Study: Buy BANKINDIA when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy BANKINDIA when below 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
1-89359.13115556047.835252.3629288.7-6303.99-27845.880.830.76-0.021-777.04
2160.95115565948.76544.4128451.88-6208.91-27455.71.0513.4e-051.4
3-58975.82115556047.837213.1938703.34-7595.02-28462.040.950.87-0.011-512.83
4-27887.24115556047.838153.3240667.98-7938.66-31987.411.030.94-0.0049-242.5
5-107186115516444.351008248133.6-9708.88-28106.641.040.83-0.016-932.05
6-59680.34115536246.0911673.8750373.44-10941.86-26882.431.070.91-0.0077-518.96
7-48632.77115595651.311578.449875.52-13067.11-39983.830.890.93-0.0057-422.89
85700.3115526345.2214752.7584743.2-12086.39-41092.471.221.010.0005849.57
9-27379.22115476840.8717642.2191465.26-12596.51-41342.381.40.97-0.0025-238.08
10-98259.91114456939.4718775.0873489.43-13668.68-42127.811.370.9-0.009-861.93
Although, strategy looks good but profit factor on day 1 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-15.662068572297315631.8818811.05124217-7476.6-20894.252.521.180.011903.31
atrnil38.5654552.941864713925.2731756.7870080.93-10345.44-26191.13.071.040.0032293.3
atrtrail34.84-24515.282297315631.8815641.5746375.97-7476.6-20894.252.090.98-0.0017-107.05
atrnil26.19-67028.621946013430.9321604.251707.03-10173.73-26191.12.120.95-0.0047-345.51
atrtrail24.24-57984.962297415532.3114955.8451707.03-7514.3-20894.251.990.95-0.0043-253.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 31.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191528 Jan 2019 (-4.41%), 11 Feb 2019 (-6.42%), 18 Feb 2019 (22.96%), 30 Apr 2019 (-2.15%), 07 May 2019 (-2.81%), 13 May 2019 (-1.5%), 19 Jun 2019 (10.24%), 19 Jul 2019 (-3.71%), 24 Jul 2019 (-4.52%), 30 Jul 2019 (-2.98%), 02 Aug 2019 (-4.94%), 07 Aug 2019 (-1.0%), 21 Aug 2019 (-4.97%), 22 Aug 2019 (5.76%), 01 Oct 2019 (-4.46%)
20182216 Jan 2018 (1.14%), 01 Feb 2018 (-4.54%), 02 Feb 2018 (-4.74%), 06 Feb 2018 (-3.2%), 14 Feb 2018 (-5.39%), 19 Feb 2018 (-2.41%), 27 Feb 2018 (-5.94%), 05 Mar 2018 (-5.99%), 06 Mar 2018 (-6.71%), 12 Mar 2018 (2.22%), 25 Apr 2018 (2.16%), 16 May 2018 (8.46%), 25 Jun 2018 (-3.76%), 27 Jun 2018 (-4.11%), 28 Jun 2018 (2.32%), 13 Jul 2018 (-4.28%), 16 Jul 2018 (0.86%), 21 Sep 2018 (-5.03%), 27 Sep 2018 (-5.42%), 28 Sep 2018 (-1.38%), 09 Oct 2018 (0.5%), 07 Dec 2018 (31.94%)
2017227 Sep 2017 (-0.69%), 11 Oct 2017 (36.93%)
20161307 Jan 2016 (-2.03%), 12 Jan 2016 (-3.07%), 13 Jan 2016 (-3.44%), 14 Jan 2016 (-3.61%), 15 Jan 2016 (-3.95%), 18 Jan 2016 (4.64%), 11 Feb 2016 (-5.82%), 07 Apr 2016 (3.45%), 02 May 2016 (-3.74%), 04 May 2016 (0.41%), 16 May 2016 (-0.9%), 20 May 2016 (3.11%), 26 Dec 2016 (9.19%)
20152730 Jan 2015 (-1.08%), 03 Feb 2015 (-4.18%), 05 Feb 2015 (-4.37%), 09 Feb 2015 (-1.13%), 12 Feb 2015 (0.16%), 26 Feb 2015 (3.57%), 10 Mar 2015 (-3.45%), 20 Mar 2015 (-4.07%), 24 Mar 2015 (-4.06%), 26 Mar 2015 (11.59%), 07 May 2015 (-4.32%), 08 May 2015 (2.73%), 02 Jun 2015 (-3.95%), 04 Jun 2015 (-4.48%), 08 Jun 2015 (2.29%), 27 Jul 2015 (-3.52%), 28 Jul 2015 (-4.02%), 29 Jul 2015 (11.38%), 24 Aug 2015 (-5.32%), 02 Sep 2015 (4.18%), 30 Oct 2015 (-0.9%), 13 Nov 2015 (-1.36%), 18 Nov 2015 (-2.54%), 24 Nov 2015 (2.03%), 04 Dec 2015 (-3.05%), 08 Dec 2015 (-3.25%), 11 Dec 2015 (-0.37%)
2014727 Jan 2014 (-4.79%), 30 Jan 2014 (-2.67%), 12 Feb 2014 (-4.82%), 13 Feb 2014 (-3.37%), 20 Feb 2014 (17.52%), 25 Sep 2014 (-2.37%), 30 Sep 2014 (22.49%)
20131704 Mar 2013 (0.36%), 20 Mar 2013 (-4.48%), 21 Mar 2013 (7.06%), 23 May 2013 (-3.79%), 29 May 2013 (-3.3%), 31 May 2013 (-1.47%), 13 Jun 2013 (-2.12%), 20 Jun 2013 (-3.76%), 21 Jun 2013 (-4.38%), 24 Jun 2013 (1.02%), 17 Jul 2013 (-2.71%), 24 Jul 2013 (-5.24%), 26 Jul 2013 (-5.69%), 02 Aug 2013 (-0.3%), 16 Aug 2013 (-7.12%), 20 Aug 2013 (-7.48%), 27 Aug 2013 (-2.33%)
20121225 Apr 2012 (-3.91%), 09 May 2012 (-2.27%), 16 May 2012 (3.66%), 26 Jul 2012 (-3.06%), 27 Jul 2012 (-1.08%), 06 Aug 2012 (-2.95%), 09 Aug 2012 (-3.33%), 27 Aug 2012 (-3.12%), 29 Aug 2012 (-2.01%), 26 Oct 2012 (-3.13%), 29 Oct 2012 (0.95%), 20 Nov 2012 (34.82%)
20111714 Jan 2011 (7.51%), 08 Feb 2011 (-4.69%), 09 Feb 2011 (8.31%), 29 Apr 2011 (-2.99%), 02 May 2011 (-3.79%), 03 May 2011 (2.58%), 26 Jul 2011 (-0.43%), 02 Aug 2011 (-2.9%), 03 Aug 2011 (-2.98%), 08 Aug 2011 (-3.47%), 12 Aug 2011 (-3.77%), 16 Aug 2011 (-4.2%), 22 Aug 2011 (-0.24%), 26 Aug 2011 (7.46%), 19 Dec 2011 (-4.72%), 20 Dec 2011 (3.27%), 29 Dec 2011 (25.89%)
2010805 Feb 2010 (-1.18%), 15 Feb 2010 (-0.73%), 23 Feb 2010 (4.05%), 22 Mar 2010 (14.11%), 07 May 2010 (-3.75%), 10 May 2010 (-3.47%), 19 May 2010 (-2.17%), 25 May 2010 (2.17%)
2009713 Jan 2009 (-3.04%), 21 Jan 2009 (-3.69%), 23 Jan 2009 (1.86%), 17 Feb 2009 (-5.73%), 03 Mar 2009 (-5.53%), 05 Mar 2009 (-6.04%), 09 Mar 2009 (22.29%)
20081005 Mar 2008 (-8.8%), 07 Mar 2008 (-5.16%), 19 Mar 2008 (5.16%), 27 May 2008 (-5.71%), 29 May 2008 (-3.71%), 04 Jun 2008 (-7.2%), 20 Jun 2008 (-7.85%), 23 Jun 2008 (0.83%), 01 Jul 2008 (18.94%), 24 Oct 2008 (-9.78%)
2007207 Mar 2007 (0.08%), 14 Mar 2007 (18.14%)
2006827 Apr 2006 (-3.86%), 22 May 2006 (-1.55%), 02 Jun 2006 (-5.57%), 07 Jun 2006 (-7.91%), 08 Jun 2006 (3.92%), 13 Jul 2006 (-5.71%), 17 Jul 2006 (-6.42%), 19 Jul 2006 (62.11%)
2005220 Oct 2005 (-2.48%), 27 Oct 2005 (13.92%)
2004922 Mar 2004 (25.41%), 14 May 2004 (-10.45%), 17 May 2004 (18.63%), 23 Jun 2004 (-2.42%), 08 Jul 2004 (-5.62%), 11 Aug 2004 (-3.84%), 19 Aug 2004 (-3.01%), 23 Aug 2004 (8.26%), 29 Oct 2004 (-3.33%)
2001413 Mar 2001 (0.75%), 02 Apr 2001 (7.66%), 17 Sep 2001 (4.64%), 24 Dec 2001 (-0.82%)
20001814 Jan 2000 (-2.48%), 31 Jan 2000 (-2.76%), 07 Feb 2000 (-2.8%), 18 Feb 2000 (-2.9%), 07 Mar 2000 (-5.83%), 10 Mar 2000 (-5.75%), 21 Mar 2000 (-4.26%), 04 Apr 2000 (3.09%), 08 May 2000 (-5.39%), 10 May 2000 (-5.58%), 22 May 2000 (-2.78%), 01 Jun 2000 (3.26%), 18 Jul 2000 (-3.54%), 25 Jul 2000 (-3.0%), 08 Aug 2000 (-5.27%), 22 Aug 2000 (4.52%), 29 Sep 2000 (-1.03%), 06 Oct 2000 (13.18%)
19991002 Feb 1999 (-1.28%), 08 Feb 1999 (-1.63%), 16 Feb 1999 (27.45%), 06 Apr 1999 (-3.47%), 26 Apr 1999 (11.19%), 02 Aug 1999 (-2.3%), 13 Aug 1999 (7.03%), 27 Sep 1999 (-3.52%), 05 Oct 1999 (8.02%), 19 Nov 1999 (5.79%)
19981912 May 1998 (-7.64%), 05 Jun 1998 (-6.69%), 08 Jun 1998 (-2.89%), 15 Jun 1998 (-7.62%), 16 Jun 1998 (4.67%), 23 Jun 1998 (0.88%), 28 Jul 1998 (-0.02%), 11 Aug 1998 (-2.04%), 18 Aug 1998 (-0.13%), 28 Aug 1998 (-3.43%), 01 Sep 1998 (9.8%), 05 Oct 1998 (-1.55%), 09 Oct 1998 (-4.27%), 12 Oct 1998 (1.15%), 30 Oct 1998 (-6.09%), 03 Nov 1998 (8.87%), 04 Dec 1998 (-1.14%), 15 Dec 1998 (-2.94%), 17 Dec 1998 (17.65%)



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