Study: Buy HINDZINC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy HINDZINC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 HINDZINC 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
1-2799.43125741.677147.310448.98-5505.14-11796.251.30.93-0.0071-233.29
2206.2112665010230.2217307.07-10195.86-21395.35110.0003317.18
332115.76125741.6717513.6225128.21-7921.76-23592.492.211.580.0412676.31
433066.34127558.3312911.1227871.72-11462.3-29490.621.131.580.0392755.53
512432.53127558.3312976.0430256.41-15679.96-305630.831.160.0131036.04
625500.86127558.3313057.2825641.03-13180.02-32171.580.991.390.0312125.07
717642.63127558.3311972.8522274.05-13233.46-27345.840.91.270.0221470.22
846181.78127558.3315160.2926845.48-11988.06-28954.421.261.770.0553848.48
938132.74127558.3315486.1730227.41-14054.09-33780.161.11.540.0413177.73
1015194.67127558.3313820.5833096.21-16309.88-36461.130.851.190.0161266.22
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
200trail-13.9253434.04136746.1512469.5221861.54-3054.72-3431.644.083.50.14110.31
atrnil312.91107925116554.5525445.3934925.52-8949.56-13767.522.843.410.129811.32
200nil32.1533978.92136746.15922711573.69-3054.72-3431.643.022.590.0932613.76
200trail32.1533978.92136746.15922711573.69-3054.72-3431.643.022.590.0932613.76
atrnil24.1765973.43127558.3315817.3223283.68-8949.56-13767.521.772.470.0945497.79
atrtrail34.6749561.8312665016499.2534925.52-8238.94-13767.52220.064130.15
200nil21.7715524.92136746.156151.337715.79-3054.72-3431.642.011.730.0571194.22
200trail21.7715524.92136746.156151.337715.79-3054.72-3431.642.011.730.0571194.22
atrtrail23.8334169.7612665013933.923283.68-8238.94-13767.521.691.690.0522847.48
atrtrail-15.1715604.512665010839.6917709.77-8238.94-13767.521.321.320.0271300.38

In the table above, row 1 shows the best exit criterion. Profit factor is 3.5. Strategy is very good and impressively bullish. Percentage of profitable trades is 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 2.06%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:3.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017305 Jul 2017 (-1.42%), 11 Jul 2017 (2.92%), 27 Jul 2017 (2.2%)
2016103 Feb 2016 (5.49%)
2015121 Oct 2015 (-1.64%)
2013129 Aug 2013 (-1.62%)
2012105 Jul 2012 (-1.49%)
2010201 Sep 2010 (-1.38%), 01 Oct 2010 (5.91%)
2009130 Mar 2009 (9.96%)
2001117 Oct 2001 (10.93%)
2000115 Sep 2000 (-1.42%)
1998122 Apr 1998 (-1.72%)



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