Study: Buy HINDZINC when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy HINDZINC when above 200 SMA and near 50 SMA and above 50 SMA" 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
18093.3366303645.453852.2213145.21-2985.37-9480.811.291.080.0059122.63
242188.35663333505848.3113263.5-4569.88-20320.861.281.280.021639.22
32269526633335011822.55199924-4945.21-22573.362.392.390.033438.67
42324836633335013337.62214753-6292.67-25935.832.122.120.0283522.47
522238666363054.5512598.57210013-7705.4-30248.311.641.960.0273369.49
621159466343251.5214381.63202217-8668.16-29345.371.661.760.0263205.98
717456466343251.5214706.95191974-10171-53333.331.451.540.0222644.92
820679866343251.5214969.33195337-9442.47-28893.911.591.680.0263133.31
916908166303645.4517567.32195337-9942.75-44243.791.771.470.022561.83
1010869366303645.4517858.17199159-11862.56-39729.121.511.250.0131646.86
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HINDZINC Performance, X=3, Profit Factor:2.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018418 Jan 2018 (-3.78%), 09 Feb 2018 (3.24%), 09 Mar 2018 (2.33%), 03 Apr 2018 (1.65%)
2017506 Jan 2017 (5.16%), 22 Sep 2017 (0.07%), 08 Nov 2017 (-0.61%), 22 Nov 2017 (-2.69%), 29 Dec 2017 (1.02%)
2016618 Apr 2016 (1.86%), 06 May 2016 (-1.24%), 31 May 2016 (-1.73%), 28 Jun 2016 (3.26%), 21 Nov 2016 (11.82%), 20 Dec 2016 (-1.47%)
2015522 Jan 2015 (3.18%), 05 Mar 2015 (-1.19%), 16 Apr 2015 (-2.32%), 28 May 2015 (-2.39%), 23 Jun 2015 (-1.56%)
20141001 Jan 2014 (-3.18%), 15 Jan 2014 (1.72%), 28 Mar 2014 (4.38%), 05 May 2014 (-2.67%), 08 Jul 2014 (-0.81%), 30 Jul 2014 (-0.46%), 26 Aug 2014 (0.6%), 21 Oct 2014 (2.06%), 07 Nov 2014 (-1.42%), 11 Dec 2014 (-4.07%)
2013112 Dec 2013 (-0.57%)
2012513 Mar 2012 (-3.5%), 23 Oct 2012 (0.15%), 16 Nov 2012 (-0.07%), 13 Dec 2012 (1.65%), 28 Dec 2012 (1.1%)
2011828 Jan 2011 (0.55%), 14 Feb 2011 (-0.09%), 01 Mar 2011 (99.96%), 31 May 2011 (-4.51%), 29 Jun 2011 (1.58%), 14 Jul 2011 (2.24%), 02 Sep 2011 (-3.06%), 19 Sep 2011 (-3.65%)
2010503 Mar 2010 (5.53%), 28 Apr 2010 (0.66%), 18 Nov 2010 (-1.77%), 02 Dec 2010 (-2.92%), 16 Dec 2010 (4.89%)
2009123 Jun 2009 (5.83%)
2007723 Jan 2007 (0.23%), 31 May 2007 (3.67%), 18 Jun 2007 (10.07%), 27 Jul 2007 (-0.17%), 03 Sep 2007 (-0.25%), 08 Nov 2007 (-0.81%), 28 Dec 2007 (0.91%)
2002202 Jan 2002 (8.6%), 20 Jun 2002 (-6.28%)
2001429 Mar 2001 (-11.29%), 04 Jun 2001 (-1.49%), 10 Jul 2001 (-0.51%), 14 Dec 2001 (0.76%)
2000106 Jan 2000 (-9.07%)
1999122 Oct 1999 (1.78%)
1997102 Sep 1997 (2.54%)

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
50trail-12.9116138994266827.6613461.1196681-2773.52-3995.744.851.860.0181716.91
atrtrail-15.5413319283275632.5316339.59192883-5499.6-15280.162.971.430.0151604.72
50nil32.1462298.5193306332.268613.7211554.31-3112.91-3995.742.771.320.027669.88
50trail32.0257768.0494306431.918117.2711554.31-2902.35-3995.742.81.310.025614.55
atrnil25.972939.2171274438.0315116.7132045.36-7618.46-15539.921.981.220.0191027.31
atrnil310.3722604.859154425.4224394.1548068.04-7802.44-15539.923.131.070.0057383.13
50nil21.7710463.3997366137.115642.327702.87-3158.36-3995.741.791.050.0055107.87
50trail21.695371.8998366236.735335.427702.87-3011.34-3995.741.771.030.002954.82
atrtrail34.895926.3483285533.7310974.8837825.23-5479.46-15280.1621.020.001671.4
atrtrail24.245803.1683285533.7310970.4825216.82-5479.46-15280.1621.020.001769.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 27.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.86%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018718 Jan 2018 (-1.59%), 01 Feb 2018 (-1.97%), 09 Feb 2018 (1.56%), 09 Mar 2018 (-1.97%), 20 Mar 2018 (-1.61%), 03 Apr 2018 (-1.04%), 12 Apr 2018 (3.57%)
2017606 Jan 2017 (2.95%), 22 Sep 2017 (-1.81%), 25 Sep 2017 (-0.86%), 08 Nov 2017 (-1.35%), 22 Nov 2017 (-1.55%), 29 Dec 2017 (2.94%)
2016818 Apr 2016 (0.41%), 25 Apr 2016 (0.55%), 06 May 2016 (-1.15%), 31 May 2016 (-1.5%), 06 Jun 2016 (1.1%), 28 Jun 2016 (2.89%), 21 Nov 2016 (12.26%), 20 Dec 2016 (-0.74%)
2015822 Jan 2015 (4.03%), 05 Mar 2015 (-1.86%), 17 Mar 2015 (-0.57%), 16 Apr 2015 (-1.5%), 23 Apr 2015 (-1.51%), 29 Apr 2015 (-1.35%), 28 May 2015 (-1.6%), 23 Jun 2015 (-1.96%)
20141501 Jan 2014 (-1.97%), 03 Jan 2014 (-1.99%), 14 Jan 2014 (-0.7%), 24 Jan 2014 (-1.93%), 28 Mar 2014 (4.5%), 05 May 2014 (-1.72%), 08 Jul 2014 (-1.83%), 30 Jul 2014 (-1.3%), 26 Aug 2014 (-1.98%), 02 Sep 2014 (3.6%), 21 Oct 2014 (1.82%), 07 Nov 2014 (-1.25%), 18 Nov 2014 (-1.94%), 11 Dec 2014 (-1.22%), 18 Dec 2014 (-1.11%)
2013212 Dec 2013 (-1.65%), 16 Dec 2013 (0.63%)
2012613 Mar 2012 (-1.23%), 23 Oct 2012 (-1.34%), 16 Nov 2012 (-1.73%), 13 Dec 2012 (2.59%), 20 Dec 2012 (-1.72%), 28 Dec 2012 (1.14%)
20111128 Jan 2011 (-1.05%), 02 Feb 2011 (-1.25%), 14 Feb 2011 (-1.23%), 01 Mar 2011 (98.34%), 31 May 2011 (-1.96%), 29 Jun 2011 (-0.71%), 14 Jul 2011 (-1.64%), 15 Jul 2011 (2.22%), 02 Sep 2011 (-1.19%), 14 Sep 2011 (-0.29%), 19 Sep 2011 (-0.89%)
2010703 Mar 2010 (3.94%), 28 Apr 2010 (0.77%), 03 May 2010 (-1.79%), 18 Nov 2010 (-1.84%), 02 Dec 2010 (-1.19%), 16 Dec 2010 (-1.98%), 20 Dec 2010 (-1.65%)
2009123 Jun 2009 (4.98%)
2008107 Jan 2008 (-1.29%)
20071023 Jan 2007 (-0.39%), 31 May 2007 (-1.79%), 18 Jun 2007 (-2.0%), 27 Jul 2007 (1.46%), 03 Aug 2007 (-1.94%), 03 Sep 2007 (-1.37%), 06 Sep 2007 (-1.15%), 08 Nov 2007 (-0.51%), 14 Nov 2007 (-0.82%), 28 Dec 2007 (-0.53%)
2002202 Jan 2002 (13.84%), 20 Jun 2002 (-1.06%)
2001529 Mar 2001 (-1.13%), 04 Jun 2001 (-1.92%), 10 Jul 2001 (-1.25%), 13 Jul 2001 (-0.24%), 14 Dec 2001 (0.26%)
2000106 Jan 2000 (-1.75%)
1999322 Oct 1999 (-1.06%), 23 Oct 1999 (0.75%), 26 Oct 1999 (-1.36%)
1997102 Sep 1997 (1.9%)



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