Study: Sell HINDUNILVR when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell HINDUNILVR when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" 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
1-41690.6842162638.11717.274261.3-2660.27-8851.180.650.4-0.072-992.64
2-32952.1842172540.482744.628768.9-3184.43-13183.250.860.59-0.039-784.58
3-35952.3542202247.623257.99845.7-4595.92-13806.790.710.64-0.034-856.01
4-42867.4842182442.863612.099992.65-4495.21-14964.770.80.6-0.038-1020.65
5-10388642152735.713087.4211413.18-5562.86-25540.530.560.31-0.079-2473.47
6-97056.6542192345.243444.0711557.09-7064.96-29467.970.490.4-0.062-2310.87
7-12117342172540.484681.4925311.05-8030.32-27087.210.580.4-0.064-2885.06
8-14709242152735.716080.1525378.95-8825.7-27030.530.690.38-0.072-3502.18
9-19045442142833.336076.8920022.74-9840.37-30736.20.620.31-0.093-4534.62
10-23132842132930.955193.5714977.77-10304.97-36993.870.50.23-0.12-5507.8
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
200trail22.32-60293.6468155322.065302.017695.38-2638.19-3839.142.010.57-0.052-886.67
atrtrail35.06-88961.1251133825.496426.3628560.22-4539.57-9989.371.420.48-0.053-1744.34
atrtrail24.88-90551.6651133825.496304.0125684.61-4539.57-9989.371.390.48-0.056-1775.52
200nil22.62-80103.564125218.755994.777695.38-2923.86-39412.050.47-0.072-1251.62
atrtrail-15.24-10684451133825.495050.7423044.89-4539.57-9989.371.110.38-0.074-2094.98
atrnil27.12-1466564263614.2914169.1425684.61-6435.31-14490.212.20.37-0.089-3491.81
atrnil38-1555184253711.917799.0728560.22-6608.47-14490.212.690.36-0.087-3702.81
200trail32.72-94515.0767125517.914078.159224.4-2608.23-3839.141.560.34-0.093-1410.67
200nil33.11-110073626569.688962.7811543.07-2925.88-39413.060.33-0.1-1775.37
200trail-13.15-10929366115516.673005.613454.13-2588.27-3839.141.160.23-0.12-1655.96

In the table above, row 1 shows the best exit criterion. Profit factor is 0.57. 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:0.569

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019915 Mar 2019 (-1.06%), 20 Mar 2019 (-1.0%), 01 Apr 2019 (0.11%), 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%)
2016513 May 2016 (-1.76%), 17 May 2016 (2.82%), 30 Sep 2016 (-1.14%), 03 Oct 2016 (-1.07%), 13 Oct 2016 (3.85%)
2015404 Jun 2015 (-1.18%), 09 Jun 2015 (-1.65%), 15 Jun 2015 (-1.76%), 25 Aug 2015 (2.59%)
2011302 Feb 2011 (-1.73%), 09 Feb 2011 (2.78%), 16 Feb 2011 (-1.22%)
2010228 Jul 2010 (-1.49%), 30 Jul 2010 (-1.71%)
2009117 Aug 2009 (-1.08%)
2008306 Feb 2008 (3.21%), 01 Dec 2008 (-1.6%), 02 Dec 2008 (-1.38%)
2007113 Nov 2007 (-1.53%)
2006404 Aug 2006 (-1.36%), 07 Aug 2006 (-1.92%), 11 Oct 2006 (-1.11%), 13 Oct 2006 (-1.23%)
2005629 Mar 2005 (-1.58%), 07 Apr 2005 (-1.43%), 15 Apr 2005 (2.69%), 03 May 2005 (-1.6%), 09 May 2005 (-0.96%), 16 May 2005 (3.67%)
2003105 Aug 2003 (-1.74%)
2002415 Jan 2002 (-1.07%), 17 Jan 2002 (-1.05%), 22 Jan 2002 (-1.08%), 03 Apr 2002 (-1.01%)
2001625 Apr 2001 (2.78%), 03 May 2001 (-0.98%), 10 May 2001 (2.86%), 15 May 2001 (-1.17%), 30 Oct 2001 (-1.28%), 29 Nov 2001 (-1.79%)
2000402 Feb 2000 (-1.58%), 29 Mar 2000 (-1.67%), 19 Apr 2000 (-1.27%), 26 Apr 2000 (-1.56%)
1999322 Oct 1999 (-1.03%), 17 Nov 1999 (3.08%), 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%)
1997112 Dec 1997 (-1.7%)
1996206 Nov 1996 (-1.58%), 02 Dec 1996 (2.94%)
1995323 Nov 1995 (-1.0%), 24 Nov 1995 (-1.0%), 01 Dec 1995 (-1.23%)



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