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

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when above 200 SMA and near 50 SMA and above 50 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
19840.0768363252.942447.2111009.17-2445.61-7477.8211.130.0087144.71
214878.1268333548.534328.6814252.87-3656.23-11873.751.181.120.009218.8
363094.8568363252.945665.1423208.98-4401.57-17384.771.291.450.028927.87
495449.8768402858.826210.331470.25-5462.93-20541.081.141.620.0381403.67
590775.4768432563.246585.7130288.26-7696.4-25100.20.861.470.0291334.93
611994268442464.717086.3938556.86-7994.12-23947.90.891.630.0351763.85
712767768363252.949082.0637911.45-6227.41-25050.11.461.640.0361877.6
813538968333548.5310551.9542945.66-6080.74-26603.211.741.640.0351991.01
91217976834345010568.441633.75-6986.12-25701.41.511.510.0321791.14
1012289668373154.4110312.7138490.63-8344.33-25651.31.241.480.031807.29
Although, strategy looks good but profit factor on day 2 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
50trail-14.2917040796366037.59142.7736414.1-2645.55-3948.123.462.070.0451775.07
50trail32.9913606096385839.587648.7411942.06-2665.38-3948.122.871.880.0511417.29
50nil33.8314029888315735.2310040.7911942.06-2999.41-3955.963.351.820.0511594.29
50nil22.711510592405243.486720.087961.38-2955.72-3955.962.271.750.0521251.15
atrnil311.1618407568254336.7617687.7137760.19-6002.74-132862.951.710.0452706.98
50trail22.3990331.0397395840.216348.527961.38-2711.4-3948.122.341.570.041931.25
atrnil26.0912048176344244.7411026.0825173.46-6057.27-132861.821.470.0351585.28
atrtrail-15.8610295285384744.718588.3531666.53-4753.29-132861.811.460.0281211.2
atrtrail24.4182438.7785384744.718048.5216936.72-4753.29-132861.691.370.027969.87
atrtrail35.0667621.2185384744.717658.5825405.07-4753.29-132861.611.30.021795.54

In the table above, row 1 shows the best exit criterion. Profit factor is 2.07. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:2.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019501 Feb 2019 (0.6%), 11 Feb 2019 (-1.46%), 16 Apr 2019 (-0.64%), 02 May 2019 (-1.26%), 07 Aug 2019 (3.09%)
2018415 Feb 2018 (-1.69%), 03 Apr 2018 (8.26%), 02 Nov 2018 (-1.65%), 05 Nov 2018 (2.42%)
2017127 Nov 2017 (-0.75%)
2016527 May 2016 (-1.15%), 02 Jun 2016 (1.67%), 14 Jun 2016 (-0.22%), 23 Jun 2016 (-1.59%), 31 Aug 2016 (0.56%)
2015306 Jan 2015 (18.21%), 19 Mar 2015 (-1.96%), 07 Apr 2015 (1.12%)
2014520 Oct 2014 (1.22%), 31 Oct 2014 (-1.17%), 03 Nov 2014 (2.34%), 18 Nov 2014 (-0.57%), 24 Nov 2014 (7.48%)
2013504 Jan 2013 (-1.32%), 10 Jul 2013 (17.35%), 12 Sep 2013 (-1.29%), 17 Sep 2013 (2.51%), 25 Sep 2013 (-1.29%)
2012617 Jan 2012 (-1.69%), 23 Jan 2012 (-1.19%), 15 Mar 2012 (-1.11%), 16 Mar 2012 (4.28%), 07 Jun 2012 (7.28%), 29 Nov 2012 (-1.6%)
2011103 Mar 2011 (-1.2%)
2010310 Aug 2010 (1.34%), 26 Aug 2010 (14.82%), 13 Dec 2010 (-1.53%)
2009424 Aug 2009 (-1.03%), 05 Oct 2009 (7.88%), 16 Nov 2009 (2.16%), 08 Dec 2009 (-1.06%)
2008504 Feb 2008 (-1.52%), 15 Feb 2008 (-1.03%), 21 Jul 2008 (-1.35%), 08 Dec 2008 (-1.59%), 12 Dec 2008 (5.67%)
2007211 Dec 2007 (-1.87%), 12 Dec 2007 (1.0%)
2006505 Jul 2006 (-1.81%), 20 Jul 2006 (-1.81%), 13 Sep 2006 (6.71%), 15 Nov 2006 (-1.77%), 20 Nov 2006 (-0.61%)
2005618 Jan 2005 (-1.4%), 29 Apr 2005 (-1.12%), 06 Sep 2005 (5.21%), 09 Nov 2005 (-1.5%), 11 Nov 2005 (-1.18%), 18 Nov 2005 (-1.29%)
2004116 Feb 2004 (-1.18%)
2003304 Aug 2003 (-1.19%), 08 Aug 2003 (11.57%), 24 Oct 2003 (-1.11%)
2001720 Apr 2001 (-1.7%), 21 Jun 2001 (-1.46%), 03 Jul 2001 (-1.34%), 31 Oct 2001 (-0.22%), 06 Dec 2001 (-0.89%), 20 Dec 2001 (-1.34%), 27 Dec 2001 (0.36%)
2000226 May 2000 (-0.72%), 01 Jun 2000 (3.0%)
1999311 May 1999 (4.71%), 07 Oct 1999 (-1.05%), 03 Dec 1999 (1.46%)
1998920 Jan 1998 (-1.97%), 02 Feb 1998 (2.53%), 19 May 1998 (1.22%), 26 May 1998 (-1.58%), 13 Jul 1998 (5.35%), 03 Sep 1998 (2.86%), 22 Sep 1998 (0.74%), 03 Nov 1998 (-1.34%), 07 Dec 1998 (5.39%)
1997603 Sep 1997 (-1.19%), 11 Sep 1997 (-1.86%), 16 Oct 1997 (1.26%), 23 Oct 1997 (-1.75%), 25 Nov 1997 (0.93%), 04 Dec 1997 (-1.85%)
1996309 Aug 1996 (-1.74%), 23 Oct 1996 (-1.48%), 14 Nov 1996 (-1.14%)
1995208 Dec 1995 (-1.43%), 15 Dec 1995 (-1.59%)



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