Study: Buy ANDHRABANK when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ANDHRABANK when near 200 SMA and above 200 SMA and ADX is Trending" 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
122989.591610662.56186.2914196.24-6478.88-17653.170.951.590.0441436.85
219789.371611568.755848.7112700.37-8909.3-27414.330.661.440.0311236.84
338582.171610662.58002.1413810.11-6906.54-21391.481.161.930.0662411.39
441483.4216124755919.1717812.76-7386.65-12461.060.82.40.0862592.71
533481.6216124755089.3316652.86-6897.58-10799.580.742.210.0762092.6
622966.0516124754112.48261.41-6595.7-8670.520.621.870.0671435.38
711167.021688505841.5712667.05-4445.69-7684.321.311.310.026697.94
8314.771688505651.5912330.46-5612.25-9345.791.011.010.0007219.67
91441.751610662.56164.7317509.25-10034.26-19104.160.611.020.002390.11
10-184.441688507423.5516399.51-7446.6-17916.5311-0.0003-11.53
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
ANDHRABANK Performance, X=4, Profit Factor:2.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017320 Feb 2017 (0.37%), 07 Mar 2017 (-1.0%), 11 Jul 2017 (1.24%)
2014128 Aug 2014 (1.81%)
2013124 Jan 2013 (2.68%)
2012313 Feb 2012 (8.91%), 06 Jun 2012 (3.9%), 20 Sep 2012 (2.31%)
2010128 Dec 2010 (1.8%)
2008129 Jan 2008 (2.91%)
2007424 Apr 2007 (-2.92%), 23 May 2007 (4.12%), 26 Jul 2007 (-4.62%), 17 Oct 2007 (0.23%)
2006113 Dec 2006 (5.24%)
2004127 May 2004 (-6.23%)

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
200trail3231264.4520911457115.5711940.35-2979.61-3944.222.391.950.0671563.22
200nil32.235080.1120812409092.4911940.35-3138.32-3944.222.91.930.0691754.01
atrnil27.3935178.5418995014758.6418821.83-10849.92-20858.691.361.360.0351954.36
200trail21.8510360.2920911454792.887960.23-2979.61-3944.221.611.320.029518.01
200nil21.9510833.4720812406061.667960.23-3138.32-3944.221.931.290.028541.67
atrtrail24.410536.28201010508821.3616130.47-7767.74-20858.691.141.140.013526.81
200trail-13.053243.991981142.114502.468662.8-2979.61-3944.221.511.10.0099170.74
atrnil312.93-19115.221541126.6723282.3428232.74-10204.05-20858.692.280.83-0.02-1274.35
atrtrail34.75-20822.34201010505685.521637.02-7767.74-20858.690.730.73-0.029-1041.12
atrtrail-14.85-32738.58201010504493.889830.52-7767.74-20858.690.580.58-0.052-1636.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.067, 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:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017420 Feb 2017 (3.41%), 27 Feb 2017 (4.09%), 06 Mar 2017 (-0.82%), 11 Jul 2017 (0.05%)
2014228 Aug 2014 (5.2%), 09 Sep 2014 (-1.15%)
2013224 Jan 2013 (-1.02%), 01 Feb 2013 (-1.73%)
2012313 Feb 2012 (5.97%), 06 Jun 2012 (-1.56%), 20 Sep 2012 (3.29%)
2010128 Dec 2010 (0.61%)
2008129 Jan 2008 (-1.6%)
2007524 Apr 2007 (-1.89%), 23 May 2007 (5.33%), 04 Jun 2007 (-1.63%), 26 Jul 2007 (-1.82%), 17 Oct 2007 (-1.97%)
2006113 Dec 2006 (4.06%)
2004127 May 2004 (-1.22%)



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