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

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In this study, we evaluate the performance of strategy "Buy HINDZINC when near 200 SMA and above 200 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
1-55731.19451827403694.569470.98-4527.16-11924.120.820.54-0.052-1238.47
2-46937.91451827405445.2517307.07-5368.61-23587.221.010.68-0.03-1043.06
3-49218.345192642.226814.4725128.21-6872.81-33906.630.990.72-0.023-1093.74
4-50664.3745212446.677304.6425641.03-8502.57-34291.80.860.75-0.022-1125.87
5-76328.5445222348.897951.8130256.41-10924.71-52289.670.730.7-0.027-1696.19
6-21056.245212446.679823.4126911.79-9472.82-36855.041.040.91-0.0079-467.92
7-9861.545242153.339534.9232825.39-11366.64-48602.240.840.96-0.0034-219.14
87789.5145232251.1111156.0225555.71-11309.05-45194.360.991.030.0026173.1
9-4499.0945222348.8912799.4428603.38-12438.55-48375.931.030.98-0.0014-99.98
10-32892.7245212446.6713413.4229931.5-13107.27-47736.951.020.9-0.0097-730.95
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
atrnil310.0618964648173135.4225007.0447402.18-7595.92-16148.513.291.810.0533950.96
atrnil2568039.4553203337.7415701.731601.45-7454.38-16148.512.111.280.0241283.76
atrtrail34.7538854.7855183732.7314905.5736192.81-6201.23-13895.362.41.170.013706.45
atrtrail24.117772.7155183732.7313178.7924128.54-6201.23-13895.362.131.030.0031141.32
200nil32.011575.0167175025.378838.1211573.69-2973.46-3907.32.971.010.0009923.51
200trail31.93-7413.3770175324.298421.2311573.69-2841.02-3850.292.960.95-0.0047-105.91
200nil21.75-23545.3871215029.585942.247814.6-2966.65-3850.2920.84-0.018-331.63
200trail-12.75-29593.667135419.49127.8421861.54-2745.47-3850.293.320.8-0.017-441.7
200trail21.75-29777.7971205128.175872.117814.6-2886.66-3850.292.030.8-0.023-419.41
atrtrail-15.39-46838.0754173731.4810741.6125442.2-6201.23-13895.361.730.8-0.021-867.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 35.42%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 Mar 2019 (-2.13%), 18 Mar 2019 (-2.14%), 29 Mar 2019 (-2.13%), 30 Apr 2019 (-2.11%)
2018607 Feb 2018 (11.51%), 28 Mar 2018 (9.71%), 02 May 2018 (-2.93%), 05 Sep 2018 (-2.74%), 06 Sep 2018 (-2.9%), 14 Sep 2018 (-3.06%)
2017205 Jul 2017 (7.16%), 07 Dec 2017 (7.9%)
2016103 Feb 2016 (11.98%)
2015224 Apr 2015 (-3.29%), 21 Oct 2015 (-3.81%)
2014320 Feb 2014 (-2.92%), 21 Mar 2014 (-2.71%), 05 May 2014 (-2.75%)
2013225 Jan 2013 (-3.29%), 29 Aug 2013 (15.97%)
2012917 Jan 2012 (-3.38%), 24 Jan 2012 (10.6%), 15 Mar 2012 (-5.07%), 04 Apr 2012 (-4.36%), 30 Apr 2012 (-2.96%), 05 Jul 2012 (-2.92%), 10 Aug 2012 (8.21%), 03 Sep 2012 (9.82%), 05 Sep 2012 (13.0%)
2011201 Nov 2011 (-3.76%), 01 Dec 2011 (-3.95%)
2010301 Sep 2010 (-3.61%), 01 Oct 2010 (9.76%), 29 Nov 2010 (10.85%)
2009223 Mar 2009 (-3.95%), 30 Mar 2009 (14.01%)
2008115 Jan 2008 (-4.84%)
2007321 Aug 2007 (-4.97%), 07 Sep 2007 (12.82%), 22 Nov 2007 (18.1%)
2001419 Jul 2001 (-4.02%), 08 Aug 2001 (-4.66%), 17 Oct 2001 (17.46%), 15 Nov 2001 (23.7%)
2000211 Jan 2000 (-8.07%), 15 Sep 2000 (-5.15%)
1998122 Apr 1998 (-6.88%)
1997123 Oct 1997 (-6.27%)



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