Study: Buy CANBK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy CANBK 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 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
1-15236474245032.434407.120369.63-5162.68-16385.330.850.41-0.083-2058.97
2-11968874324243.245502.5726031.24-7042.14-21980.370.780.6-0.047-1617.4
3-11627674254933.788887.9633386.9-6907.66-22127.451.290.66-0.038-1571.3
4-10127174324243.248884.5543832.86-9180.39-31971.450.970.74-0.028-1368.52
5-75131.8174314341.8912378.0846275.83-10670.98-29723.461.160.84-0.017-1015.29
62418.6274334144.5913872.8251753.96-11106.93-25716.591.251.010.0005132.68
722831.1974324243.2415287.8248654.17-11104.26-25297.321.381.050.0047308.53
8-32229.2274314341.8916249.362555.37-12464.13-36886.741.30.94-0.0061-435.53
9-82163.9574284637.8418258.9771141.4-12900.33-36523.321.420.86-0.014-1110.32
10-16855274274736.4918197.3259080.07-14039.98-42459.121.30.74-0.029-2277.72
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
atrtrail23.97-2633491554111426.4514482.2146428.03-7518.6-17663.841.930.69-0.036-1699.03
atrnil25.47-3215131403110922.1422473.4946428.03-9341.2-23996.972.410.68-0.04-2296.52
atrnil38.24-3624241282110716.413217066828.84-9700.88-23996.973.320.65-0.042-2831.44
atrtrail34.45-3304251554111426.4512846.2166828.84-7518.6-17663.841.710.61-0.046-2131.78
atrtrail-14.63-3515781554111426.4512330.350935.4-7518.6-17663.841.640.59-0.051-2268.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, Profit Factor:0.693

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191625 Jan 2019 (-3.4%), 28 Jan 2019 (0.08%), 04 Feb 2019 (-3.28%), 08 Feb 2019 (-4.29%), 15 Feb 2019 (-0.04%), 13 May 2019 (8.45%), 23 Jul 2019 (-3.73%), 24 Jul 2019 (-4.01%), 25 Jul 2019 (-3.74%), 05 Aug 2019 (-2.87%), 21 Aug 2019 (-4.5%), 22 Aug 2019 (9.67%), 03 Sep 2019 (-1.11%), 19 Sep 2019 (9.43%), 30 Sep 2019 (-5.39%), 01 Oct 2019 (11.46%)
20181716 Jan 2018 (1.23%), 01 Feb 2018 (-4.36%), 02 Feb 2018 (-2.91%), 16 Feb 2018 (-5.1%), 27 Feb 2018 (-3.67%), 05 Mar 2018 (-5.02%), 06 Mar 2018 (-5.43%), 07 Mar 2018 (-5.46%), 09 Mar 2018 (13.12%), 10 May 2018 (-4.43%), 16 May 2018 (9.79%), 27 Jun 2018 (-2.16%), 13 Jul 2018 (-3.84%), 16 Jul 2018 (1.19%), 18 Sep 2018 (-4.39%), 21 Sep 2018 (-5.38%), 23 Oct 2018 (12.04%)
2017327 Sep 2017 (-2.85%), 29 Sep 2017 (-0.4%), 11 Oct 2017 (-1.45%)
20161105 Jan 2016 (-2.57%), 07 Jan 2016 (-2.26%), 11 Jan 2016 (-2.79%), 12 Jan 2016 (-3.06%), 13 Jan 2016 (-3.46%), 14 Jan 2016 (-3.71%), 15 Jan 2016 (-4.3%), 18 Jan 2016 (-3.7%), 20 Jan 2016 (9.51%), 23 Feb 2016 (11.94%), 16 May 2016 (-0.28%)
20152309 Feb 2015 (-0.56%), 19 Mar 2015 (-3.63%), 24 Mar 2015 (-3.55%), 26 Mar 2015 (-3.54%), 06 May 2015 (-3.46%), 07 May 2015 (-3.67%), 08 May 2015 (1.51%), 26 May 2015 (-1.65%), 02 Jun 2015 (-3.88%), 05 Jun 2015 (-4.06%), 08 Jun 2015 (2.32%), 26 Jun 2015 (-3.52%), 29 Jun 2015 (-0.41%), 27 Jul 2015 (-3.25%), 29 Jul 2015 (6.87%), 02 Sep 2015 (3.63%), 30 Oct 2015 (-1.93%), 05 Nov 2015 (1.22%), 23 Nov 2015 (-1.35%), 03 Dec 2015 (-2.81%), 08 Dec 2015 (-2.83%), 11 Dec 2015 (-2.09%), 30 Dec 2015 (-1.84%)
2014424 Jan 2014 (-4.26%), 27 Jan 2014 (-4.67%), 30 Jan 2014 (-1.91%), 20 Feb 2014 (7.51%)
20131728 Feb 2013 (1.48%), 19 Mar 2013 (-3.88%), 20 Mar 2013 (-4.08%), 21 Mar 2013 (-1.58%), 26 Mar 2013 (9.46%), 04 Jun 2013 (0.03%), 10 Jun 2013 (-4.17%), 20 Jun 2013 (-4.53%), 24 Jun 2013 (9.8%), 16 Jul 2013 (-4.93%), 24 Jul 2013 (-5.6%), 26 Jul 2013 (-6.3%), 01 Aug 2013 (-7.38%), 02 Aug 2013 (-4.0%), 16 Aug 2013 (-8.08%), 21 Aug 2013 (-5.66%), 28 Aug 2013 (-1.44%)
20121419 Mar 2012 (-1.87%), 26 Mar 2012 (1.95%), 26 Apr 2012 (-3.94%), 27 Apr 2012 (-1.47%), 09 May 2012 (-1.1%), 16 May 2012 (-3.4%), 23 Jul 2012 (-3.01%), 25 Jul 2012 (-3.26%), 26 Jul 2012 (-3.5%), 27 Jul 2012 (2.03%), 21 Aug 2012 (-3.4%), 24 Aug 2012 (-3.31%), 28 Aug 2012 (-3.37%), 30 Oct 2012 (7.93%)
20111514 Jan 2011 (9.49%), 02 May 2011 (-2.76%), 03 May 2011 (-2.8%), 16 May 2011 (-3.55%), 17 May 2011 (-4.6%), 27 Jul 2011 (-2.91%), 28 Jul 2011 (-3.13%), 29 Jul 2011 (-3.39%), 02 Aug 2011 (-3.81%), 25 Aug 2011 (1.75%), 23 Nov 2011 (3.59%), 13 Dec 2011 (-4.41%), 19 Dec 2011 (-4.84%), 20 Dec 2011 (-2.23%), 27 Dec 2011 (10.42%)
2009423 Jan 2009 (3.06%), 20 Feb 2009 (-5.35%), 02 Mar 2009 (-4.28%), 06 Mar 2009 (12.4%)
20081522 Jan 2008 (23.21%), 04 Mar 2008 (-8.64%), 14 Mar 2008 (-8.53%), 18 Mar 2008 (6.24%), 23 May 2008 (-4.13%), 27 May 2008 (-0.48%), 03 Jun 2008 (-4.61%), 10 Jun 2008 (10.38%), 24 Jun 2008 (-5.37%), 25 Jun 2008 (-2.93%), 04 Jul 2008 (-4.83%), 26 Sep 2008 (-7.41%), 07 Oct 2008 (-7.85%), 08 Oct 2008 (-8.83%), 27 Oct 2008 (22.28%)
2007929 Jan 2007 (-4.46%), 09 Feb 2007 (-4.21%), 12 Feb 2007 (-4.42%), 14 Feb 2007 (-0.63%), 05 Mar 2007 (-5.84%), 06 Mar 2007 (1.31%), 01 Aug 2007 (10.48%), 16 Aug 2007 (-4.74%), 21 Aug 2007 (11.46%)
2006319 May 2006 (-7.39%), 22 May 2006 (6.03%), 18 Jul 2006 (-4.96%)
2005314 Oct 2005 (-4.33%), 19 Oct 2005 (-4.46%), 27 Oct 2005 (9.56%)
2004117 May 2004 (1.57%)



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