Study: Buy HINDUNILVR when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR when below 200 SMA" 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
1-34436.1676344244.743098.4815640.6-3328.2-15627.350.930.75-0.021-453.11
2-58160.2776304639.474417.6323377.7-4145.42-14177.221.070.69-0.026-765.27
3-12506.7576334343.425923.3931982.81-4836.71-20295.271.220.94-0.0041-164.56
453568.1376423455.265814.1929367.72-5606.7-20968.041.041.280.016704.84
510173276433356.586916.0633640.44-5929.03-20033.641.171.520.0271338.58
613270576433356.587441.1235690.52-5674.63-20219.561.311.710.0351746.12
781517.0376373948.689241.1433085.65-6677.06-26980.361.381.310.0191072.59
873609.5776423455.268523.0135955.59-8363.44-23394.751.021.260.017968.55
984402.6876413553.959417.6237656.51-8620.56-24865.971.091.280.0191110.56
1010589876393751.3210968.4535588.58-8699.23-29154.971.261.330.0231393.4
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
atrnil3432666504106460115730613584-6968.7-14053.6816.6124.910.07466650.4
atrnil2143.6544639226121446.1543340.89409056-5264.17-14053.688.237.060.04417168.93
atrtrail24.2518227.94134567841.798493.2831357.48-5864.05-35053.461.451.040.0031136.03
atrtrail35.159493.1134557941.048580.7130941.24-5853.75-35053.461.471.020.001670.84
atrtrail-15.7-32950.92133547940.67927.1428762.26-5835.65-35053.461.360.93-0.0058-247.75

In the table above, row 1 shows the best exit criterion. Profit factor is 24.91. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 33.33%, which is very good. Sharpe Ratio is 0.074, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:24.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Mar 2019 (-1.64%), 03 Apr 2019 (4.73%), 10 Jul 2019 (-1.8%)
2018109 Oct 2018 (9.14%)
2000202 May 2000 (-7.03%), 05 Jul 2000 (306.79%)
1999322 Oct 1999 (10.33%), 27 Dec 1999 (-3.47%), 30 Dec 1999 (10.91%)
1998127 Nov 1998 (5.29%)



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