Study: Sell ANDHRABANK when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell ANDHRABANK when there is Dead Cross (50 DMA < 200 DMA)" 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
13015.08137653.853795.1410472.97-3925.15-7291.670.971.130.012231.93
211266.5138561.546973.1311261.94-8903.71-15317.920.781.250.024866.65
313700.46138561.547813.4313474.11-9761.39-19364.160.81.280.0261053.88
4-5374.87137653.857939.3312537.31-10158.36-15608.470.780.91-0.0099-413.45
5-21435.52136746.1510188.3516597.01-11795.09-22109.830.860.74-0.032-1648.89
6-41265.22136746.159408.8221134.33-13959.73-32407.410.670.58-0.055-3174.25
7-43900.42136746.159291.4918507.46-14235.62-27083.330.650.56-0.058-3376.96
8-32881.59137653.858081.4616955.22-14908.63-27513.230.540.63-0.046-2529.35
9-43983.7136746.159527.0918507.46-14449.46-25260.420.660.57-0.057-3383.36
10-66792.68135838.4611458.9417552.24-15510.92-34114.580.740.46-0.076-5137.9
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
atrtrail23.715170.751477509576.9816220.16-8838.3-142891.081.080.0086369.34
atrnil310-2180.41441028.5721519.3325078.56-8825.77-15766.12.440.98-0.0027-155.74
atrnil25.64-6542.6145935.7114721.0116719.04-8905.29-15766.11.650.92-0.0096-467.33
atrtrail34.57-8420.371477507635.3918864.75-8838.3-142890.860.86-0.015-601.45
atrtrail-14.79-14306.151477506794.5716600.77-8838.3-142890.770.77-0.027-1021.87

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 0.18%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Feb 2018 (8.04%)
2017222 Aug 2017 (-3.35%), 23 Aug 2017 (-3.27%)
2016109 Dec 2016 (6.01%)
2015116 Apr 2015 (6.29%)
2014123 Oct 2014 (-4.45%)
2013118 Mar 2013 (2.42%)
2012124 Aug 2012 (2.61%)
2011128 Jan 2011 (-4.24%)
2008119 Mar 2008 (-7.14%)
2007129 Mar 2007 (8.11%)
2005127 Oct 2005 (0.05%)
2004108 Jul 2004 (-6.35%)
2002124 Jan 2002 (-2.15%)



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