Study: Buy ANDHRABANK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ANDHRABANK when below 200 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
1-64840.489395043.824593.4314973.26-4879.69-21953.90.940.73-0.027-728.54
247875.6789494055.065564.722442.24-5619.87-22171.950.991.210.017537.93
362419.6889454450.568194.5431001.08-6962.15-22372.231.181.20.017701.34
464293.6389484153.938795.7528910.89-8729.33-26115.71.011.180.015722.4
517295289543560.679997.7628571.43-10483.62-37330.320.951.470.0361943.28
618688289503956.1811520.3537288.14-9977.83-33751.211.151.480.0372099.8
723108589494055.0612516.6249557.52-9555.72-38187.081.311.60.0412596.47
822761789464351.6913439.9961769.91-9084.25-42044.361.481.580.042557.49
920984589503956.1813021.1366548.67-11313.13-37801.351.151.480.0342357.8
1024872889513857.314112.9368672.57-12395.58-37415.621.141.530.0372794.69
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
atrtrail-15.341629541686210636.914248.5992840.46-6796.78-22392.092.11.230.016969.97
atrnil38.372001381474110627.8927505.5564626.93-8750.85-27537.743.141.220.0191361.48
atrtrail34.71516481686210636.914066.2464626.93-6796.78-22392.092.071.210.016902.67
atrnil25.731150671515110033.7719134.555075.47-8607.93-22392.092.221.130.013762.03
atrtrail24.1561372.861686210636.912610.1855075.47-6796.78-22392.091.861.090.0075365.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 36.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181702 Jan 2018 (0.57%), 16 Jan 2018 (0.1%), 29 Jan 2018 (-3.66%), 31 Jan 2018 (-3.67%), 02 Feb 2018 (-4.02%), 06 Feb 2018 (-3.54%), 05 Mar 2018 (-4.1%), 06 Mar 2018 (-4.45%), 07 Mar 2018 (-4.84%), 12 Mar 2018 (12.52%), 26 Apr 2018 (2.42%), 04 May 2018 (-3.06%), 14 May 2018 (-4.67%), 18 May 2018 (-2.95%), 04 Jun 2018 (4.56%), 27 Jun 2018 (-1.55%), 13 Jul 2018 (-4.39%)
2017623 Jun 2017 (-3.26%), 27 Jun 2017 (7.2%), 03 Aug 2017 (-0.79%), 08 Aug 2017 (-2.89%), 10 Aug 2017 (-2.56%), 28 Dec 2017 (-3.02%)
20162011 Jan 2016 (-2.74%), 13 Jan 2016 (-3.06%), 14 Jan 2016 (-3.28%), 15 Jan 2016 (-3.77%), 18 Jan 2016 (-1.49%), 20 Jan 2016 (2.7%), 10 Feb 2016 (-4.67%), 11 Feb 2016 (-5.17%), 12 Feb 2016 (0.69%), 19 May 2016 (-3.59%), 23 May 2016 (-3.71%), 24 May 2016 (6.7%), 10 Aug 2016 (3.24%), 17 Oct 2016 (2.07%), 03 Nov 2016 (-2.76%), 04 Nov 2016 (-0.18%), 22 Nov 2016 (-1.87%), 16 Dec 2016 (-2.67%), 22 Dec 2016 (-2.5%), 26 Dec 2016 (5.04%)
20151226 Feb 2015 (2.03%), 13 Mar 2015 (-2.64%), 26 Mar 2015 (7.7%), 24 Apr 2015 (2.41%), 06 May 2015 (1.09%), 03 Jun 2015 (-4.13%), 11 Jun 2015 (4.25%), 24 Aug 2015 (-0.66%), 04 Sep 2015 (5.74%), 30 Oct 2015 (3.13%), 08 Dec 2015 (-2.63%), 11 Dec 2015 (1.79%)
2014424 Jan 2014 (-2.93%), 27 Jan 2014 (-3.52%), 30 Jan 2014 (2.93%), 25 Sep 2014 (33.55%)
20132204 Feb 2013 (-3.93%), 08 Feb 2013 (-2.87%), 22 Feb 2013 (-3.42%), 26 Feb 2013 (-1.9%), 28 Feb 2013 (8.19%), 09 Apr 2013 (0.66%), 23 May 2013 (-0.69%), 31 May 2013 (1.76%), 11 Jun 2013 (-0.14%), 20 Jun 2013 (-2.64%), 21 Jun 2013 (-2.93%), 26 Jun 2013 (2.98%), 17 Jul 2013 (-0.71%), 25 Jul 2013 (-3.82%), 29 Jul 2013 (-4.15%), 31 Jul 2013 (-5.06%), 01 Aug 2013 (-5.87%), 16 Aug 2013 (-5.9%), 21 Aug 2013 (-4.94%), 28 Aug 2013 (-4.84%), 03 Sep 2013 (15.17%), 17 Dec 2013 (-0.59%)
20121528 Mar 2012 (3.94%), 27 Apr 2012 (1.83%), 09 May 2012 (-4.6%), 10 May 2012 (-2.53%), 23 May 2012 (1.41%), 23 Jul 2012 (-3.07%), 26 Jul 2012 (-3.05%), 27 Jul 2012 (-0.94%), 06 Aug 2012 (-3.15%), 09 Aug 2012 (-2.9%), 27 Aug 2012 (-3.44%), 30 Aug 2012 (-0.28%), 30 Oct 2012 (-0.17%), 05 Nov 2012 (2.07%), 20 Nov 2012 (16.94%)
20111810 Jan 2011 (-3.33%), 14 Jan 2011 (-4.22%), 18 Jan 2011 (6.51%), 29 Apr 2011 (-2.87%), 03 May 2011 (-3.1%), 20 Jun 2011 (0.19%), 18 Aug 2011 (-3.29%), 19 Aug 2011 (-0.83%), 05 Oct 2011 (2.4%), 24 Oct 2011 (2.0%), 14 Nov 2011 (-3.6%), 15 Nov 2011 (-3.85%), 21 Nov 2011 (-3.69%), 23 Nov 2011 (1.22%), 12 Dec 2011 (-3.84%), 16 Dec 2011 (-4.01%), 19 Dec 2011 (-4.3%), 20 Dec 2011 (0.34%)
2010225 Feb 2010 (7.07%), 09 Dec 2010 (4.88%)
2009618 Feb 2009 (-3.86%), 20 Feb 2009 (-4.16%), 24 Feb 2009 (-4.86%), 26 Feb 2009 (-5.16%), 02 Mar 2009 (-4.87%), 06 Mar 2009 (16.97%)
20081721 Jan 2008 (-8.01%), 22 Jan 2008 (3.81%), 07 Mar 2008 (-1.57%), 17 Mar 2008 (-6.91%), 19 Mar 2008 (13.69%), 27 May 2008 (-0.23%), 02 Jun 2008 (-3.43%), 05 Jun 2008 (-3.89%), 09 Jun 2008 (-4.11%), 20 Jun 2008 (-4.27%), 23 Jun 2008 (-4.76%), 25 Jun 2008 (-5.06%), 30 Jun 2008 (-6.61%), 03 Jul 2008 (-1.71%), 15 Jul 2008 (12.59%), 24 Oct 2008 (-8.73%), 27 Oct 2008 (26.9%)
2007914 Feb 2007 (-2.14%), 05 Mar 2007 (1.15%), 02 Apr 2007 (13.56%), 08 Jun 2007 (0.25%), 27 Jul 2007 (-0.4%), 01 Aug 2007 (1.63%), 16 Aug 2007 (-4.53%), 17 Aug 2007 (-3.45%), 21 Aug 2007 (20.77%)
20061102 Feb 2006 (-1.25%), 20 Feb 2006 (-2.47%), 23 Feb 2006 (1.29%), 14 Mar 2006 (-3.35%), 22 Mar 2006 (-1.73%), 30 Mar 2006 (7.6%), 27 Apr 2006 (-3.64%), 19 May 2006 (-6.45%), 22 May 2006 (3.08%), 19 Jul 2006 (46.42%), 12 Dec 2006 (9.57%)
2005324 Aug 2005 (-2.57%), 21 Oct 2005 (1.27%), 28 Oct 2005 (7.54%)
2004622 Mar 2004 (23.56%), 14 May 2004 (-11.2%), 17 May 2004 (13.39%), 21 Jun 2004 (2.25%), 08 Jul 2004 (11.67%), 25 Oct 2004 (10.8%)



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