Study: Sell HINDUNILVR when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell HINDUNILVR when near 200 SMA and below 200 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: sell 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. buy 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
1-8289.081981142.112431.867632.89-2522.18-8212.560.960.7-0.026-436.27
2-3900.831912763.161898.26073.97-3811.32-6955.670.50.85-0.012-205.31
3-9466.361981142.113796.149845.7-3621.41-7914.121.050.76-0.022-498.23
4-2481.231991047.374024.399992.65-3870.08-9943.641.040.94-0.0051-130.59
5-38348.031951426.324125.8111413.18-4212.65-16545.890.980.35-0.074-2018.32
6-57691.891981142.112067.295535.15-6748.2-16988.730.310.22-0.11-3036.42
7-96396.471961331.581883.432869.01-8284.39-21927.070.230.1-0.15-5073.5
8-92833.371961331.583479.956759.74-8747.16-18932.620.40.18-0.14-4885.97
9-1018691951426.325011.699388.1-9066.26-17580.290.550.2-0.14-5361.53
10-1205341941521.053365.426367.87-8933.05-16459.040.380.1-0.19-6343.9
Although, strategy looks good but profit factor on day 1 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
200trail22.77-9200.913192229.035236.727346.4-2560.52-3991.062.050.84-0.016-296.8
200nil23.46-15308.662882028.575513.576500.55-2970.86-3991.061.860.74-0.029-546.74
200trail33.03-24278.183072323.335077.978344.39-2601.04-3991.061.950.59-0.046-809.27
atrnil210.41-39368.021741323.5314141.2716958.55-7379.47-13029.821.920.59-0.049-2315.77
200nil33.92-35927.132642215.387421.098344.39-2982.34-3991.062.490.45-0.074-1381.81
atrtrail35.58-54629.132471729.175158.5225437.82-5337.57-9989.370.970.4-0.066-2276.21
atrtrail25.46-56089.032471729.174949.9616958.55-5337.57-9989.370.930.38-0.079-2337.04
atrtrail-15.62-58948.682471729.174541.4421118.27-5337.57-9989.370.850.35-0.08-2456.19
atrnil310.88-90298.56171165.8825437.8225437.82-7233.52-13029.823.520.22-0.13-5311.68
200trail-13.33-53073.123052516.671966.193491.55-2516.16-3991.060.780.16-0.19-1769.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 29.03%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:0.837

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 Oct 2018 (-1.08%)
2017418 Jan 2017 (-0.7%), 06 Feb 2017 (-0.48%), 13 Feb 2017 (0.68%), 21 Feb 2017 (-1.42%)
2009323 Mar 2009 (-1.57%), 30 Mar 2009 (2.23%), 17 Aug 2009 (-1.08%)
2008506 Feb 2008 (3.21%), 14 Jul 2008 (2.78%), 17 Jul 2008 (-1.49%), 01 Dec 2008 (-1.6%), 02 Dec 2008 (-1.38%)
2007113 Nov 2007 (-1.53%)
2006101 Nov 2006 (-1.45%)
2005729 Mar 2005 (-1.58%), 07 Apr 2005 (-1.43%), 15 Apr 2005 (2.69%), 22 Apr 2005 (-1.44%), 03 May 2005 (-1.6%), 09 May 2005 (-0.96%), 16 May 2005 (3.67%)
2004116 Nov 2004 (3.25%)
2001503 May 2001 (-0.98%), 10 May 2001 (2.86%), 15 May 2001 (-1.17%), 22 Jun 2001 (2.2%), 28 Sep 2001 (-2.0%)
1995323 Nov 1995 (-1.0%), 24 Nov 1995 (-1.0%), 01 Dec 1995 (-1.23%)



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