Study: Sell ANDHRABANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ANDHRABANK 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
117732.75381919504784.9421953.9-3851.64-10545.681.241.240.019466.65
2-5770.5638172144.745326.8718679.55-4587.02-12038.011.160.94-0.0057-151.86
312587.7638182047.377156.6823510.47-5811.62-14290.741.231.110.0094331.26
419656.2338152339.479781.4522102.43-5524.59-10439.561.771.150.014517.27
5-679438152339.4710110.4225680.27-6889.14-18369.261.470.96-0.0042-178.79
6-20514.4438172144.748864.3732823.13-8152.8-18619.441.090.88-0.012-539.85
7-6009.5538201852.638064.7834353.74-9294.73-20310.880.870.96-0.0034-158.15
83949.0938162242.1112404.3140646.26-8841.82-21139.91.41.020.0019103.92
94475.0338182047.3711854.1842857.14-10445.01-28601.041.131.020.002117.76
10-25458.6238172144.7412807.1339285.71-11580-26735.751.110.9-0.011-669.96

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.24. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, which is low, don't trade solely on the basis of this study.

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
nilnil-1117732.75381919504784.9421953.9-3851.64-10545.681.241.240.019466.65
atrtrail23.9834587.5752163630.7714117.2632056.2-5313.57-10498.882.661.180.016665.15
atrnil2516016.0145143131.1117048.0536430.33-7182.47-10708.252.371.070.0071355.91
atrnil386265.5442103223.8124771.8454645.5-7545.4-16028.13.281.030.0024149.18
atrtrail34.4-3303.6652163630.7711749.0626290.22-5313.57-10498.882.210.98-0.0016-63.53
atrtrail-14.87-7350.0352163630.7711496.1635726.33-5313.57-10498.882.160.96-0.0036-141.35
200nil31.97-16827.7963135020.639851.8711949.95-2898.04-3957.53.40.88-0.012-267.11
200trail31.89-16811.5664154923.448033.7811949.95-2802.41-3957.52.870.88-0.013-262.68
200trail-12.55-26550.264145021.888078.5635960.88-2793-3957.52.890.81-0.016-414.85
200nil21.62-29153.4164174726.566318.867966.64-2905.83-3957.52.170.79-0.026-455.52
200trail21.57-29693.465174826.156318.867966.64-2856.54-3957.52.210.78-0.027-456.82

In the table above, row 1 shows the best exit criterion. Profit factor is 1.24. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
ANDHRABANK Performance, X=1, Profit Factor:1.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018124 Jan 2018 (4.93%)
2017602 Mar 2017 (0.37%), 22 Mar 2017 (-1.1%), 06 Jul 2017 (0.36%), 07 Aug 2017 (2.52%), 27 Sep 2017 (-1.7%), 28 Dec 2017 (1.27%)
2016410 Aug 2016 (2.14%), 17 Oct 2016 (-1.28%), 02 Nov 2016 (2.02%), 17 Nov 2016 (-0.28%)
2015113 Apr 2015 (-2.28%)
2012529 Mar 2012 (-1.92%), 26 Apr 2012 (2.04%), 07 Jun 2012 (-2.36%), 08 Oct 2012 (-0.18%), 30 Nov 2012 (-1.27%)
2011304 Jan 2011 (1.75%), 15 Feb 2011 (1.41%), 31 Mar 2011 (-0.3%)
2010215 Mar 2010 (-0.56%), 09 Dec 2010 (-3.38%)
2009205 Jan 2009 (3.38%), 08 Apr 2009 (3.0%)
2008221 Jan 2008 (10.98%), 18 Feb 2008 (2.01%)
2007514 Feb 2007 (-2.16%), 18 Apr 2007 (-2.79%), 18 Jun 2007 (1.4%), 04 Jul 2007 (-0.47%), 31 Jul 2007 (3.17%)
2006114 Aug 2006 (-5.27%)
2005224 Aug 2005 (1.19%), 17 Oct 2005 (1.22%)
2004307 Sep 2004 (0.31%), 21 Sep 2004 (-5.05%), 25 Oct 2004 (-2.38%)
2002122 Jan 2002 (-1.85%)



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