-24400.871.120.79-0.019-987.9
5-107849114486642.119503.4733266.93-8545.68-47639.81.110.81-0.017-946.04
6-145522114585650.889048.2933213.71-11970.04-74219.320.760.78-0.018-1276.51
7-225237114546047.379591.1336852.59-12385.96-82643.430.770.7-0.026-1975.76
8-259941114516344.7410503.3338496.02-12628.75-69426.290.830.67-0.029-2280.19
9-271066114447038.613665.0851311.13-12461.85-45606.391.10.69-0.029-2377.77
10-286975114427236.8415344.4249201.83-12936.68-44611.11.190.69-0.029-2517.33
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
atrnil25.95-88529.1378225628.2118055.1633477.74-8673.98-14426.312.080.82-0.018-1134.99
atrtrail23.84-2436922357316231.0613010.5769992.97-7367.06-27329.871.770.8-0.018-1036.99
atrtrail34.37-3053592357016529.7912835.7104989-7296.11-27329.871.760.75-0.021-1299.4
atrtrail-14.74-3269482356816728.9413069.8760749.24-7279.63-27329.871.80.73-0.023-1391.27
atrnil37.99-15030872135918.0628330.9550216.6-8790.01-14601.023.220.71-0.028-2087.62

In the table above, row 1 shows the best exit criterion. Profit factor is 0.82. 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 28.21%, which is not acceptable. Avoid this strategy. Average return per trade is -0.57%, 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:0.818

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2005515 Apr 2005 (-3.24%), 18 Apr 2005 (-3.31%), 29 Apr 2005 (-3.13%), 30 May 2005 (-3.19%), 02 Jun 2005 (7.0%)
2004629 Apr 2004 (-4.52%), 03 May 2004 (-5.08%), 11 May 2004 (-5.98%), 13 May 2004 (-6.67%), 14 May 2004 (-7.21%), 17 May 2004 (16.74%)
2003320 Feb 2003 (-2.49%), 17 Mar 2003 (-2.83%), 28 Mar 2003 (6.11%)
20021007 Jun 2002 (5.66%), 12 Jul 2002 (3.87%), 25 Jul 2002 (-3.47%), 26 Jul 2002 (7.34%), 02 Aug 2002 (-4.93%), 05 Aug 2002 (11.34%), 27 Sep 2002 (-4.35%), 08 Oct 2002 (7.72%), 09 Oct 2002 (-5.1%), 14 Oct 2002 (11.44%)
20011104 Jul 2001 (-3.62%), 30 Jul 2001 (-3.62%), 02 Aug 2001 (-3.81%), 29 Aug 2001 (-2.88%), 30 Aug 2001 (6.56%), 07 Sep 2001 (-3.98%), 14 Sep 2001 (-4.66%), 19 Sep 2001 (-5.56%), 20 Sep 2001 (-6.43%), 21 Sep 2001 (-6.79%), 20 Dec 2001 (9.31%)
2000931 Jan 2000 (14.6%), 25 Feb 2000 (-5.77%), 02 Mar 2000 (-6.01%), 03 Mar 2000 (-6.71%), 07 Mar 2000 (15.28%), 19 Oct 2000 (-4.29%), 20 Oct 2000 (-4.83%), 23 Oct 2000 (-5.33%), 10 Nov 2000 (9.5%)
1999501 Feb 1999 (-3.59%), 08 Feb 1999 (7.0%), 16 Feb 1999 (-3.72%), 01 Mar 1999 (-3.87%), 11 Mar 1999 (8.76%)
19981312 Jan 1998 (-5.1%), 27 Jan 1998 (-4.09%), 29 May 1998 (10.56%), 16 Jun 1998 (10.89%), 03 Aug 1998 (-3.45%), 05 Aug 1998 (-3.39%), 11 Aug 1998 (-3.44%), 12 Aug 1998 (-3.62%), 18 Aug 1998 (-3.82%), 24 Aug 1998 (-4.23%), 28 Aug 1998 (-4.88%), 31 Aug 1998 (-5.07%), 01 Sep 1998 (10.99%)
1997828 Oct 1997 (5.59%), 10 Nov 1997 (-3.11%), 12 Nov 1997 (-3.11%), 18 Nov 1997 (-3.04%), 26 Nov 1997 (-3.49%), 05 Dec 1997 (-3.47%), 11 Dec 1997 (-3.9%), 12 Dec 1997 (-4.59%)
1996824 Jul 1996 (-3.06%), 26 Jul 1996 (-3.4%), 09 Aug 1996 (6.52%), 04 Sep 1996 (-7.19%), 07 Oct 1996 (-4.09%), 08 Oct 1996 (-4.19%), 16 Oct 1996 (-4.15%), 20 Nov 1996 (5.83%)



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