Study: Buy BANKINDIA when RSI is above 50 and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy BANKINDIA when RSI is above 50 and there is Golden 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: 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
1-6350.43145935.714024.1312371.13-2941.23-8641.981.370.76-0.021-453.6
2-38065.4146842.862915.397560.14-6944.72-17522.480.420.31-0.091-2718.96
3-53410.881441028.579068.9212646.05-8968.66-22485.211.010.4-0.084-3815.06
4-49379.16145935.7110216.3621168.38-11162.33-21893.490.920.51-0.061-3527.08
5-40156.09146842.8614160.3936277.6-15639.8-27218.930.910.68-0.036-2868.29
6-51159.67146842.8613853.0825552.05-16784.77-33136.090.830.62-0.045-3654.26
7-38258.3914775011896.9435962.15-17362.43-28402.370.690.69-0.034-2732.74
8-32547.22146842.8615921.8137539.43-16009.76-29015.540.990.75-0.027-2324.8
9-41523.8414775013965.7234700.32-19897.7-29844.560.70.7-0.032-2965.99
10-35658.9314775015840.7641640.38-20934.89-38756.480.760.76-0.026-2547.07

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.

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
atrnil35.214242.931551033.3322023.7326784.16-9587.57-13352.472.31.150.013949.53
atrnil24.27-22463.291551033.3314682.4917856.11-9587.57-13352.471.530.77-0.027-1497.55
nilnil-11-6350.43145935.714024.1312371.13-2941.23-8641.981.370.76-0.021-453.6
atrtrail34.07-24247.371541126.6716496.7226784.16-8203.11-13352.472.010.73-0.029-1616.49
atrtrail-14.73-36935.31541126.6713324.7427878.92-8203.11-13352.471.620.59-0.048-2462.35
atrtrail23.73-44281.231541126.6711488.2517856.11-8203.11-13352.471.40.51-0.066-2952.08

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019118 Jan 2019 (-3.46%)
2016116 Aug 2016 (12.32%)
2014121 Apr 2014 (12.69%)
2013117 Jan 2013 (-2.77%)
2010105 Aug 2010 (7.59%)
2009104 Jun 2009 (-5.8%)
2006120 Sep 2006 (-4.16%)
2004125 Nov 2004 (13.39%)
2002106 Dec 2002 (9.07%)
2001204 Jan 2001 (-6.31%), 15 Jun 2001 (-5.18%)
1999314 Jul 1999 (-4.54%), 15 Jul 1999 (-4.94%), 13 Oct 1999 (-4.11%)
1998122 May 1998 (-6.68%)



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