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
1-140775118556346.613445.5719966.39-5242.57-20942.090.660.57-0.04-1193.01
2-160642118536544.925649.2325563.03-7077.71-32415.480.80.65-0.032-1361.37
3-119499118467238.988293.0526036.88-6958.05-22307.421.190.76-0.021-1012.7
4-168773118487040.689115.7429083.67-8661.84-38759.151.050.72-0.026-1430.28
5-175318118496941.539694.3433266.93-9425.23-47639.81.030.73-0.024-1485.75
6-1971441185959509319.9933213.71-12661.4-74219.320.740.74-0.022-1670.71
7-284091118566247.469653.6336852.59-13301.51-82643.430.730.66-0.029-2407.55
8-323913118526644.0710633.7538496.02-13285.88-69426.290.80.63-0.033-2745.03
9-360379118467238.9813516.0151311.13-13640.49-77448.590.990.63-0.033-3054.06
10-394557118437536.4415306.2349201.83-14036.33-76263.511.090.63-0.035-3343.7
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
atrtrail23.77-2331412497717230.9213648.2669992.97-7465.45-27329.871.830.82-0.015-936.31
atrnil25.95-88529.1378225628.2118055.1633477.74-8673.98-14426.312.080.82-0.018-1134.99
atrtrail34.32-2918412497417529.7213548.8104989-7396.87-27329.871.830.77-0.017-1172.05
atrtrail-14.68-3283002497217728.9213583.2260917.22-7380.18-27329.871.840.75-0.021-1318.47
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 30.92%, which is not acceptable. Avoid this strategy. Average return per trade is -0.47%, 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
20201428 Jan 2020 (-1.62%), 30 Jan 2020 (-2.55%), 31 Jan 2020 (-2.68%), 01 Feb 2020 (5.66%), 24 Feb 2020 (-3.39%), 26 Feb 2020 (-3.65%), 28 Feb 2020 (-4.26%), 02 Mar 2020 (9.63%), 09 Mar 2020 (-5.82%), 12 Mar 2020 (-7.51%), 16 Mar 2020 (-9.17%), 19 Mar 2020 (-4.63%), 23 Mar 2020 (25.26%), 24 Sep 2020 (10.02%)
20191203 Jan 2019 (-2.39%), 10 Jan 2019 (-0.25%), 28 Jan 2019 (5.29%), 13 Feb 2019 (-3.04%), 14 Feb 2019 (-3.22%), 15 Feb 2019 (2.15%), 22 Apr 2019 (-0.15%), 13 May 2019 (-1.84%), 18 Jun 2019 (5.63%), 30 Jul 2019 (-2.87%), 01 Aug 2019 (-3.4%), 05 Aug 2019 (-0.81%)
20181005 Mar 2018 (-3.81%), 08 Mar 2018 (-1.76%), 19 Mar 2018 (-2.61%), 23 Mar 2018 (1.89%), 04 Apr 2018 (8.26%), 19 Jun 2018 (-3.24%), 25 Jun 2018 (2.05%), 16 Jul 2018 (-0.74%), 19 Jul 2018 (9.17%), 08 Oct 2018 (-3.29%)
2016415 Jan 2016 (-4.27%), 20 Jan 2016 (2.1%), 11 Feb 2016 (-5.15%), 12 Feb 2016 (11.42%)
20152216 Jan 2015 (0.71%), 09 Mar 2015 (-4.16%), 11 Mar 2015 (-1.34%), 16 Mar 2015 (2.47%), 29 May 2015 (-3.29%), 02 Jun 2015 (-3.45%), 08 Jun 2015 (-1.61%), 12 Jun 2015 (1.13%), 29 Jun 2015 (-2.94%), 06 Jul 2015 (-3.13%), 08 Jul 2015 (7.22%), 12 Aug 2015 (-4.16%), 13 Aug 2015 (-2.21%), 18 Aug 2015 (-4.93%), 20 Aug 2015 (-3.69%), 24 Aug 2015 (-1.99%), 01 Sep 2015 (-4.02%), 07 Sep 2015 (4.25%), 28 Sep 2015 (10.67%), 09 Nov 2015 (-3.63%), 18 Nov 2015 (-2.0%), 23 Nov 2015 (8.98%)
2014530 Jan 2014 (-1.8%), 03 Feb 2014 (-3.5%), 04 Feb 2014 (0.86%), 17 Feb 2014 (6.94%), 16 Dec 2014 (8.66%)
20131423 Jan 2013 (-3.25%), 24 Jan 2013 (0.42%), 04 Feb 2013 (-2.16%), 08 Feb 2013 (-0.71%), 21 Feb 2013 (-3.11%), 26 Feb 2013 (-2.84%), 28 Feb 2013 (-3.45%), 04 Mar 2013 (7.59%), 19 Mar 2013 (-3.66%), 21 Mar 2013 (1.86%), 11 Jun 2013 (7.95%), 26 Jul 2013 (-4.39%), 29 Jul 2013 (-4.73%), 30 Jul 2013 (-1.13%)
20121502 Jan 2012 (10.09%), 06 Mar 2012 (4.25%), 26 Mar 2012 (-3.91%), 29 Mar 2012 (2.29%), 23 Apr 2012 (-2.62%), 26 Apr 2012 (0.04%), 11 May 2012 (-3.0%), 16 May 2012 (-3.94%), 25 Jul 2012 (1.73%), 17 Aug 2012 (-3.18%), 27 Aug 2012 (-3.04%), 28 Aug 2012 (-3.27%), 05 Sep 2012 (7.13%), 16 Nov 2012 (-2.97%), 20 Nov 2012 (6.14%)
20111921 Mar 2011 (7.93%), 12 May 2011 (-2.13%), 19 May 2011 (-2.22%), 24 May 2011 (2.04%), 09 Jun 2011 (-2.35%), 14 Jun 2011 (-3.38%), 17 Jun 2011 (-3.55%), 23 Jun 2011 (7.15%), 27 Jul 2011 (-3.45%), 02 Aug 2011 (-3.17%), 08 Aug 2011 (-4.47%), 09 Aug 2011 (1.45%), 17 Aug 2011 (-5.22%), 23 Sep 2011 (-5.21%), 26 Sep 2011 (-1.09%), 03 Oct 2011 (1.69%), 21 Nov 2011 (-2.61%), 24 Nov 2011 (9.63%), 28 Dec 2011 (-4.4%)
2010225 May 2010 (10.82%), 08 Jun 2010 (11.65%)
2009421 Jan 2009 (-7.39%), 22 Jan 2009 (3.94%), 17 Feb 2009 (-6.8%), 20 Feb 2009 (-4.98%)
20082121 Jan 2008 (-6.94%), 22 Jan 2008 (17.75%), 17 Mar 2008 (-8.68%), 20 Jun 2008 (-5.61%), 23 Jun 2008 (-6.35%), 27 Jun 2008 (-4.52%), 01 Jul 2008 (14.0%), 14 Aug 2008 (-4.21%), 18 Aug 2008 (-1.26%), 28 Aug 2008 (0.23%), 15 Sep 2008 (-4.71%), 18 Sep 2008 (-4.34%), 25 Sep 2008 (-4.98%), 26 Sep 2008 (-5.32%), 07 Oct 2008 (-5.39%), 08 Oct 2008 (-5.99%), 10 Oct 2008 (15.12%), 16 Oct 2008 (-10.22%), 22 Oct 2008 (-11.58%), 23 Oct 2008 (-13.66%), 24 Oct 2008 (35.0%)
2007712 Feb 2007 (-5.85%), 13 Feb 2007 (-0.27%), 01 Mar 2007 (-5.49%), 06 Mar 2007 (-6.37%), 10 Aug 2007 (-2.89%), 16 Aug 2007 (-5.01%), 21 Aug 2007 (10.59%)
2006718 May 2006 (-7.34%), 22 May 2006 (-1.09%), 06 Jun 2006 (-9.9%), 14 Jun 2006 (21.09%), 16 Nov 2006 (-2.81%), 20 Nov 2006 (6.03%), 12 Dec 2006 (2.52%)
2005815 Apr 2005 (-3.24%), 18 Apr 2005 (-0.65%), 29 Apr 2005 (-0.02%), 18 May 2005 (-2.75%), 30 May 2005 (-3.19%), 02 Jun 2005 (7.0%), 30 Aug 2005 (-10.33%), 19 Oct 2005 (1.96%)
2004629 Apr 2004 (-4.52%), 03 May 2004 (2.6%), 11 May 2004 (-5.98%), 13 May 2004 (-6.67%), 14 May 2004 (-7.21%), 17 May 2004 (4.44%)
2003320 Feb 2003 (-2.49%), 17 Mar 2003 (-1.19%), 28 Mar 2003 (6.11%)
20021207 Jun 2002 (5.66%), 12 Jul 2002 (-0.82%), 25 Jul 2002 (-3.47%), 26 Jul 2002 (-2.34%), 02 Aug 2002 (-4.93%), 05 Aug 2002 (0.91%), 19 Sep 2002 (-2.31%), 20 Sep 2002 (5.82%), 27 Sep 2002 (-4.35%), 08 Oct 2002 (7.72%), 09 Oct 2002 (-5.1%), 14 Oct 2002 (0.79%)
20011204 Jul 2001 (-1.06%), 30 Jul 2001 (-3.21%), 02 Aug 2001 (-2.57%), 16 Aug 2001 (6.32%), 29 Aug 2001 (-2.88%), 30 Aug 2001 (6.56%), 07 Sep 2001 (-0.06%), 14 Sep 2001 (-4.66%), 19 Sep 2001 (-5.56%), 20 Sep 2001 (-6.43%), 21 Sep 2001 (-6.79%), 20 Dec 2001 (-0.39%)
20001031 Jan 2000 (14.6%), 25 Feb 2000 (-2.3%), 01 Mar 2000 (-6.04%), 03 Mar 2000 (-6.71%), 07 Mar 2000 (-2.75%), 19 Oct 2000 (-4.29%), 20 Oct 2000 (-4.83%), 23 Oct 2000 (1.3%), 10 Nov 2000 (-3.21%), 23 Nov 2000 (7.61%)
1999701 Feb 1999 (-3.56%), 08 Feb 1999 (7.0%), 16 Feb 1999 (-1.45%), 22 Feb 1999 (-1.4%), 01 Mar 1999 (-2.26%), 05 Mar 1999 (-2.62%), 11 Mar 1999 (8.76%)
19981412 Jan 1998 (-0.64%), 23 Jan 1998 (-3.74%), 27 Jan 1998 (-4.09%), 29 May 1998 (10.56%), 16 Jun 1998 (10.89%), 03 Aug 1998 (-3.45%), 05 Aug 1998 (-1.75%), 10 Aug 1998 (-3.42%), 12 Aug 1998 (-3.62%), 18 Aug 1998 (-0.7%), 24 Aug 1998 (-3.79%), 28 Aug 1998 (-4.88%), 31 Aug 1998 (-5.07%), 01 Sep 1998 (10.99%)
1997928 Oct 1997 (5.59%), 10 Nov 1997 (-3.11%), 12 Nov 1997 (-3.08%), 18 Nov 1997 (-1.86%), 26 Nov 1997 (-1.95%), 04 Dec 1997 (-3.3%), 05 Dec 1997 (-3.37%), 11 Dec 1997 (-3.9%), 12 Dec 1997 (-4.59%)
19961224 Jul 1996 (-3.06%), 26 Jul 1996 (-3.4%), 09 Aug 1996 (-2.91%), 19 Aug 1996 (5.94%), 04 Sep 1996 (0.82%), 04 Oct 1996 (-3.71%), 07 Oct 1996 (-4.09%), 08 Oct 1996 (-4.19%), 16 Oct 1996 (1.12%), 18 Nov 1996 (-2.56%), 19 Nov 1996 (-2.67%), 20 Nov 1996 (5.83%)



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