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

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK when near 200 SMA and below 200 SMA and RSI is below 50" 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
126837.522112957.145109.2321953.9-3830.36-8348.031.331.780.051277.98
2-11035.521111052.383983.058807.34-5484.91-12038.010.730.8-0.022-525.5
315063.0221111052.386683.2717430.37-5845.29-14290.741.141.260.022717.29
412142.472191242.869563.2422102.43-6160.55-10439.561.551.160.016578.21
5-3892.412181338.110365.5520485.18-6678.22-13586.771.550.96-0.0047-185.35
6-53686.862181338.17478.4316172.51-8731.87-21046.440.860.53-0.066-2556.52
7-53995.7721111052.385950.2518381.34-11944.85-22692.530.50.55-0.058-2571.23
8-36882.572191242.869804.1521673.53-10426.66-23868.310.940.71-0.034-1756.31
9-24284.2421101147.6211365.4828352.88-12539.92-28601.040.910.82-0.019-1156.39
10-10672.421101147.6213148.8327640.6-12923.7-26735.751.020.92-0.0082-508.21

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.78. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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-1126837.522112957.145109.2321953.9-3830.36-8348.031.331.780.051277.98
atrnil39.0877369.072481633.3325442.5954645.5-7885.73-16028.13.231.610.0453223.71
atrtrail24.5956466.8627101737.0415259.0432056.2-5654.33-10498.882.71.590.0432091.37
atrnil25.6257606.462491537.518638.8936430.33-7342.9-10498.882.541.520.0422400.27
200nil3213087.673392427.279710.5911949.95-3096.15-3957.53.141.180.016396.6
atrtrail35.1113173.2927101737.0410929.6926290.22-5654.33-10498.881.931.140.012487.9
200trail31.979085.6733102330.37969.411949.95-3069.93-3957.52.61.130.012275.32
atrtrail-15.418937.9927101737.0410506.1623550.28-5654.33-10498.881.861.090.0086331.04
200trail21.67-6611.3433102330.36399.77966.64-3069.93-3957.52.080.91-0.011-200.34
200nil21.7-7443.9333102330.36399.77966.64-3106.13-3957.52.060.9-0.012-225.57
200trail-12.73-23212.293392427.275525.3115967.65-3039.17-3957.51.820.68-0.037-703.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.78. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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:1.78

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017422 Mar 2017 (-1.1%), 06 Jul 2017 (0.36%), 07 Aug 2017 (2.52%), 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%)
2012229 Mar 2012 (-1.92%), 26 Apr 2012 (2.04%)
2011104 Jan 2011 (1.75%)
2010215 Mar 2010 (-0.56%), 09 Dec 2010 (-3.38%)
2008221 Jan 2008 (10.98%), 18 Feb 2008 (2.01%)
2007314 Feb 2007 (-2.16%), 06 Jul 2007 (-4.17%), 31 Jul 2007 (3.17%)
2005224 Aug 2005 (1.19%), 17 Oct 2005 (1.22%)
2004125 Oct 2004 (-2.38%)



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