Study: Buy ANDHRABANK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy ANDHRABANK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-69103.3941142734.153632.068635.24-4442.68-29160.810.820.42-0.066-1685.45
2-16583041113026.834826.7612012.99-7297.48-47913.740.660.24-0.11-4044.64
3-13341341132831.715438.720887.45-7289.86-25316.460.750.35-0.094-3253.98
4-16918441132831.717577.4530952.38-9560.4-41530.740.790.37-0.081-4126.45
5-18391841142734.156516.0917640.69-10190.49-31367.630.640.33-0.1-4485.81
6-18720741152636.595853.8517829.91-10577.5-31994.980.550.32-0.1-4566.03
7-19649541132831.718121.818181.82-10788.53-36511.920.750.35-0.092-4792.57
8-18398641162539.028198.718651.03-12606.59-45107.180.650.42-0.078-4487.45
9-16736141152636.5911590.2427513.76-13123.63-40150.560.880.51-0.064-4081.97
10-15526741142734.1515161.6660098.52-13612.23-36511.921.110.58-0.052-3787
Although, strategy looks good but profit factor on day 2 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
atrnil36.45-22961.844103422.7326144.3637349.75-8364.86-22257.413.130.92-0.0083-521.86
50trail31.92-14973.4962144822.588331.8811836.07-2742.08-3904.343.040.89-0.012-241.51
50nil32.08-16550.2259144523.738752.6511836.07-3090.83-3904.342.830.88-0.013-280.51
atrnil25-38329.346143230.4316583.4224899.83-8453.03-22257.411.960.86-0.017-833.25
50trail21.69-39197.3364174726.565520.957890.71-2830.93-3904.341.950.71-0.038-612.46
atrtrail23.75-85900.8453143926.4213324.8524899.83-6985.86-22257.411.910.68-0.038-1620.77
50trail-12.57-42905.0260114918.338419.6520928.57-2765.74-3945.363.040.68-0.033-715.08
atrtrail34.15-86813.985213392514279.5937349.75-6985.86-22257.412.040.68-0.035-1669.5
50nil21.82-45711.7161164526.235856.17890.71-3097.99-3904.341.890.67-0.045-749.37
atrtrail-14.52-1112545213392512399.5769725.23-6985.86-22257.411.770.59-0.041-2139.51

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 22.73%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ANDHRABANK Performance, Profit Factor:0.919

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017322 May 2017 (-4.12%), 25 Jul 2017 (-2.56%), 04 Dec 2017 (-3.84%)
2016125 Aug 2016 (-3.17%)
2015116 Apr 2015 (-3.14%)
2014119 Sep 2014 (-4.49%)
2013125 Jan 2013 (-3.89%)
2012310 Apr 2012 (-4.1%), 08 Jun 2012 (-3.97%), 16 Jul 2012 (-3.23%)
2010419 Jan 2010 (-2.84%), 08 Mar 2010 (-2.71%), 29 Jun 2010 (-3.47%), 07 Jul 2010 (8.94%)
2009507 Jul 2009 (-5.08%), 15 Jul 2009 (14.96%), 07 Aug 2009 (-3.79%), 17 Aug 2009 (11.14%), 11 Dec 2009 (-3.91%)
2008118 Jan 2008 (-5.88%)
2007812 Jan 2007 (-3.5%), 31 Jan 2007 (-3.51%), 29 Jun 2007 (8.98%), 30 Jul 2007 (-4.17%), 08 Aug 2007 (-4.02%), 31 Aug 2007 (12.59%), 15 Oct 2007 (-5.55%), 13 Nov 2007 (16.74%)
2006114 Nov 2006 (-3.24%)
2005618 Apr 2005 (-4.64%), 21 Apr 2005 (-4.9%), 07 Jun 2005 (-2.88%), 13 Jul 2005 (8.71%), 08 Sep 2005 (-3.48%), 27 Sep 2005 (-4.23%)
2004217 Feb 2004 (-5.67%), 19 May 2004 (-11.13%)
2003319 Mar 2003 (18.67%), 09 Jun 2003 (-6.3%), 19 Nov 2003 (-3.15%)
2002422 Mar 2002 (11.31%), 21 May 2002 (18.67%), 25 Jul 2002 (-5.13%), 09 Oct 2002 (-2.54%)



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