Study: Sell ANDHRABANK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK when below 200 SMA and near 50 SMA and below 50 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
1-51565.5446163034.782639.126849.8-3126.38-16187.050.840.45-0.069-1120.99
2-70667.2346192741.34202.0310873.44-5574.29-21369.290.750.53-0.058-1536.24
3-15815446202643.483984.2612485.55-9147.66-56774.190.440.34-0.077-3438.13
4-19051046192741.35642.0213027.39-11026.22-57511.520.510.36-0.077-4141.52
5-22453146202643.486430.2217341.04-13582.12-42949.310.470.36-0.086-4881.1
6-27712646182839.137144.5821849.71-14490.32-56873.820.490.32-0.092-6024.49
7-28422046192741.37561.6116416.18-15847.78-50847.460.480.34-0.094-6178.68
8-25283846182839.139226.5820491.31-14961.3-53271.890.620.4-0.081-5496.48
9-26029846172936.969658.1324219.35-14637.47-51797.240.660.39-0.081-5658.66
10-18623346202643.4810372.7730464.58-15141.86-54245.280.690.53-0.057-4048.54
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
atrnil38.7243119.3243123127.9122891.8534511.8-7470.42-13181.883.061.190.0171002.77
50trail-13.0927692.2475205526.679129.4841076.92-2816.32-3997.823.241.180.012369.23
atrnil26.51-2231.9547163134.0414375.6623007.87-7491.7-13181.881.920.99-0.0011-47.49
50nil21.75-6612.7280265432.55980.37961.45-3001.86-3997.821.990.96-0.0047-82.66
atrtrail24.59-17033.3556193733.939124.3423007.87-5145.83-11239.491.770.91-0.0092-304.17
50trail21.74-14538.580275333.755294.977961.45-2971.75-3997.821.780.91-0.011-181.73
atrtrail-15.4-21787.1255173830.919967.1841851.29-5032.35-11239.491.980.89-0.01-396.13
atrtrail34.87-21988.3555173830.919955.3431282.73-5032.35-11239.491.980.89-0.011-399.79
50nil32.46-35690.4271155621.138859.8611942.18-3010.5-3997.822.940.79-0.025-502.68
50trail32.22-32855.6276215527.635811.5111942.18-2816.32-3997.822.060.79-0.024-432.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. 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 27.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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, Profit Factor:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018206 Apr 2018 (15.64%), 21 Aug 2018 (-4.12%)
2017225 Jan 2017 (-1.96%), 19 Oct 2017 (-3.56%)
2016404 Mar 2016 (-4.29%), 09 May 2016 (11.1%), 09 Jun 2016 (-3.41%), 10 Aug 2016 (-3.81%)
2015513 Apr 2015 (-2.93%), 17 Apr 2015 (9.5%), 14 May 2015 (11.94%), 15 Jul 2015 (-2.77%), 05 Oct 2015 (12.25%)
2014210 Jan 2014 (10.02%), 13 Mar 2014 (-2.96%)
2013609 Jul 2013 (8.86%), 10 Oct 2013 (-4.01%), 15 Oct 2013 (-4.03%), 28 Oct 2013 (-3.69%), 17 Dec 2013 (-3.35%), 19 Dec 2013 (-3.56%)
2012213 Jan 2012 (-3.52%), 05 Nov 2012 (-3.72%)
2011404 Mar 2011 (-4.16%), 19 Apr 2011 (9.42%), 10 May 2011 (-3.29%), 19 Jul 2011 (7.58%)
2009229 Jan 2009 (13.44%), 02 Apr 2009 (-5.2%)
2008521 Apr 2008 (-4.49%), 26 Aug 2008 (-4.99%), 15 Sep 2008 (-5.14%), 26 Sep 2008 (17.26%), 25 Nov 2008 (-6.59%)
2007312 Jun 2007 (-3.7%), 25 Jun 2007 (-3.08%), 06 Jul 2007 (-2.74%)
2006203 Feb 2006 (10.34%), 25 Jul 2006 (-4.61%)
2005213 Dec 2005 (-2.95%), 15 Dec 2005 (-2.99%)
2004119 Aug 2004 (-4.05%)
2002122 Jan 2002 (-2.12%)



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