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
134985.934241070.592851.857395.31-3345.85-7853.250.852.050.0571029
23878.6534201458.823306.6114144.23-4446.68-9163.130.741.060.0046114.08
3-21792.434161847.064671.1916446.28-5362.86-20395.340.870.77-0.018-640.95
4-7879.7834161847.065849.2318692.96-5637.08-24090.151.040.92-0.0058-231.76
514627.734161847.068558.3930288.26-6794.81-24016.261.261.120.0081430.23
629991.5134191555.888635.5231296.75-8938.89-32329.580.971.220.014882.1
730853.1534151944.1211187.8235185.08-7208.64-26698.091.551.230.014907.45
869210.1434151944.1212844.1638174.13-6497.49-25145.251.981.560.032035.59
975061.943417175011860.8241638.19-7445.41-23737.921.591.590.0312207.7
1070874.4534161847.0612049.5938857.67-6773.28-21466.841.781.580.0322084.54

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.05. 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 70.59%, which is good. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HINDUNILVR Performance, X=1, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020215 Jan 2020 (1.37%), 09 Mar 2020 (1.58%)
2019201 Feb 2019 (0.18%), 20 Nov 2019 (1.09%)
2018114 Feb 2018 (0.65%)
2017127 Sep 2017 (-0.26%)
2014214 Oct 2014 (-0.09%), 16 Dec 2014 (-0.04%)
2013210 Jul 2013 (1.03%), 31 Jul 2013 (3.7%)
2012305 Jan 2012 (0.88%), 29 Oct 2012 (0.83%), 29 Nov 2012 (-1.83%)
2011126 Sep 2011 (3.01%)
2010128 Oct 2010 (1.17%)
2009207 Aug 2009 (-3.32%), 24 Aug 2009 (0.2%)
2008304 Feb 2008 (-1.99%), 21 Jul 2008 (2.06%), 08 Dec 2008 (1.79%)
2006216 May 2006 (1.77%), 05 Jul 2006 (0.19%)
2005129 Apr 2005 (-3.13%)
2004123 Jan 2004 (3.2%)
2001221 Jun 2001 (-0.51%), 05 Sep 2001 (2.0%)
2000126 May 2000 (2.77%)
1999108 Jun 1999 (0.84%)
1997421 Feb 1997 (-1.63%), 31 Mar 1997 (1.98%), 18 Aug 1997 (-3.93%), 25 Nov 1997 (0.84%)
1996102 Jul 1996 (1.04%)
1995108 Dec 1995 (0.06%)

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
nilnil-1134985.934241070.592851.857395.31-3345.85-7853.250.852.050.0571029
50trail32.933118.6642172540.486161.8711598.35-2865.32-3957.722.151.460.03788.54
50nil33.6628782.941132831.719080.4811598.35-3187.98-3957.722.851.320.024702.02
50trail-13.6313775.5841122929.277685.3934707.96-2705.14-3957.722.841.180.0091335.99
50trail22.627854.5542172540.484675.747732.23-2865.32-3957.721.631.110.0092187.01
atrnil38.5318463.5638112728.9517290.9827123.16-6360.64-132862.721.110.0085485.88
50nil23.026223.2241152636.595992.687732.23-3217.96-3957.721.861.070.0067151.79
atrnil26.18-16719.1738132534.2111200.9418082.11-6493.26-132861.730.9-0.0099-439.98
atrtrail34.83-23591.9640112927.59119.9419504.13-4272.8-132862.130.81-0.016-589.8
atrtrail24.53-26568.9840112927.58849.3116609.69-4272.8-132862.070.79-0.019-664.22
atrtrail-15.1-38432.4840112927.57770.8121635.82-4272.8-132861.820.69-0.028-960.81

In the table above, row 1 shows the best exit criterion. Profit factor is 2.05. 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 70.59%, which is good. Average return per trade is 0.51%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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