Study: Buy BANKINDIA when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BANKINDIA when near 200 SMA and 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 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. 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
165587.2451282354.95723.5620270.27-4116.19-10363.251.391.690.0431286.02
257600.6251312060.784999.7716216.22-4869.61-15094.341.031.590.041129.42
364873.9551302158.826080.2218112.73-5596.79-20476.861.091.550.0351272.04
441619.4551292256.867417.7522119.82-7886.15-19601.040.941.240.018816.07
574887.6351312060.7810015.3728110.6-11779.44-320000.851.320.0241468.38
661220.5851292256.8612054.5228309.06-13107.3-328000.921.210.0171200.4
755987.1951302158.8212456.537433.59-15128.95-34259.260.821.180.0141097.79
846214.5251282354.913367.7646587.66-14264.47-40081.030.941.140.011906.17
996214.4251292256.8614677.8946097.26-14974.75-36029.30.981.290.0221886.56
1044490.4951302158.8214637.9345443.4-18792.74-40392.710.781.110.0095872.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.69. 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 54.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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
nilnil-1165587.2451282354.95723.5620270.27-4116.19-10363.251.391.690.0431286.02
atrtrail35.0617998165283743.0815891.5542661.39-7161.7-14124.322.221.680.0432768.93
200trail31.7575997.8275255033.338363.0711976.77-2661.58-3915.993.141.570.0391013.3
atrtrail24.1514719165283743.0814720.528440.92-7161.7-14124.322.061.560.0392264.48
200nil31.8377180.5475255033.338781.1811976.77-2846.98-3915.993.081.540.0391029.07
200trail-12.9771628.9675205526.6710618.4227700-2558.9-3915.994.151.510.029955.05
atrtrail-1693408.9364273742.1913147.1840250.1-7069.32-14124.321.861.360.0261459.51
atrnil25.410307357253243.8617395.1728440.92-10368.94-21342.71.681.310.0271808.3
200trail21.4729772.5477294837.665555.887984.52-2736.42-3915.992.031.230.02386.66
200nil21.5230411.7777294837.665794.527984.52-2867.28-3915.992.021.220.02394.96
atrnil39.44-52618.785013372625370.542661.39-10336.09-21342.72.450.86-0.014-1052.38

In the table above, row 1 shows the best exit criterion. Profit factor is 1.69. 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 54.9%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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, X=1, Profit Factor:1.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Feb 2019 (-2.47%), 05 Mar 2019 (-1.05%), 01 Jul 2019 (-0.55%)
2018118 Jan 2018 (2.77%)
2017106 Oct 2017 (-1.69%)
2016322 Jul 2016 (3.39%), 11 Aug 2016 (10.14%), 29 Dec 2016 (1.8%)
2015129 Jan 2015 (-5.18%)
2014214 Jan 2014 (4.11%), 22 Mar 2014 (1.51%)
2013301 Mar 2013 (-2.74%), 15 Apr 2013 (1.8%), 27 Dec 2013 (-0.25%)
2012606 Mar 2012 (-0.58%), 28 Mar 2012 (0.22%), 07 May 2012 (-2.59%), 01 Jun 2012 (-0.06%), 19 Jun 2012 (2.12%), 13 Jul 2012 (-1.21%)
2011313 Jan 2011 (-2.46%), 22 Feb 2011 (2.69%), 17 Mar 2011 (-3.07%)
2010304 Feb 2010 (-3.94%), 06 Apr 2010 (2.99%), 05 Jul 2010 (2.55%)
2009116 Apr 2009 (2.98%)
2008309 Apr 2008 (0.48%), 26 May 2008 (-5.02%), 26 Dec 2008 (3.73%)
2007206 Mar 2007 (-4.31%), 04 Apr 2007 (2.41%)
2006125 Apr 2006 (1.1%)
2005219 Oct 2005 (-2.45%), 30 Nov 2005 (0.45%)
2004216 Mar 2004 (1.39%), 20 May 2004 (5.18%)
2003110 Mar 2003 (0.0%)
2002309 Jan 2002 (0.33%), 20 Sep 2002 (0.0%), 18 Oct 2002 (1.15%)
2001326 Mar 2001 (-1.2%), 18 May 2001 (7.29%), 18 Sep 2001 (3.04%)
1999507 Jun 1999 (7.14%), 06 Jul 1999 (0.69%), 31 Aug 1999 (4.24%), 24 Sep 1999 (-1.65%), 22 Dec 1999 (-0.95%)
1998228 Apr 1998 (-3.91%), 21 May 1998 (2.44%)



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