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

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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 ADX is Trending" 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
126911.2831211067.742874.757395.31-3345.85-7853.250.861.80.047868.11
26052.0431181358.063451.4414144.23-4313.38-9163.130.81.110.0079195.23
3-21087.0431141745.164794.2916446.28-5188.66-20395.340.920.76-0.02-680.23
42569.4331141745.166221.8218692.96-4972.71-24090.151.251.030.002282.88
516139.5231141745.169098.1230288.26-6543.19-24016.261.391.150.0098520.63
639156.3231171454.849094.2331296.75-8246.11-32329.581.11.340.021263.11
751533.4931131841.9412446.1235185.08-6125.89-25013.862.031.470.0271662.37
870214.7431131841.9414391.2938174.13-6492.89-25145.252.221.60.0332264.99
994754.1331151648.3913172.5441638.19-6427.12-21577.682.051.920.0453056.58
1072382.531141745.1613248.0638857.67-6652.37-21466.841.991.640.0352334.92
Although, strategy looks good but profit factor on day 3 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
50trail32.7933687.0439152438.466787.1611598.35-2838.35-3957.722.391.490.033863.77
50nil33.2125768.0238122631.589070.111598.35-3195.12-3957.722.841.310.024678.11
50trail-13.5814343.9638102826.328928.0434707.96-2676.3-3957.723.341.190.01377.47
atrnil38.2919342.0935102528.5718160.1327123.16-6490.37-132862.81.120.0096552.63
50trail22.545024.9539152438.464876.367732.23-2838.35-3957.721.721.070.0064128.84
50nil22.84-1755.8938132534.216030.657732.23-3206.18-3957.721.880.98-0.0021-46.21
atrnil25.86-12974.1535122334.2911656.618082.11-6645.8-132861.750.92-0.0082-370.69
atrtrail34.97-22762.13369272510743.6719504.13-4424.26-132862.430.81-0.016-632.28
atrtrail24.64-25739.15369272510412.8916609.69-4424.26-132862.350.78-0.02-714.98
atrtrail-15.28-37602.6536927259094.7221635.82-4424.26-132862.060.69-0.03-1044.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 38.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (0.6%)
2018114 Feb 2018 (-1.1%)
2017227 Sep 2017 (-1.65%), 06 Oct 2017 (4.18%)
2014414 Oct 2014 (3.73%), 16 Dec 2014 (-1.63%), 18 Dec 2014 (-1.44%), 22 Dec 2014 (-1.55%)
2013310 Jul 2013 (5.57%), 31 Jul 2013 (3.25%), 02 Aug 2013 (-1.13%)
2012405 Jan 2012 (-0.58%), 09 Jan 2012 (-1.1%), 29 Oct 2012 (-1.49%), 29 Nov 2012 (-1.6%)
2011226 Sep 2011 (5.3%), 07 Oct 2011 (-0.79%)
2010128 Oct 2010 (5.8%)
2009207 Aug 2009 (-1.98%), 24 Aug 2009 (-1.03%)
2008304 Feb 2008 (-1.52%), 21 Jul 2008 (5.66%), 08 Dec 2008 (-1.59%)
2006216 May 2006 (3.09%), 05 Jul 2006 (-1.81%)
2005129 Apr 2005 (-1.12%)
2004123 Jan 2004 (3.04%)
2001221 Jun 2001 (-1.46%), 05 Sep 2001 (0.31%)
2000126 May 2000 (5.46%)
1999108 Jun 1999 (0.11%)
1997521 Feb 1997 (-1.8%), 31 Mar 1997 (3.86%), 18 Aug 1997 (-1.66%), 21 Aug 1997 (-1.17%), 25 Nov 1997 (0.93%)
1996102 Jul 1996 (-1.82%)
1995208 Dec 1995 (-1.43%), 15 Dec 1995 (-1.59%)



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