Study: Sell HINDALCO when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HINDALCO when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
16674.33251510604046.7114423.08-5402.64-16642.430.751.120.0088266.97
2-5453.17251312526598.3523397.44-7602.64-23807.010.870.94-0.0045-218.13
3-29380.0725111444592828205.13-6756.29-24111.040.880.69-0.023-1175.2
4-68840.58251015407144.5721634.62-9352.42-33005.410.760.51-0.049-2753.62
5-37199.192510154010197.8424839.74-9278.51-43285.781.10.73-0.022-1487.97
6-57205.99251015407980.2322341.55-9133.89-33546.480.870.58-0.039-2288.24
7-64518.33258173210915.825704.23-8932.04-28160.351.220.58-0.042-2580.73
8-55718.2258173213141.0523943.66-9461.57-31062.471.390.65-0.035-2228.73
9-104358258173216157.6328846.15-13742.3-36583.631.180.55-0.049-4174.32
10-119548259163613133.6727724.36-14859.43-36127.10.880.5-0.058-4781.92

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.12. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0088, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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-116674.33251510604046.7114423.08-5402.64-16642.430.751.120.0088266.97
atrtrail22.57-11954658134522.419984.2821169.52-5540.92-11653.381.80.52-0.057-2061.13
atrnil23.49-15022653114220.7513234.5121169.52-7042.99-12357.661.880.49-0.067-2834.45
atrnil34.36-219267505451019546.1425121.52-7044.4-12357.662.770.31-0.11-4385.35
atrtrail33.02-18306958104817.247171.6825160.8-5308.03-11653.381.350.28-0.11-3156.36
atrtrail-13.16-19063158104817.246415.4617356.99-5308.03-11653.381.210.25-0.12-3286.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 0.13%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0088, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016108 Mar 2016 (2.47%)
2013110 May 2013 (-0.33%)
2012117 Jan 2012 (0.53%)
2009323 Mar 2009 (3.84%), 15 Apr 2009 (7.21%), 07 May 2009 (2.78%)
2007108 Jun 2007 (-1.96%)
2006519 Jan 2006 (0.22%), 06 Feb 2006 (-0.09%), 30 Mar 2006 (0.52%), 18 Apr 2006 (-1.98%), 02 May 2006 (2.08%)
2004207 Jul 2004 (2.2%), 26 Aug 2004 (2.57%)
2003114 Jan 2003 (0.26%)
2002206 Dec 2002 (-1.58%), 26 Dec 2002 (0.37%)
2001208 Nov 2001 (-1.84%), 29 Nov 2001 (2.24%)
1999108 Jan 1999 (0.09%)
1998116 Apr 1998 (-8.32%)
1997309 Jan 1997 (-3.64%), 28 Jan 1997 (2.98%), 28 Feb 1997 (-5.0%)
1996123 Dec 1996 (-2.26%)



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