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

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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 and RSI is below 50" 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
126495.261712570.594035.219206.29-4385.46-11034.480.922.210.0711558.54
2-2343.35179852.945392.0210992.62-6358.94-11993.590.850.95-0.0044-137.84
316765.47179852.947835.8214810.81-6719.61-11522.761.171.310.026986.2
419315.22179852.947656.8814162.16-6199.59-10734.721.241.390.031136.19
524414.211711664.715716.0912864.86-6410.46-9952.90.891.630.0451436.13
635775.121711664.717933.2622936.83-8581.8-14599.690.921.690.0462104.42
759889.441712570.5910485.0731632.49-13186.28-240000.81.910.0563522.91
870857.921712570.5912762.3827366.69-16458.13-400000.781.860.0564168.11
972220.061710758.8215157.4231960.62-11336.31-280001.341.910.0584248.24
1064322.62179852.9418231.6633962.26-12470.29-250001.461.640.0473783.68

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.21. 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 70.59%, which is good. 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 0.071, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BANKINDIA Performance, X=1, Profit Factor:2.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (-0.66%)
2016206 Apr 2016 (2.21%), 29 Apr 2016 (2.59%)
2012216 Jul 2012 (1.24%), 02 Nov 2012 (1.34%)
2011425 Feb 2011 (-0.61%), 21 Mar 2011 (-1.98%), 08 Jul 2011 (1.15%), 26 Oct 2011 (-2.2%)
2010107 May 2010 (3.82%)
2009112 Jan 2009 (4.6%)
2008327 May 2008 (0.95%), 18 Aug 2008 (1.0%), 26 Sep 2008 (1.9%)
1999319 Jan 1999 (-5.52%), 18 Mar 1999 (1.4%), 27 May 1999 (2.0%)

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
50nil21.3556270.842315865.225381.956855.9-3057.31-3879.071.763.30.132446.56
50trail21.3556270.842315865.225381.956855.9-3057.31-3879.071.763.30.132446.56
50trail31.9149261.8123131056.526101.99937.31-3006.29-3879.072.032.640.0892141.82
nilnil-1126495.261712570.594035.219206.29-4385.46-11034.480.922.210.0711558.54
50nil3237582.8723101343.487680.459937.31-3017.05-3879.072.551.960.0641634.04
50trail-13.4526781.7522101245.455737.4319674.21-2549.38-3655.172.251.880.0461217.35
atrnil25.5544233.98209114517512.3626286.53-10307.02-17518.211.71.390.0322211.7
atrtrail24.1515698.01208124012746.8524030.82-7189.73-13331.511.771.180.015784.9
atrnil310.7524170.37206143027044.1539429.79-9863.89-17518.212.741.180.0141208.52
atrtrail-16.351262.7208124010942.4431844.09-7189.73-13331.511.521.010.001263.14
atrtrail35.65-14425.420812408981.4316155.99-7189.73-13331.511.250.83-0.017-721.27

In the table above, row 1 shows the best exit criterion. Profit factor is 3.3. Strategy is very good and impressively bearish. Percentage of profitable trades is 65.22%, which is good. Average return per trade is 1.22%, which is not very high, 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:3.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Sep 2018 (-1.74%)
2016206 Apr 2016 (2.57%), 29 Apr 2016 (2.19%)
2012316 Jul 2012 (3.25%), 02 Nov 2012 (2.37%), 09 Nov 2012 (3.3%)
2011425 Feb 2011 (-1.46%), 21 Mar 2011 (-1.39%), 08 Jul 2011 (3.08%), 26 Oct 2011 (-1.28%)
2010107 May 2010 (3.31%)
2009112 Jan 2009 (2.39%)
2008727 May 2008 (3.31%), 18 Aug 2008 (2.04%), 20 Aug 2008 (2.11%), 22 Aug 2008 (-1.94%), 25 Aug 2008 (2.2%), 26 Sep 2008 (3.43%), 13 Oct 2008 (-1.29%)
1999419 Jan 1999 (-1.83%), 27 Jan 1999 (2.82%), 18 Mar 1999 (-1.31%), 27 May 1999 (2.0%)



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