Study: Buy CANBK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy CANBK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
126601.6323131056.523695.378545.44-2143.82-5641.571.722.240.081156.59
283294.142318578.265706.3512804.28-3884.04-9374.341.475.290.163621.48
384534.822315865.227804.2919262.09-4066.18-14379.641.923.60.123675.43
499308.82318578.267277.2919633.46-6336.47-11761.741.154.130.144317.77
51043232315865.229705.1321411.72-5156.8-13404.031.883.530.134535.76
61039792316769.579647.2729903.83-7196.78-19724.281.343.060.114520.82
71119652314960.8712741.3530847.4-7379.33-21039.241.732.690.0994868.04
81028192314960.8712679.829432.05-8299.77-23881.231.532.380.0874470.4
958805.4623131056.5212340.8328016.69-10162.54-26892.91.211.580.0462556.76
1048164.7923131056.5212828.2527653.36-11860.25-31474.021.081.410.0352094.12

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 5.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 78.26%, which is excellent. Average return per trade is 1.81%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CANBK Performance, X=2, Profit Factor:5.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 May 2019 (-1.71%), 20 Jun 2019 (1.77%)
2017524 Mar 2017 (1.35%), 12 Jul 2017 (2.27%), 27 Jul 2017 (4.0%), 14 Sep 2017 (0.26%), 19 Dec 2017 (-0.79%)
2016101 Dec 2016 (-0.97%)
2014210 Sep 2014 (2.28%), 17 Oct 2014 (1.82%)
2011107 Mar 2011 (3.68%)
2010521 Jan 2010 (-1.55%), 26 Feb 2010 (5.79%), 28 Apr 2010 (5.28%), 03 Jun 2010 (1.87%), 17 Jun 2010 (0.77%)
2009222 Jul 2009 (4.37%), 31 Aug 2009 (3.7%)
2007103 Dec 2007 (5.37%)
2006103 May 2006 (0.09%)
2005324 Feb 2005 (6.4%), 25 May 2005 (0.28%), 05 Oct 2005 (-4.69%)

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-1283294.142318578.265706.3512804.28-3884.04-9374.341.475.290.163621.48
atrtrail25.31186172314960.8711899.0523668.72-5329.92-8574.922.233.470.135157.28
atrtrail36.651050912314960.8710932.8428005.17-5329.92-8574.922.053.190.114569.16
atrtrail-17.391006882314960.8710618.3834133.12-5329.92-8574.921.993.10.14377.74
50trail-14.0698912.9332131940.6211468.0333956.06-2640.6-3795.054.342.970.0833091.03
atrnil26.6811786622121054.5515403.6123668.72-6697.72-9100.992.32.760.125357.55
50nil21.8161960.9632171553.126200.317609.46-2896.29-3795.052.142.430.11936.28
50trail21.8161960.9632171553.126200.317609.46-2896.29-3795.052.142.430.11936.28
50trail32.3869177.3132131940.629180.6711741.77-2640.6-3795.053.482.380.0892161.79
atrnil312.8698483.482181338.123475.0935503.08-6870.56-9100.993.422.10.0764689.69
50nil32.558272.83301218409264.0211248.44-2938.64-3804.733.152.10.0791942.43

In the table above, row 1 shows the best exit criterion. Profit factor is 5.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 78.26%, which is excellent. Average return per trade is 1.81%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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