Study: Buy BANKINDIA when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy BANKINDIA when 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
1-42704.4348173135.427351.7227906.98-5409.15-18430.031.360.75-0.022-889.68
2-17.4348212743.7510103.7136899.56-7859.09-36860.071.291-6.1e-06-0.36
330823.348212743.7511202.334377.85-7571.3-27635.191.481.150.011642.15
467549.7548183037.514438.340659.34-6411.32-26246.972.251.350.0211407.29
558082.0348232547.9212397.0549781.66-9082-23587.411.371.260.0171210.04
638065.5248202841.6716836.4659170.31-10666.56-27893.461.581.130.0097793.03
714138.7748212743.7515481.248253.28-11517.28-34259.261.341.050.0036294.56
859098.0648232547.9215826.5442358.08-12196.49-33252.621.31.190.0151231.21
966750.884824245015638.6349781.66-12857.35-36481.031.221.220.0161390.64
1032775.4948232547.9215801.4152838.43-13226.28-46263.121.191.10.0074682.82
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
atrtrail23.55-10968.1682245829.2718322.6332549.65-7770.89-22624.472.360.98-0.0021-133.76
atrnil24.26-52272.4972205227.7821489.0532549.65-9270.26-22624.472.320.89-0.011-726.01
atrtrail34.38-52226.6782235928.0517359.2836165.03-7652.37-22624.472.270.88-0.01-636.91
atrtrail-14.9-60330.6282235928.0517006.9344876.74-7652.37-22624.472.220.87-0.012-735.74
atrnil38.65-98236.6966135319.731467.8548824.47-9572.05-22624.473.290.81-0.019-1488.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 29.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.067%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BANKINDIA Performance, Profit Factor:0.976

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019323 Jan 2019 (-3.29%), 25 Jan 2019 (-3.73%), 22 Apr 2019 (-3.17%)
2018202 Jan 2018 (0.75%), 12 Jan 2018 (-3.53%)
20171023 May 2017 (-4.74%), 12 Jun 2017 (-3.14%), 23 Jun 2017 (-3.79%), 11 Aug 2017 (-2.12%), 21 Aug 2017 (9.68%), 01 Dec 2017 (-3.87%), 06 Dec 2017 (-1.32%), 12 Dec 2017 (-3.67%), 13 Dec 2017 (-2.1%), 22 Dec 2017 (-3.29%)
2016611 Aug 2016 (7.44%), 29 Sep 2016 (8.14%), 02 Nov 2016 (-3.01%), 04 Nov 2016 (-0.42%), 20 Dec 2016 (-3.16%), 23 Dec 2016 (-3.03%)
2015129 Jan 2015 (-3.35%)
2014211 Jul 2014 (11.32%), 24 Sep 2014 (-4.22%)
2013429 Jan 2013 (-0.59%), 26 Feb 2013 (-1.06%), 28 Feb 2013 (-2.42%), 22 May 2013 (-3.63%)
2010604 Feb 2010 (-3.7%), 28 Oct 2010 (-3.77%), 29 Oct 2010 (8.14%), 16 Nov 2010 (-3.88%), 24 Nov 2010 (-5.15%), 25 Nov 2010 (-5.7%)
2009408 Jul 2009 (13.91%), 29 Oct 2009 (-6.23%), 30 Oct 2009 (13.85%), 21 Dec 2009 (7.93%)
2008104 Mar 2008 (-7.92%)
2007812 Feb 2007 (-5.32%), 14 Feb 2007 (-0.21%), 23 Feb 2007 (0.38%), 06 Mar 2007 (-6.7%), 12 Jun 2007 (7.98%), 16 Aug 2007 (-1.79%), 21 Aug 2007 (-5.96%), 22 Aug 2007 (12.85%)
2006312 Apr 2006 (-4.22%), 24 Apr 2006 (-3.83%), 12 Dec 2006 (11.95%)
2005612 Jan 2005 (16.27%), 15 Apr 2005 (-5.3%), 18 Apr 2005 (-5.63%), 28 Apr 2005 (-5.7%), 29 Apr 2005 (12.06%), 19 Oct 2005 (-6.37%)
2004222 Jan 2004 (14.07%), 03 Feb 2004 (15.66%)
20031010 Feb 2003 (-5.63%), 14 Feb 2003 (11.06%), 07 Mar 2003 (-4.58%), 10 Mar 2003 (10.36%), 05 Aug 2003 (-2.74%), 19 Aug 2003 (7.16%), 25 Aug 2003 (8.09%), 14 Nov 2003 (-3.67%), 20 Nov 2003 (-4.15%), 21 Nov 2003 (8.48%)
2002810 Jul 2002 (-3.63%), 17 Jul 2002 (-1.99%), 22 Jul 2002 (0.49%), 29 Jul 2002 (-5.3%), 02 Sep 2002 (-2.87%), 04 Sep 2002 (-0.82%), 16 Sep 2002 (-1.99%), 19 Sep 2002 (1.86%)
2001609 Mar 2001 (-10.19%), 12 Mar 2001 (-11.31%), 12 Sep 2001 (-3.25%), 07 Dec 2001 (-2.84%), 13 Dec 2001 (-2.88%), 19 Dec 2001 (-3.48%)



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