Study: Sell CANBK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell CANBK when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell CANBK 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
1-32228.3832122037.54193.098361.88-4127.28-15260.281.020.61-0.047-1007.14
2-21301.8432171553.123822.99306.81-5752.74-12010.740.660.75-0.028-665.68
3-68260.1132122037.57013.6914776-7621.22-36695.680.920.55-0.052-2133.13
4-11952032151746.885920.089368.31-12254.2-39563.070.480.43-0.075-3735.01
5-10429532171553.127321.1814430.31-15250.35-34318.320.480.54-0.058-3259.22
6-10211932141843.7511042.7120918.76-14262.05-40535.710.770.6-0.05-3191.22
7-91027.7232122037.513361.8725477.71-12568.51-375001.060.64-0.043-2844.62
8-24584.8332151746.8813320.1631248.38-13199.25-29523.811.010.89-0.012-768.28
9-25569.883216165013441.335269.51-15039.42-30079.480.890.89-0.011-799.06
10-59093.8132141843.7515427.637779.26-15282.23-32484.211.010.79-0.024-1846.68
Although, strategy looks good but profit factor on day 4 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
atrnil37.91-16656.263392427.272218427086.88-9013.01-15829.112.460.92-0.0087-504.74
atrtrail-15.32-16182.2237142337.849870.1228343.56-6711.48-11152.081.470.9-0.01-437.36
atrtrail34.73-19396.9737142337.849640.527086.88-6711.48-11152.081.440.87-0.013-524.24
atrnil26.09-25792.0934112332.351588131658.22-8716.66-12179.041.820.87-0.015-758.59
50nil31.63-13295.1943103323.268906.2911940.55-3101.76-3988.822.870.87-0.015-309.19
atrtrail24.3-24985.9637142337.849241.2931658.22-6711.48-11152.081.380.84-0.017-675.3
50trail-12.28-17320.634393420.938901.4633622.21-2865.7-3988.823.110.82-0.014-402.81
50trail31.53-19000.6343103323.267832.111926.12-2949.14-3988.822.660.8-0.023-441.88
50nil21.42-20394.0745133228.896084.987960.37-3109.34-3988.821.960.8-0.026-453.2
50trail21.36-23108.0145133228.895564.857950.75-2982.84-3988.821.870.76-0.031-513.51

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, Profit Factor:0.923

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018406 Jun 2018 (-4.04%), 22 Jun 2018 (10.95%), 10 Sep 2018 (11.96%), 05 Nov 2018 (-5.49%)
2016314 Mar 2016 (-4.41%), 11 May 2016 (-3.85%), 03 Jun 2016 (-4.65%)
2015316 Apr 2015 (9.39%), 12 Aug 2015 (-4.15%), 13 Nov 2015 (9.29%)
2014317 Jan 2014 (13.0%), 10 Mar 2014 (-2.99%), 12 Mar 2014 (-3.15%)
2013630 Apr 2013 (-4.36%), 03 Jun 2013 (12.16%), 17 Oct 2013 (-5.08%), 22 Nov 2013 (-5.58%), 27 Nov 2013 (-5.53%), 17 Dec 2013 (-4.65%)
2012216 Jan 2012 (-4.0%), 15 Jun 2012 (-3.67%)
2011304 Jul 2011 (7.19%), 30 Sep 2011 (-3.57%), 02 Dec 2011 (13.54%)
2009106 Apr 2009 (-4.73%)
2008409 May 2008 (-4.42%), 22 May 2008 (12.35%), 24 Jul 2008 (-6.09%), 07 Nov 2008 (-7.91%)
2006107 Aug 2006 (-4.59%)
2005113 Dec 2005 (-2.94%)
2004228 Jul 2004 (-4.86%), 25 Aug 2004 (-3.47%)



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