Study: Sell BANKINDIA when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell BANKINDIA when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BANKINDIA 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
14608.8734221264.714021.8211756.37-6989.26-12371.130.581.050.0047135.56
217049.2834181652.946538.3611881.19-6290.07-13402.061.041.170.015501.45
334284.8634181652.948230.3516297.79-7116.34-15463.921.161.30.0241008.38
416363.31341717509101.7421671.39-8139.19-22680.411.121.120.01481.27
525106.4834201458.828880.0126912.18-10892.41-21467.230.821.160.014738.43
620674.6834201458.8210283.924645.89-13214.52-23752.250.781.110.0098608.08
749499.3234201458.8213012.5931632.49-15053.75-32673.270.861.230.0191455.86
863960.4734211361.761377131444.76-17325.42-400000.791.280.0231881.19
992536.0634201458.8214135.5531960.62-13583.92-280001.041.490.0372721.65
1013554334191555.8816955.9533962.26-12441.36-250001.361.730.0513986.55
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
50trail-13.134604.342142833.337646.2926182.72-2587.28-3817.582.961.480.027823.91
50trail21.3530647.2143192444.195102.996855.9-2762.9-3879.071.851.460.037712.73
50nil21.4232480.6843192444.195409.356855.9-2929.04-3879.071.851.460.038755.36
50trail31.7431730.5843172639.536096.749937.31-2765.92-3879.072.21.440.032737.92
atrtrail24.2245197.1637152240.5413199.1424030.82-6944.99-13331.511.91.30.0241221.54
50nil31.8624816.8543142932.567848.359937.31-2933.11-3879.072.681.290.024577.14
atrnil39.4752713.5836112530.5626313.0739429.79-9469.21-17678.072.781.220.0181464.27
atrnil25.5945517.2537152240.5417168.6826286.53-9636.95-17678.071.781.210.0191230.2
atrtrail35.4917338.4437152240.5411341.8928489.15-6944.99-13331.511.631.110.0095468.61
atrtrail-16.2210795.7136142238.8911684.6931844.09-6944.99-13331.511.681.070.0058299.88

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. Strategy is showing mildly bearish 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 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
BANKINDIA Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Sep 2019 (13.09%)
2018225 May 2018 (-1.33%), 11 Sep 2018 (-1.74%)
2016306 Apr 2016 (0.36%), 29 Apr 2016 (5.01%), 10 Jun 2016 (0.02%)
2015122 Apr 2015 (-1.02%)
2013101 Oct 2013 (-1.1%)
2012416 Jul 2012 (9.84%), 20 Sep 2012 (-1.46%), 02 Nov 2012 (0.21%), 09 Nov 2012 (4.35%)
2011525 Feb 2011 (-1.46%), 21 Mar 2011 (-1.39%), 08 Jul 2011 (0.69%), 11 Oct 2011 (-1.4%), 26 Oct 2011 (-1.28%)
2010230 Mar 2010 (-1.6%), 07 May 2010 (1.86%)
2009112 Jan 2009 (2.46%)
2008827 May 2008 (-1.66%), 18 Aug 2008 (-1.02%), 20 Aug 2008 (-0.69%), 25 Aug 2008 (0.28%), 26 Sep 2008 (-1.15%), 13 Oct 2008 (-1.29%), 07 Nov 2008 (-1.91%), 12 Nov 2008 (-1.55%)
2004326 Jul 2004 (-1.21%), 05 Aug 2004 (-1.0%), 10 Sep 2004 (-0.14%)
2000204 Jan 2000 (4.22%), 31 Oct 2000 (-1.45%)
1999819 Jan 1999 (-1.83%), 27 Jan 1999 (3.63%), 18 Mar 1999 (-1.31%), 10 May 1999 (-1.26%), 11 May 1999 (-1.83%), 13 May 1999 (-1.27%), 27 May 1999 (-0.5%), 03 Dec 1999 (-1.39%)
1998109 Sep 1998 (7.5%)



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