Study: Buy HINDALCO when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy HINDALCO when 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
1-23886.2836142238.893051.518623.85-3027.6-19935.171.010.64-0.026-663.51
2-13373.7636152141.677016.6529816.51-5648.74-38789.841.240.89-0.0075-371.49
3-7931.0736152141.676324.3430642.2-4895.06-26904.381.290.92-0.0052-220.31
4-15392.9536162044.448758.8537522.94-7776.73-37817.41.130.9-0.0072-427.58
5-22397.2536162044.448279.4732110.09-7743.43-19743.591.070.86-0.012-622.15
6-8676.7736132336.1111285.2141926.61-6755.85-16212.981.670.94-0.0044-241.02
727294.2736162044.4411277.2536788.99-7657.09-20026.141.471.180.012758.17
854367.5136171947.2211955.5441815.05-7835.61-20915.031.531.370.0221510.21
944813.436191752.7811743.6946605.5-10489.22-23433.551.121.250.0161244.82
1017896.7736162044.4414077.9547981.65-10367.52-27747.281.361.090.0062497.13
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
atrtrail-15.2356982.461233837.712748.8155998.29-6216.85-13763.172.051.240.014934.14
atrtrail34.5445964.3161233837.712269.7640277.72-6216.85-13763.171.971.190.013753.51
atrnil37.0544848.9257144324.5626743.7744509.55-7664.27-14210.443.491.140.01786.82
atrtrail23.9210636.1561233837.710733.7626851.82-6216.85-13763.171.731.050.0036174.36
atrnil25.43-9274.1558184031.0316625.629673.03-7713.38-14210.442.160.97-0.0027-159.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. 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 37.7%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.014, 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:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018318 Jan 2018 (1.11%), 02 Feb 2018 (-3.69%), 06 Feb 2018 (-0.81%)
2017613 Apr 2017 (6.09%), 23 Jun 2017 (10.55%), 15 Nov 2017 (0.59%), 29 Nov 2017 (-3.01%), 01 Dec 2017 (-1.1%), 06 Dec 2017 (1.56%)
2016519 May 2016 (28.0%), 12 Sep 2016 (5.94%), 20 Dec 2016 (-2.59%), 22 Dec 2016 (-3.83%), 26 Dec 2016 (12.94%)
2014509 Jan 2014 (-3.05%), 13 Jan 2014 (1.77%), 25 Aug 2014 (1.91%), 23 Sep 2014 (-4.18%), 25 Sep 2014 (1.35%)
2013216 Jan 2013 (-3.11%), 22 Jan 2013 (-3.12%)
2011310 Feb 2011 (-4.57%), 11 Feb 2011 (-1.11%), 25 Feb 2011 (2.24%)
2010827 Jan 2010 (-4.37%), 05 Feb 2010 (-3.11%), 08 Feb 2010 (20.83%), 04 May 2010 (3.37%), 19 May 2010 (-4.36%), 21 May 2010 (-4.57%), 24 May 2010 (-4.99%), 25 Nov 2010 (7.21%)
2009306 Jul 2009 (-6.88%), 10 Jul 2009 (1.94%), 03 Nov 2009 (18.09%)
2008118 Jan 2008 (-5.27%)
2006114 Nov 2006 (-2.83%)
2005311 Jan 2005 (-0.54%), 22 Mar 2005 (-2.6%), 29 Mar 2005 (4.02%)
2004322 Jan 2004 (-5.44%), 29 Jan 2004 (-6.18%), 30 Jan 2004 (13.27%)
2002324 May 2002 (-1.58%), 29 May 2002 (-1.91%), 11 Jul 2002 (-1.77%)
2001305 Jun 2001 (0.11%), 12 Jun 2001 (0.39%), 27 Jun 2001 (0.84%)
1999414 Oct 1999 (-4.13%), 15 Oct 1999 (-2.36%), 27 Oct 1999 (-4.12%), 29 Oct 1999 (2.47%)
1997305 May 1997 (-2.38%), 06 May 1997 (-2.46%), 21 Aug 1997 (-0.13%)
1996524 Jun 1996 (-2.7%), 26 Jun 1996 (-1.17%), 03 Jul 1996 (-2.96%), 16 Jul 1996 (-2.39%), 23 Jul 1996 (-2.74%)



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