Study: Buy HINDUNILVR when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
118502.7420119553273.096620.08-1944.59-3799.041.682.060.061925.14
24730.6820911455087.2213202.33-3732.21-11257.321.361.120.0084236.53
324333.2420812408097.1720128.95-3370.34-8948.132.41.60.0331216.66
445693.8620128607563.2330974.53-5633.11-10024.261.342.010.0492284.69
539256.9120128607200.0623966.51-5892.97-10904.211.221.830.0461962.85
650857.0920137657773.9621846.27-7172.05-10460.571.082.010.0562542.85
772744.64201195510290.426774.55-4494.42-9882.242.292.80.0813637.23
880466.14201195511229.7824618.89-4784.6-9780.122.352.870.0834023.31
959380.9520119559152.1720849.84-4588.1-9185.841.992.440.0742969.05
1066374.1120128609956.0325955.27-6637.27-12211.781.52.250.0693318.71
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
HINDUNILVR Performance, X=8, Profit Factor:2.87

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 May 2019 (-1.45%)
2017225 Jan 2017 (-1.6%), 06 Mar 2017 (3.37%)
2016401 Jan 2016 (-2.78%), 05 Feb 2016 (-3.83%), 25 Feb 2016 (-0.37%), 15 Mar 2016 (2.42%)
2015117 Dec 2015 (-0.79%)
2014225 Mar 2014 (2.12%), 15 May 2014 (-4.89%)
2010114 Jun 2010 (6.05%)
2006115 Nov 2006 (-1.86%)
2004125 Nov 2004 (11.7%)
2003116 Jun 2003 (7.12%)
2001120 Jun 2001 (-3.94%)
2000307 Jan 2000 (4.81%), 26 May 2000 (2.88%), 13 Jun 2000 (12.31%)
1997107 Jan 1997 (8.27%)
1996119 Dec 1996 (0.72%)

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
200trail-13.8334663.612982127.5910903.0128023.35-2502.88-3805.474.361.660.0311195.3
atrnil38.548605.052271531.8218141.5928989.83-5225.74-11677.773.471.620.0392209.32
atrtrail34.0834118.4258173212693.3628989.83-3966.38-9354.793.21.510.0291364.74
200nil32.722227.342781929.639477.3810867.98-2820.62-3934.623.361.410.029823.23
200trail32.5518857.692992031.037774.6610867.98-2555.71-3805.473.041.370.025650.27
200nil22.1714348.2729111837.936025.387245.32-2885.05-3934.622.091.280.023494.77
200trail22.114127.9230111936.676025.387245.32-2744.8-3805.472.21.270.022470.93
atrtrail-14.4414721.24258173210268.7122336.7-3966.38-9354.792.591.220.015588.85
atrnil24.5516207.232281436.3611410.3119326.55-5362.52-11677.772.131.220.017736.69
atrtrail23.6412135.9125817329945.5519326.55-3966.38-9354.792.511.180.013485.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 27.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
HINDUNILVR Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 May 2019 (-1.6%)
2017225 Jan 2017 (-1.09%), 06 Mar 2017 (2.05%)
2016505 Feb 2016 (-1.08%), 25 Feb 2016 (-1.2%), 03 Mar 2016 (-1.87%), 15 Mar 2016 (-1.07%), 16 Mar 2016 (1.21%)
2015317 Dec 2015 (-1.51%), 23 Dec 2015 (-1.09%), 31 Dec 2015 (-1.74%)
2014325 Mar 2014 (-0.57%), 02 Apr 2014 (0.32%), 15 May 2014 (-1.02%)
2010114 Jun 2010 (-1.06%)
2006215 Nov 2006 (-1.81%), 20 Nov 2006 (-0.61%)
2004125 Nov 2004 (9.96%)
2003116 Jun 2003 (0.13%)
2001320 Jun 2001 (-1.9%), 21 Jun 2001 (-1.3%), 03 Jul 2001 (-1.14%)
2000507 Jan 2000 (8.73%), 26 May 2000 (-0.72%), 01 Jun 2000 (-1.39%), 13 Jun 2000 (-1.77%), 16 Jun 2000 (14.01%)
1997102 Jan 1997 (7.21%)
1996119 Dec 1996 (-0.74%)



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