Study: Sell HINDUNILVR when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell HINDUNILVR when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell HINDUNILVR 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
1-61613.6672353748.612069.488430.72-3622.85-34764.250.570.54-0.034-855.75
2-45885.6372353748.613422.3213520.95-4477.48-29958.780.760.72-0.022-637.3
3-78848.63723636504020.3720373.2-6210.61-30179.950.650.65-0.03-1095.12
4-96947.3172343847.223975.1814744.57-6107.99-30481.550.650.58-0.036-1346.49
5-17507372274537.53937.9111413.18-6253.26-32974.770.630.38-0.063-2431.57
6-18124872324044.444043.9212338.47-7766.35-36051.070.520.42-0.06-2517.34
7-22118772324044.444709.1625311.05-9297.01-35186.490.510.41-0.064-3072.05
8-21542072294340.286679.4725378.95-9514.52-35246.810.70.47-0.058-2991.94
9-26193872304241.676025.9520022.74-10540.88-35689.150.570.41-0.07-3638.03
10-32589772264636.115086.9614977.77-9959.95-36993.870.510.29-0.094-4526.35
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
200trail22.32-65009.87115308526.095400.77695.38-2670.95-3991.062.020.71-0.031-565.3
200nil22.6-79433.41082781255879.737695.38-2940.57-3991.0620.67-0.038-735.49
200nil33.12-96344.42103188517.488584.5711543.07-2951.37-3991.062.910.62-0.042-935.38
200trail32.66-94297.93114258921.935571.0311254.47-2624.42-3991.062.120.6-0.044-827.17
atrnil27.49-16008867145320.912670.1125684.61-6367.35-14490.211.990.53-0.058-2389.38
atrtrail24.45-14603895257026.326356.4925684.61-4356.43-9989.371.460.52-0.051-1537.24
atrtrail34.73-17199994247025.535529.4328560.22-4352.94-9989.371.270.44-0.064-1829.78
atrtrail-14.85-19571494247025.534541.323044.89-4352.94-9989.371.040.36-0.082-2082.07
atrnil38.58-2550466575810.7716966.1228560.22-6444.97-14490.212.630.32-0.1-3923.78
200trail-13.16-172775113229119.472967.7613454.13-2616.11-3991.061.130.27-0.11-1528.98

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:0.714

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191015 Mar 2019 (-1.06%), 20 Mar 2019 (-1.0%), 01 Apr 2019 (0.11%), 10 Apr 2019 (-1.75%), 07 May 2019 (-1.0%), 13 May 2019 (-0.88%), 10 Jul 2019 (-1.36%), 19 Jul 2019 (3.3%), 24 Jul 2019 (-1.25%), 31 Jul 2019 (-1.63%)
2018109 Oct 2018 (-1.08%)
2017418 Jan 2017 (-0.7%), 06 Feb 2017 (-0.48%), 13 Feb 2017 (0.68%), 21 Feb 2017 (-1.42%)
2016805 Jan 2016 (3.66%), 23 Feb 2016 (-1.52%), 09 Mar 2016 (-1.09%), 13 May 2016 (-1.76%), 17 May 2016 (2.82%), 30 Sep 2016 (-1.14%), 03 Oct 2016 (-1.07%), 13 Oct 2016 (3.85%)
2015604 Jun 2015 (-1.18%), 09 Jun 2015 (-1.65%), 15 Jun 2015 (-1.76%), 25 Aug 2015 (2.59%), 15 Dec 2015 (-1.18%), 18 Dec 2015 (-1.1%)
2014126 Mar 2014 (-1.08%)
2013129 Apr 2013 (-1.7%)
2011902 Feb 2011 (-1.73%), 09 Feb 2011 (2.78%), 16 Feb 2011 (-1.22%), 09 Mar 2011 (3.44%), 01 Apr 2011 (2.01%), 13 Apr 2011 (-1.13%), 26 Apr 2011 (-1.46%), 27 Apr 2011 (-1.36%), 09 May 2011 (-1.31%)
2010504 Jun 2010 (3.75%), 08 Jun 2010 (-1.44%), 17 Jun 2010 (-1.27%), 28 Jul 2010 (-1.49%), 30 Jul 2010 (-1.71%)
2009723 Mar 2009 (-1.57%), 30 Mar 2009 (2.23%), 16 Apr 2009 (-1.4%), 23 Apr 2009 (2.07%), 04 May 2009 (2.82%), 18 May 2009 (-1.98%), 17 Aug 2009 (-1.08%)
2008506 Feb 2008 (3.21%), 14 Jul 2008 (2.78%), 17 Jul 2008 (-1.49%), 01 Dec 2008 (-1.6%), 02 Dec 2008 (-1.38%)
2007330 Jul 2007 (-1.08%), 30 Aug 2007 (-1.99%), 13 Nov 2007 (-1.53%)
2006604 Aug 2006 (-1.36%), 07 Aug 2006 (-1.92%), 11 Oct 2006 (-1.11%), 13 Oct 2006 (-1.23%), 01 Nov 2006 (-1.45%), 24 Nov 2006 (2.77%)
2005729 Mar 2005 (-1.58%), 07 Apr 2005 (-1.43%), 15 Apr 2005 (2.69%), 22 Apr 2005 (-1.44%), 03 May 2005 (-1.6%), 09 May 2005 (-0.96%), 16 May 2005 (3.67%)
2004109 Nov 2004 (3.16%)
2003316 Jul 2003 (3.7%), 24 Jul 2003 (-1.09%), 05 Aug 2003 (-1.74%)
2002415 Jan 2002 (-1.07%), 17 Jan 2002 (-1.05%), 22 Jan 2002 (-1.08%), 03 Apr 2002 (-1.01%)
20011025 Apr 2001 (2.78%), 03 May 2001 (-0.98%), 10 May 2001 (2.86%), 15 May 2001 (-1.17%), 22 Jun 2001 (2.2%), 10 Jul 2001 (-1.6%), 28 Sep 2001 (-2.0%), 08 Oct 2001 (-1.57%), 30 Oct 2001 (-1.28%), 29 Nov 2001 (-1.79%)
2000502 Feb 2000 (-1.58%), 09 Feb 2000 (2.7%), 29 Mar 2000 (-1.67%), 19 Apr 2000 (-1.27%), 26 Apr 2000 (-1.56%)
1999422 Oct 1999 (-1.03%), 17 Nov 1999 (3.08%), 24 Nov 1999 (-1.44%), 17 Dec 1999 (3.07%)
1998528 Jan 1998 (-0.79%), 17 Nov 1998 (-1.01%), 24 Nov 1998 (0.02%), 30 Nov 1998 (-0.84%), 04 Dec 1998 (-1.72%)
1997206 Jan 1997 (-1.29%), 12 Dec 1997 (-1.7%)
1996506 Nov 1996 (-1.58%), 02 Dec 1996 (2.94%), 11 Dec 1996 (3.29%), 17 Dec 1996 (-1.22%), 18 Dec 1996 (-1.0%)
1995323 Nov 1995 (-1.0%), 24 Nov 1995 (-1.0%), 01 Dec 1995 (-1.23%)



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