Study: Buy AXISBANK when near 200 SMA and above 200 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy AXISBANK 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
1-71682.353223141.512922.0310058.32-4386.03-11030.140.670.47-0.066-1352.5
2-31922.7653252847.174227.1811733-4914.37-11891.280.860.77-0.023-602.32
3-39549.3453272650.943637.579011.32-5298.6-15539.570.690.71-0.029-746.21
4-5060.47522626505294.5412351.78-5489.17-25856.660.960.96-0.003-97.32
58779.6552292355.776224.9516643.01-7467.13-20318.530.831.050.0045168.84
631695.0452292355.777846.9520101.78-8515.94-21331.590.921.160.013609.52
716929.0852282453.858906.7526792.05-9685.83-30771.780.921.070.0058325.56
844800.752322061.547920.4928459.9-10432.75-27293.810.761.210.016861.55
938885.5752292355.779339.0835773.24-10084.69-29910.570.931.170.013747.8
1019181.5452282453.8510112.5639083.25-10998.76-38920.170.921.070.0058368.88
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
200trail-13.2754169.5677205725.9710704.2940598.97-2805.55-3872.813.821.340.018703.5
atrnil26.9152070.2553193435.8516445.729602.73-7658.76-18421.832.151.20.017982.46
atrtrail35.7443820.3362263641.9410194.0142387.09-6145.11-18421.831.661.20.014706.78
atrtrail25.0533130.5963273642.869420.5428258.06-6145.11-18421.831.531.150.012525.88
200trail21.8922384.7783295434.946234.187886.51-2933.45-3872.812.131.140.013269.7
200trail32.4221461.4778225628.218215.8511829.77-2844.42-3872.812.891.130.011275.15
atrnil310.4828867.2346113523.9126779.244404.09-7591.54-18421.833.531.110.0087627.55
200nil32.810188.1374195525.689699.8311829.77-3165.61-3985.453.061.060.0053137.68
200nil22.162441.7480265432.56659.727886.51-3161.32-3985.452.111.010.001430.52
atrtrail-16.49703.0661263542.628458.3939018.82-6263.29-18421.831.3510.0002411.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. 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 25.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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.
AXISBANK Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Jul 2019 (-1.83%), 11 Nov 2019 (-1.9%)
20181222 Feb 2018 (0.63%), 28 Feb 2018 (-1.46%), 13 Mar 2018 (-1.61%), 17 Apr 2018 (-1.76%), 03 May 2018 (-1.89%), 18 May 2018 (-1.63%), 24 May 2018 (0.62%), 08 Jun 2018 (-1.1%), 11 Jul 2018 (-1.23%), 17 Jul 2018 (-1.65%), 08 Oct 2018 (-1.15%), 22 Oct 2018 (-1.85%)
20171206 Mar 2017 (-1.56%), 09 Mar 2017 (-1.08%), 17 Mar 2017 (-1.16%), 11 Apr 2017 (-1.22%), 25 Apr 2017 (-1.66%), 26 May 2017 (-1.63%), 01 Jun 2017 (-0.6%), 12 Jun 2017 (-0.41%), 23 Jun 2017 (-1.7%), 17 Aug 2017 (0.8%), 07 Sep 2017 (3.33%), 05 Oct 2017 (3.21%)
2016322 Apr 2016 (-1.44%), 29 Apr 2016 (-1.28%), 03 May 2016 (-1.12%)
2014223 Jan 2014 (-1.24%), 21 Feb 2014 (16.98%)
2013505 Apr 2013 (-1.8%), 17 Jun 2013 (-1.45%), 28 Jun 2013 (-1.17%), 05 Dec 2013 (3.44%), 13 Dec 2013 (3.03%)
2012808 Feb 2012 (-1.76%), 10 Feb 2012 (12.29%), 27 Feb 2012 (3.06%), 28 Mar 2012 (-1.68%), 27 Apr 2012 (-0.1%), 02 May 2012 (-1.86%), 19 Jul 2012 (-1.6%), 02 Aug 2012 (-1.84%)
2011325 Mar 2011 (2.52%), 25 Apr 2011 (-1.47%), 25 Jul 2011 (-1.81%)
2010207 Dec 2010 (-1.2%), 31 Dec 2010 (-1.48%)
2008526 Mar 2008 (-1.45%), 08 May 2008 (-1.88%), 14 May 2008 (2.39%), 20 May 2008 (-1.58%), 21 May 2008 (-1.49%)
2006130 May 2006 (-1.94%)
2005314 Nov 2005 (0.57%), 21 Nov 2005 (-1.25%), 24 Nov 2005 (16.35%)
2004422 Jun 2004 (-1.29%), 07 Jul 2004 (-1.88%), 14 Jul 2004 (2.0%), 28 Jul 2004 (-1.39%)
2003310 Mar 2003 (-1.3%), 13 Mar 2003 (-1.56%), 31 Mar 2003 (8.95%)
2002921 Jan 2002 (1.73%), 01 Feb 2002 (20.3%), 29 Jul 2002 (-1.89%), 01 Aug 2002 (-1.59%), 07 Aug 2002 (2.41%), 02 Sep 2002 (-0.3%), 09 Sep 2002 (-0.58%), 27 Sep 2002 (-0.31%), 22 Nov 2002 (2.41%)
2001216 Feb 2001 (-1.35%), 21 Feb 2001 (-1.09%)
2000110 Oct 2000 (-1.46%)



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