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

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In this study, we evaluate the performance of strategy "Sell HINDZINC when near 200 SMA and below 200 SMA and RSI is below 50" 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
1-3951.3424141058.332990.657976.99-4582.05-11312.220.650.91-0.0075-164.64
2-2055.6324111345.836144.6531590.34-5357.45-14166.381.150.97-0.0022-85.65
316863.1924101441.6710807.449881.62-6515.06-15175.771.661.180.011702.63
4-21319.552481633.3311051.4925600-6858.22-19791.671.610.81-0.017-888.31
539587.2624101441.6712657.0746134.07-6213.1-17925.512.041.460.0261649.47
627950.442491537.514446.8442670.64-6804.74-17403.412.121.270.0181164.6
747382.782412125011991.6145904.08-8043.05-19561.431.491.490.0291974.28
814435.282412125011875.6145254.68-10672.67-22618.671.111.110.0083601.47
93504.9124111345.8313774.4443200-11385.69-31383.621.211.020.0019146.04
10-6464.962412125014228.4440000-14767.18-43969.340.960.96-0.0031-269.37
Although, strategy looks good but profit factor on day 4 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
atrnil311.1217900.05258173220745.5431848.17-8709.67-19018.12.381.120.011716
200trail-13.131251.33892923.689288.2721816.95-2839.42-3781.73.271.020.001232.93
200nil32.47-4632.53892923.689000.9311846.99-2953.13-3781.73.050.95-0.0052-121.91
atrnil26.36-12784.32259163614118.6321232.11-8740.75-19018.11.620.91-0.0097-511.37
200trail32.21-12032.783892923.687812.2611846.99-2839.42-3781.72.750.85-0.015-316.65
atrtrail34.84-33530.13192229.0311956.2231848.17-6415.28-19018.11.860.76-0.023-1081.62
200trail21.73-19979.6740112927.55688.57897.99-2846.66-3781.720.76-0.028-499.49
200nil21.82-23277.4740112927.55688.57897.99-2960.38-3781.71.920.73-0.033-581.94
atrtrail-15.32-52453.923192229.039853.5732928.42-6415.28-19018.11.540.63-0.039-1692.06
atrtrail24.35-54059.763192229.039675.1521232.11-6415.28-19018.11.510.62-0.044-1743.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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.
HINDZINC Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Apr 2019 (6.17%)
2018208 Feb 2018 (-3.81%), 04 May 2018 (8.92%)
2017204 May 2017 (9.18%), 06 Dec 2017 (-2.66%)
2015516 Jan 2015 (-3.04%), 07 Apr 2015 (-3.37%), 02 Jun 2015 (-3.0%), 19 Jun 2015 (-2.63%), 30 Jun 2015 (7.94%)
2014318 Feb 2014 (-2.96%), 10 Mar 2014 (-2.81%), 06 May 2014 (-2.78%)
2013123 Jan 2013 (9.58%)
2012407 Mar 2012 (-5.13%), 14 Mar 2012 (-5.17%), 29 Mar 2012 (-4.58%), 11 Apr 2012 (-4.11%)
2011109 Nov 2011 (10.45%)
2008117 Jan 2008 (15.92%)
2007105 Sep 2007 (-4.38%)
2001128 Nov 2001 (-6.78%)
2000114 Jan 2000 (-7.32%)
1999107 Jun 1999 (-9.51%)
1995129 Dec 1995 (14.81%)



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