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

home > technical-strategy > hindunilvr > 24

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 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
12411.86149564.292025.695537.36-3163.88-6252.270.641.150.011172.28
2-19189.12146842.862878.215425.73-4557.29-8534.580.630.47-0.066-1370.65
3-24626.451441028.574656.376471.13-4325.19-12426.731.080.43-0.067-1759.03
4-10545.18146842.864294.459462.98-4538.98-7553.610.950.71-0.031-753.23
5923.721477507379.4630288.26-7247.5-17960.141.021.020.001365.98
619830.15149564.296898.0831296.75-8450.52-18100.820.821.470.0271416.44
714808.79145935.7111984.7630641.23-5012.78-19460.732.391.330.0191057.77
839019.43145935.7115011.234355.83-4004.06-9700.723.752.080.0482787.1
934981.57146842.8613637.5941633.75-5855.5-10178.122.331.750.0382498.68
1019055.914775011154.1338490.63-8431.85-15314.761.321.320.0211361.14
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
HINDUNILVR Performance, X=8, Profit Factor:2.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (-0.02%)
2018115 Feb 2018 (-0.87%)
2013110 Jul 2013 (17.18%)
2012129 Nov 2012 (-0.59%)
2009124 Aug 2009 (-0.48%)
2008304 Feb 2008 (-4.76%), 21 Jul 2008 (5.11%), 08 Dec 2008 (10.5%)
2006105 Jul 2006 (-4.85%)
2005129 Apr 2005 (-4.29%)
2001121 Jun 2001 (-1.1%)
2000126 May 2000 (2.88%)
1997125 Nov 1997 (-1.06%)
1995108 Dec 1995 (1.86%)

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
50trail32.676749.351551033.337285.9911318.42-2968.06-3628.92.451.230.016449.96
50trail-13.273951.16153122012590.9134707.96-2818.47-3628.94.471.120.0057263.41
50trail22.27-402.731551033.335855.577545.61-2968.06-3628.91.970.99-0.0012-26.85
atrnil311.67-2860.341541126.6719395.8127123.16-7313.05-132862.650.96-0.0031-190.69
50nil33.07-3405.78153122011121.7211318.42-3064.24-3628.93.630.91-0.0081-227.05
50nil22.53-5770.991541126.677020.287545.61-3077.46-3628.92.280.83-0.017-384.73
atrnil26.6-28721.431541126.6712930.5418082.11-7313.05-132861.770.64-0.04-1914.76
atrtrail25.47-35338.6315312209445.4316609.69-5306.24-132861.780.45-0.065-2355.91
atrtrail35.87-43737.5515312206645.7913256.36-5306.24-132861.250.31-0.095-2915.84
atrtrail-15.87-43737.5515312206645.7913256.36-5306.24-132861.250.31-0.095-2915.84

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Feb 2019 (0.6%)
2018115 Feb 2018 (-1.69%)
2013110 Jul 2013 (5.57%)
2012129 Nov 2012 (-1.6%)
2009124 Aug 2009 (-1.03%)
2008304 Feb 2008 (-1.52%), 21 Jul 2008 (5.66%), 08 Dec 2008 (-1.59%)
2006105 Jul 2006 (-1.81%)
2005129 Apr 2005 (-1.12%)
2001121 Jun 2001 (-1.46%)
2000126 May 2000 (5.46%)
1997125 Nov 1997 (0.93%)
1995208 Dec 1995 (-1.43%), 15 Dec 1995 (-1.59%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play