Study: Buy HINDZINC when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy HINDZINC when ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
128013.93116554.556732.8612271.84-2476.65-7827.952.723.260.12546.72
212480.35116554.556234.2512935.32-4985.03-15112.061.251.50.0351134.58
312665.94116554.556879.1811940.3-5721.82-16166.781.21.440.0321151.45
423115.4116554.559606.5722821.72-6904.8-15639.421.391.670.0442101.4
513424.75118372.736570.3313930.35-13045.96-25955.830.51.340.0241220.43
633632.18118372.739055.3223076.92-12936.79-24258.40.71.870.0543057.47
71121821110190.9111592.4339316.24-3742.2-3742.23.130.980.210198.37
81252301110190.9113150.8854700.85-6278.84-6278.842.0920.940.1611384.54
9112407118372.7315588.4854700.85-4100.2-7630.193.810.140.1410218.84
10166914118372.7322890.9572636.82-5404.48-8849.74.2411.290.1415174.01
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
HINDZINC Performance, X=7, Profit Factor:31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017131 Aug 2017 (4.79%)
2013109 Oct 2013 (3.34%)
2012216 Feb 2012 (-1.87%), 01 Oct 2012 (1.97%)
2010113 Oct 2010 (1.02%)
2009107 May 2009 (1.24%)
2006121 Nov 2006 (9.05%)
2001111 Dec 2001 (3.99%)
2000131 Oct 2000 (3.45%)
1999124 Jun 1999 (9.45%)
1997104 Feb 1997 (19.66%)

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
atrtrail-17.54239247136746.1547584.79199715-6608.89-11970.977.26.170.07518403.58
atrtrail36.6974637.71136746.1520149.9941159.27-6608.89-11970.973.052.610.0755741.36
atrtrail25.8544857.52136746.1515186.6227439.52-6608.89-11970.972.31.970.063450.58
atrnil312.3160884.75134930.7734992.341159.27-8787.16-14599.183.981.770.0514683.44
atrnil21050811.18136746.1519616.927439.52-9555.74-14599.182.051.760.0573908.55

In the table above, row 1 shows the best exit criterion. Profit factor is 6.17. 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 9.2%, which is very good. Sharpe Ratio is 0.075, 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:6.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017131 Aug 2017 (3.38%)
2013109 Oct 2013 (-0.37%)
2012316 Feb 2012 (-3.36%), 17 Feb 2012 (-3.37%), 01 Oct 2012 (-1.56%)
2010113 Oct 2010 (0.44%)
2009207 May 2009 (-5.63%), 08 May 2009 (-5.99%)
2006121 Nov 2006 (4.9%)
2001111 Dec 2001 (-2.85%)
2000131 Oct 2000 (11.6%)
1999124 Jun 1999 (99.86%)
1997104 Feb 1997 (22.59%)



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