Study: Sell HINDZINC when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HINDZINC when below 200 SMA and RSI is overbought" 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
1-23379.38134930.775726.3315637.86-5142.74-13953.491.110.49-0.057-1798.41
2-24091.41135838.467848.6417397.5-7916.82-29457.360.990.62-0.038-1853.19
3-54994.16134930.7712629.8126143.79-11723.71-38759.691.080.48-0.061-4230.32
4-21381.31135838.4617587.441330.96-13664.79-38759.691.290.8-0.018-1644.72
5-77998.91135838.4617769.4628710.64-20855.78-54263.570.850.53-0.058-5999.92
6-110662135838.4619316.5629328.58-25905.64-72868.220.750.47-0.067-8512.48
7-105875135838.4619956.0434272.13-25706.91-93023.260.780.49-0.057-8144.23
8-112280136746.1515161.7628781.94-29035.82-1023260.520.45-0.057-8636.93
9-77122.32136746.1516129.8734224.6-24843.08-83720.930.650.56-0.045-5932.49
10-74076.3135838.4619288.2942091.5-21314.72-79069.770.90.57-0.044-5698.18
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
atrtrail32.67-771612442016.6720457.2132205.86-7949.49-12217.642.570.51-0.06-3215.04
atrnil22.78-91022.212341917.3921640.4727532.53-9346.53-12268.722.320.49-0.073-3957.49
atrnil33.22-1028062332013.0429514.6832205.86-9567.52-13766.273.080.46-0.074-4469.84
atrtrail22.33-86086.62442016.6718225.827532.53-7949.49-12217.642.290.46-0.074-3586.94
atrtrail-12.83-92668.512442016.6716580.3328796.87-7949.49-12217.642.090.42-0.084-3861.19

In the table above, row 1 shows the best exit criterion. Profit factor is 0.51. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDZINC Performance, Profit Factor:0.515

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2010103 Aug 2010 (-1.88%)
2009506 Jan 2009 (-5.2%), 07 Jan 2009 (16.1%), 18 Mar 2009 (-4.25%), 19 Mar 2009 (-4.18%), 24 Mar 2009 (-2.66%)
2008125 Apr 2008 (2.12%)
2002226 Nov 2002 (-2.55%), 02 Dec 2002 (-1.64%)
2001116 Oct 2001 (-6.11%)
2000226 Jun 2000 (7.95%), 06 Sep 2000 (-5.88%)
1999308 Jan 1999 (-4.35%), 11 Jan 1999 (-4.59%), 12 Jan 1999 (14.74%)
1998518 Mar 1998 (-5.26%), 19 Mar 1998 (-0.75%), 25 Mar 1998 (-4.99%), 01 Apr 1998 (-1.84%), 09 Apr 1998 (-4.95%)
1996419 Apr 1996 (-3.59%), 17 Dec 1996 (-5.14%), 18 Dec 1996 (-4.93%), 19 Dec 1996 (-4.75%)



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