Study: Sell BANKINDIA when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell BANKINDIA when there is Dead Cross (50 DMA < 200 DMA)" 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
1-15878.161551033.334023.3413831.04-3599.49-10715.51.120.56-0.042-1058.54
2-32526.281551033.335452.4617367.39-5978.86-15447.150.910.46-0.06-2168.42
3-17783.621569408449.2222161.1-7608.77-24685.141.110.74-0.023-1185.57
435867.031596609762.4526631.11-8665.84-18639.81.131.690.0422391.14
545661.99157846.6717021.2437328.09-9185.83-20654.911.851.620.043044.13
627659.115694020681.1441742.22-10714.19-21158.691.931.290.0211843.94
729913.75157846.6718226.3543379.17-12208.84-24685.141.491.310.0221994.25
838105.58157846.6716158.2246522.59-9375.25-18876.661.721.510.0292540.37
924672.16157846.6714453.7450530.45-9563-17602.781.511.320.021644.81
1034773.991510566.679922.7539449.9-12890.7-35772.360.771.540.032318.27
Although, strategy looks good but profit factor on day 2 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
atrtrail-17.9492638.41771041.1823585.6640172.3-7246.12-10825.483.252.280.0625449.32
atrtrail36.5351840.441771041.1817757.3838088.33-7246.12-10825.482.451.720.0433049.44
atrtrail25.5928412.171771041.1814410.4934645.28-7246.12-10825.481.991.390.0281671.3
atrnil28.9428219.111761135.2921094.4334645.28-8940.68-11959.352.361.290.0231659.95
atrnil311.82-1413.161741323.5330040.848012.72-9352.03-17322.643.210.99-0.00099-83.13

In the table above, row 1 shows the best exit criterion. Profit factor is 2.28. 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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 2.72%, which is very good. Sharpe Ratio is 0.062, 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:2.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Jun 2019 (-4.16%)
2018126 Feb 2018 (20.09%)
2015119 Feb 2015 (1.0%)
2013117 Jun 2013 (17.61%)
2012128 Jun 2012 (18.78%)
2011228 Feb 2011 (-4.8%), 01 Mar 2011 (2.16%)
2010115 Mar 2010 (3.87%)
2008123 Apr 2008 (-5.29%)
2006121 Jun 2006 (19.04%)
2004129 Jun 2004 (-4.73%)
2002104 Nov 2002 (-2.31%)
2001117 May 2001 (-5.41%)
1999305 Oct 1999 (-3.86%), 06 Oct 1999 (-3.86%), 26 Nov 1999 (-0.72%)
1998129 Jun 1998 (-1.09%)



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