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

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In this study, we evaluate the performance of strategy "Sell BANKINDIA when near 200 SMA and below 200 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
134546.83281414505797.2115296.99-3329.58-8623.641.741.740.0441233.82
241817.6628151353.577855.3623270.95-5847.14-20840.21.341.550.0341493.49
323144.0728151353.578900.4220667.21-8489.41-28253.711.051.210.016826.57
4-17272.642814145012657.2336643.23-13890.99-39291.60.910.91-0.0076-616.88
5-36132.882814145012833.4931546.57-15414.41-48517.30.830.83-0.015-1290.46
6-67726.9828131546.4312713.1439806.68-15533.19-48023.060.820.71-0.028-2418.82
7-44447.9128131546.4312953.0737961.34-14189.19-47364.090.910.79-0.019-1587.43
8-67537.2128121642.8614242.1338224.96-14902.68-51153.210.960.72-0.027-2412.04
9-74714.212814145014487.6240333.92-19824.35-51400.330.730.73-0.027-2668.36
10-61493.682814145015424.6138796.13-19817.02-40589.770.780.78-0.022-2196.2

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.74. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, which is low, don't trade solely on the basis of this study.

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-12.5268251.7542113126.1913960.1835542.18-2751.94-3915.015.071.80.0391625.04
nilnil-1134546.83281414505797.2115296.99-3329.58-8623.641.741.740.0441233.82
atrtrail-16.4769412.7732131940.6216096.5349303.42-7360.11-10488.712.191.50.032169.15
atrtrail24.3444634.0932131940.6214190.4838228.52-7360.11-10488.711.931.320.0241394.82
200nil31.5726372.2342123028.579391.5911890.24-2877.56-3915.013.261.310.024627.91
200trail31.520103.9142123028.578617.8411890.24-2777.01-3915.013.11.240.019478.66
atrnil25.7729773.3331102132.2621878.3638228.52-9000.49-16206.352.431.160.013960.43
atrtrail35.165290.7532131940.6211164.0724883.39-7360.11-10488.711.521.040.0034165.34
200nil21.31843.5743142932.566157.247926.83-2908.89-3915.012.121.020.002142.87
200trail21.31843.5743142932.566157.247926.83-2908.89-3915.012.121.020.002142.87
atrnil310-1028562842414.2930006.7856255.73-9286.81-19114.263.230.54-0.051-3673.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 26.19%, which is not acceptable. Avoid this strategy. Average return per trade is 0.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Feb 2019 (-1.33%), 07 Feb 2019 (10.69%), 06 Jun 2019 (-1.11%)
2017327 Sep 2017 (-1.96%), 05 Oct 2017 (-1.5%), 09 Oct 2017 (1.94%)
2016227 Dec 2016 (-1.39%), 28 Dec 2016 (-1.92%)
2014324 Jan 2014 (17.77%), 26 Sep 2014 (5.15%), 16 Oct 2014 (-1.42%)
2013506 Mar 2013 (-1.06%), 07 Mar 2013 (-1.28%), 13 Mar 2013 (-1.55%), 19 Mar 2013 (4.23%), 23 May 2013 (1.18%)
2012307 Mar 2012 (-1.0%), 25 Apr 2012 (-0.15%), 16 Jul 2012 (9.84%)
2011307 Feb 2011 (3.4%), 14 Feb 2011 (-1.86%), 25 Feb 2011 (-1.36%)
2007109 Mar 2007 (-1.37%)
2006128 Apr 2006 (-1.71%)
2005206 Dec 2005 (-1.52%), 08 Dec 2005 (-1.16%)
2004229 Mar 2004 (-1.25%), 27 May 2004 (7.3%)
2002403 Jan 2002 (-1.45%), 11 Jan 2002 (-1.15%), 23 Oct 2002 (-1.48%), 24 Oct 2002 (-1.5%)
2001727 Mar 2001 (-1.62%), 29 Mar 2001 (11.73%), 19 Apr 2001 (-1.52%), 25 Apr 2001 (3.55%), 20 Sep 2001 (-1.0%), 15 Oct 2001 (-1.62%), 24 Dec 2001 (-1.66%)
1999321 Sep 1999 (-1.14%), 23 Sep 1999 (-1.16%), 18 Oct 1999 (-1.45%)



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