Study: Buy AXISBANK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy AXISBANK when 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
1-11849.3144202445.453867.1410440.63-3716.34-12557.431.040.87-0.012-269.3
2-6380.2544212347.735551.6220846.39-5346.28-25421.131.040.95-0.0042-145.01
310221.8844202445.456582.6524132.73-5059.63-28177.641.31.080.0061232.32
410665.0744232152.277489.123529.41-7694.48-26339.970.971.070.0056242.39
5-34315.1244242054.557256.9117112.3-10424.04-55075.450.70.84-0.014-779.89
65831.6544232152.278506.2826580.69-9038.71-32578.880.941.030.0026132.54
771410.6144251956.829159.6227398.55-8293.67-21410.581.11.450.0331622.97
811387044271761.369838.0123855.8-8926.86-20812.271.11.750.0512587.95
989069.9444251956.8211147.3827595.63-9979.72-29080.931.121.470.0342024.32
1098318.7144261859.0910627.8623529.41-9889.2-22921.911.071.550.042234.52
Although, strategy looks good but profit factor on day 5 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
atrnil37.6229705663214233.3330507.373513.88-8180.89-21142.813.731.860.0534715.17
atrnil25.115432963243938.119763.2749009.25-8204.86-21142.812.411.480.0372449.67
atrtrail34.6796083.0370274338.5713635.773513.88-6327.46-21142.812.161.350.0211372.61
atrtrail23.7464282.2270274338.5712457.949009.25-6327.46-21142.811.971.240.017918.32
atrtrail-15.37-14820.6370274338.579528.1657984.11-6327.46-21142.811.510.95-0.0042-211.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 2.36%, which is very good. Sharpe Ratio is 0.053, 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:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 May 2019 (-2.1%), 15 May 2019 (6.3%), 12 Jul 2019 (-2.21%), 18 Jul 2019 (-2.27%), 19 Jul 2019 (-2.37%), 24 Jul 2019 (-2.46%)
2018418 Sep 2018 (-3.19%), 21 Sep 2018 (-3.87%), 08 Oct 2018 (13.75%), 06 Dec 2018 (-2.72%)
2017108 Aug 2017 (-2.34%)
2016423 Sep 2016 (-3.05%), 27 Sep 2016 (-3.1%), 05 Oct 2016 (-3.1%), 13 Oct 2016 (-2.98%)
2015226 Mar 2015 (-3.61%), 20 Apr 2015 (11.02%)
2014216 Jun 2014 (9.22%), 25 Sep 2014 (8.02%)
2013926 Feb 2013 (-2.25%), 28 Feb 2013 (-2.62%), 18 Mar 2013 (-2.84%), 26 Mar 2013 (-2.92%), 04 Apr 2013 (-2.94%), 30 May 2013 (-2.75%), 04 Jun 2013 (-2.81%), 10 Jun 2013 (-3.05%), 11 Jun 2013 (-3.13%)
2010425 May 2010 (10.8%), 18 Nov 2010 (-3.27%), 19 Nov 2010 (-3.44%), 25 Nov 2010 (-3.84%)
2009129 Oct 2009 (11.62%)
2008107 Mar 2008 (-8.46%)
2007328 Feb 2007 (-7.15%), 10 Aug 2007 (-4.39%), 16 Aug 2007 (14.41%)
2006523 Feb 2006 (14.47%), 13 Apr 2006 (-5.34%), 23 May 2006 (-6.27%), 11 Dec 2006 (-4.13%), 12 Dec 2006 (14.06%)
2005117 May 2005 (12.57%)
2004416 Mar 2004 (15.65%), 10 May 2004 (-5.13%), 11 May 2004 (-5.45%), 14 May 2004 (-7.26%)
2003611 Feb 2003 (18.61%), 10 Mar 2003 (21.19%), 25 Aug 2003 (18.13%), 11 Sep 2003 (-5.8%), 16 Sep 2003 (20.12%), 03 Nov 2003 (14.92%)
2002222 Apr 2002 (14.58%), 21 May 2002 (18.13%)
2001231 Jan 2001 (-5.39%), 05 Feb 2001 (-5.57%)
2000507 Mar 2000 (-10.57%), 09 Mar 2000 (36.76%), 12 Jun 2000 (15.99%), 18 Sep 2000 (-4.06%), 22 Sep 2000 (-4.29%)
1999101 Nov 1999 (-7.3%)



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