Study: Buy HINDZINC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy HINDZINC when 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
19776.3541182343.96928.9937575.76-4997.63-15724.821.391.090.006238.45
221826.4241221953.665839.622424.24-5612.89-22604.421.041.20.016532.35
3-42041.2341192246.348223.3322424.24-9012.93-46815.290.910.79-0.018-1025.4
4-10315.3841221953.668568.2133149.17-10464-62420.380.820.95-0.0038-251.59
5-3896.5241241758.548777.3939779.01-12620.82-55095.540.70.98-0.0014-95.04
619883.8141221953.6610767.7656353.59-11421.42-57643.310.941.090.0066484.97
755354.5841202148.7813641.0558563.54-10355.55-59872.611.321.250.0181350.11
82807.741192246.3414342.3560220.99-12258.95-69745.221.171.010.0008168.48
9-39852.8741192246.3414486.2154696.13-14322.31-73885.351.010.87-0.011-972.02
10-74708.8741192246.3414938.3445303.87-16297.15-78025.480.920.79-0.018-1822.17
Although, strategy looks good but profit factor on day 3 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
atrnil39.121640656018423030347.4964512.97-9099.74-16972.473.331.430.0312734.42
atrtrail34.298121.969264337.6815974.8164512.97-7377.28-16972.472.171.310.0191422.06
atrnil25.8394008.1863234036.5120045.8143008.65-9176.13-16972.472.181.260.0221492.19
atrtrail23.858036.4369264337.6814433.0643008.65-7377.28-16972.471.961.180.014841.11
atrtrail-14.81-45584.0169254436.2311210.3348896.3-7405.51-16972.471.510.86-0.012-660.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Jan 2018 (-2.87%), 23 Mar 2018 (10.26%)
2017510 Mar 2017 (10.02%), 12 Apr 2017 (-3.02%), 18 Apr 2017 (-3.11%), 03 May 2017 (-3.08%), 15 Nov 2017 (-2.8%)
2016306 Apr 2016 (13.22%), 22 Dec 2016 (-3.7%), 26 Dec 2016 (11.44%)
2014405 May 2014 (-2.75%), 08 Jul 2014 (12.96%), 23 Sep 2014 (10.57%), 16 Dec 2014 (9.26%)
2013311 Jan 2013 (-3.02%), 18 Jan 2013 (-3.12%), 21 Nov 2013 (9.44%)
2012206 Mar 2012 (-4.85%), 30 Oct 2012 (8.67%)
2011728 Jan 2011 (-4.06%), 09 Feb 2011 (12.21%), 04 May 2011 (-4.1%), 06 May 2011 (-4.24%), 08 Aug 2011 (-4.25%), 25 Aug 2011 (-4.37%), 26 Aug 2011 (14.68%)
2010928 Jan 2010 (-4.94%), 05 Feb 2010 (17.02%), 04 May 2010 (-3.11%), 06 May 2010 (-3.31%), 07 May 2010 (-3.62%), 17 May 2010 (-3.74%), 15 Nov 2010 (-3.12%), 16 Nov 2010 (-3.35%), 25 Nov 2010 (-3.47%)
2007831 Jan 2007 (-5.23%), 05 Feb 2007 (-5.77%), 13 Feb 2007 (-5.48%), 02 Mar 2007 (-6.41%), 05 Mar 2007 (20.44%), 17 Aug 2007 (-5.14%), 12 Nov 2007 (-6.05%), 21 Nov 2007 (-6.0%)
2002421 Jun 2002 (-1.54%), 24 Jun 2002 (-2.27%), 03 Jul 2002 (13.71%), 12 Jul 2002 (-7.22%)
2001412 Mar 2001 (-7.57%), 13 Mar 2001 (-8.49%), 14 Mar 2001 (28.06%), 19 Jul 2001 (-4.02%)
1999318 Oct 1999 (-8.0%), 01 Nov 1999 (32.26%), 13 Dec 1999 (24.13%)
1997606 May 1997 (14.77%), 26 Aug 1997 (-6.39%), 18 Sep 1997 (-5.61%), 23 Sep 1997 (-5.51%), 13 Oct 1997 (-6.12%), 23 Oct 1997 (-6.27%)



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