Study: Sell HINDZINC when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell HINDZINC when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. 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
1-3562.7941182343.94230.638963.64-3465.83-15384.621.220.96-0.0039-86.9
27777.4641212051.224639.2412634.13-4482.33-18787.881.041.090.0066189.69
3-7632.2841241758.545052.127831.72-7581.33-22857.140.670.94-0.0046-186.15
4-9999.1341202148.787937.0629773.46-8035.25-30909.090.990.94-0.0047-243.88
5-33725.7841212051.228664.4533656.96-10783.96-33939.390.80.84-0.013-822.58
6-26860.5741182343.910126.0533009.71-9092.59-36363.641.110.87-0.011-655.14
7-10186141182343.910098.7930420.71-12332.14-462500.820.64-0.034-2484.41
8-64777.4741221953.6610881.0929126.21-16008.5-487500.680.79-0.019-1579.94
9-11762841192246.3413530.836245.95-17032.42-66060.610.790.69-0.029-2868.98
10-17782641212051.2210940.1731715.21-20378.5-84615.380.540.56-0.042-4337.23
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
atrnil38.36-20022.745103522.2227995.7342686.03-8570.86-16154.043.270.93-0.0061-444.95
atrnil25.86-43853.3449133626.5319103.8632308.07-8116.76-15224.232.350.85-0.015-894.97
atrtrail35.05-39311.255154027.2712508.5542686.03-5673.49-15224.232.20.83-0.014-714.75
50trail-12.72-28154.4667125517.9110461.3422056.36-2794.37-3907.493.740.82-0.016-420.22
atrtrail24.42-49847.0755154027.2711806.1632308.07-5673.49-15224.232.080.78-0.02-906.31
50trail31.88-36230.1768135519.129035.4111863.93-2794.37-3907.493.230.76-0.025-532.8
atrtrail-15.47-57772.4955154027.2711277.854138.16-5673.49-15224.231.990.75-0.022-1050.41
50nil31.99-43248.0867135419.49035.4111863.93-2976.08-3951.313.040.73-0.029-645.49
50trail21.75-63976.5268155322.065812.77909.29-2852.21-3907.492.040.58-0.056-940.83
50nil21.84-69076.0867155222.395812.77909.29-3005.13-3951.311.930.56-0.061-1030.99

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:0.933

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Feb 2019 (-2.43%), 26 Apr 2019 (-2.05%), 02 May 2019 (6.58%)
2018411 Jun 2018 (7.99%), 02 Aug 2018 (-3.01%), 20 Aug 2018 (-2.71%), 04 Oct 2018 (12.05%)
2017120 Jun 2017 (-2.62%)
2015424 Sep 2015 (-4.37%), 16 Nov 2015 (-3.78%), 01 Dec 2015 (-3.18%), 24 Dec 2015 (-3.25%)
2014106 May 2014 (-2.78%)
2013428 Mar 2013 (11.01%), 13 May 2013 (-3.08%), 21 May 2013 (-2.97%), 12 Aug 2013 (-3.96%)
2012321 Jun 2012 (-3.27%), 09 Jul 2012 (-3.16%), 01 Aug 2012 (-2.76%)
2011330 Nov 2011 (-3.98%), 19 Dec 2011 (-4.16%), 28 Dec 2011 (-3.95%)
2010313 Jul 2010 (-2.71%), 19 Jul 2010 (-2.92%), 30 Sep 2010 (-3.27%)
2009129 Jan 2009 (-7.05%)
2008109 Sep 2008 (14.33%)
2003308 Jan 2003 (-3.95%), 21 Jan 2003 (-3.29%), 03 Feb 2003 (13.04%)
2001109 Oct 2001 (-6.54%)
2000115 Jun 2000 (-7.26%)
1999418 Jan 1999 (-7.08%), 25 Feb 1999 (-6.79%), 27 Feb 1999 (-7.61%), 04 Mar 1999 (-8.08%)
1998705 Jan 1998 (16.0%), 20 May 1998 (20.4%), 23 Jul 1998 (21.34%), 25 Aug 1998 (-5.86%), 28 Aug 1998 (-5.98%), 23 Sep 1998 (17.23%), 30 Dec 1998 (-4.08%)
1996105 Dec 1996 (-6.04%)



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