Study: Buy CANBK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy CANBK 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 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
1-71416.03361818503354.4115846.4-7321.96-23881.130.460.46-0.064-1983.78
2-46367.9136171947.225316.1326651.31-7196.95-18731.760.740.66-0.038-1288
313578.41361818507695.6938172.04-6941.33-15396.431.111.110.0091377.18
423663.46361818509527.7932017.31-8213.15-19672.131.161.160.014657.32
517055.3236201655.568659.6424716.06-9758.59-20538.520.891.110.01473.76
6-2788.8436171947.229397.6722947.07-8555.22-19257.581.10.98-0.0017-77.47
7-55268.2136162044.448225.5228612.3-9343.83-24948.180.880.7-0.034-1535.23
8-51962.8936162044.449564.6324606.58-10249.84-23186.470.930.75-0.03-1443.41
912611.2436152141.6713050.7525301.46-8721.43-25362.731.51.070.0068350.31
1039207.2336162044.4414857.8829109.37-9925.94-24609.011.51.20.0191089.09
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
atrnil39.3122565549183136.7327642.0353584.91-8771.03-19251.693.151.830.0614605.2
atrtrail35.0299805.8756223439.2914963.1439924.37-6746.56-19251.692.221.440.0331782.25
atrnil25.91032025020304018202.435723.27-8694.87-19251.692.091.40.0362064.04
atrtrail24.0981459.5356223439.2914129.2135723.27-6746.56-19251.692.091.360.031454.63
atrtrail-15.7153219.4856223439.2912845.5741948.16-6746.56-19251.691.91.230.019950.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.73%, which is not acceptable. Avoid this strategy. Average return per trade is 2.3%, which is very good. Sharpe Ratio is 0.061, 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.
CANBK Performance, Profit Factor:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019323 Jan 2019 (-3.17%), 30 Apr 2019 (-3.54%), 19 Jul 2019 (-3.57%)
2017610 Mar 2017 (7.76%), 23 Jun 2017 (-2.76%), 27 Jun 2017 (9.18%), 09 Aug 2017 (-2.73%), 10 Aug 2017 (-3.09%), 01 Dec 2017 (-3.63%)
2016402 Nov 2016 (-3.45%), 20 Dec 2016 (-3.22%), 22 Dec 2016 (-3.22%), 26 Dec 2016 (10.83%)
2015106 Feb 2015 (-4.35%)
2014609 Jul 2014 (-4.98%), 11 Jul 2014 (-5.87%), 13 Aug 2014 (12.45%), 23 Sep 2014 (-3.7%), 24 Sep 2014 (-4.2%), 25 Sep 2014 (13.53%)
2013329 Jan 2013 (-3.37%), 04 Feb 2013 (-3.75%), 13 Feb 2013 (-4.13%)
2011110 Jan 2011 (-4.26%)
2010327 Jan 2010 (10.47%), 19 Apr 2010 (8.92%), 25 May 2010 (10.97%)
2009215 Jun 2009 (18.05%), 17 Aug 2009 (13.86%)
2008121 Jan 2008 (-9.52%)
2007123 Jan 2007 (-4.72%)
2006412 Apr 2006 (-4.44%), 13 Apr 2006 (-5.0%), 11 Dec 2006 (-3.87%), 12 Dec 2006 (15.06%)
2005712 Jan 2005 (18.52%), 22 Mar 2005 (-4.44%), 23 Mar 2005 (-4.89%), 19 Apr 2005 (-4.39%), 29 Apr 2005 (12.21%), 24 Aug 2005 (14.01%), 07 Oct 2005 (-3.84%)
2004421 Jan 2004 (19.96%), 03 Feb 2004 (26.79%), 14 May 2004 (-9.63%), 25 Oct 2004 (10.37%)
2003314 Nov 2003 (-5.14%), 20 Nov 2003 (-5.11%), 21 Nov 2003 (15.83%)



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