Study: Sell INDUSINDBK 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 INDUSINDBK 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 INDUSINDBK 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
1667.9628161257.143019.9712359.51-3970.97-10588.240.761.010.001223.86
2-32680.1628101835.716792.9618510.35-5589.43-11214.951.220.68-0.037-1167.15
3-54565.532882028.5710538.5919354.84-6943.71-27725.861.520.61-0.042-1948.77
4-13076728101835.719232.5620599.18-12394.04-42533.940.740.41-0.073-4670.25
5-1987592882028.578047.1317872.28-13156.82-53393.670.610.24-0.099-7098.55
6-21342628101835.718133.2922413.36-16375.48-54205.610.50.28-0.099-7622.35
7-25093828121642.867045.7623179.5-20967.93-63239.880.340.25-0.11-8962.07
8-24565228111739.2910090.0719354.84-20978.98-44796.380.480.31-0.1-8773.28
9-27719828131546.4310440.6820833.33-27528.44-50155.760.380.33-0.1-9899.92
10-32059328121642.8611566.8824800-28712.25-78374.460.40.3-0.099-11449.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.01. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.012%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0012, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-11667.9628161257.143019.9712359.51-3970.97-10588.240.761.010.001223.86
atrnil36.43-44516.352852317.8633690.7456669.83-9259.57-16921.133.640.79-0.02-1589.87
50trail-12.14-29954.534273516.679998.7719691.28-2855.6-3958.793.50.7-0.03-713.2
50trail31.51-36976.674383518.67849.8111613.82-2850.72-3958.792.750.63-0.043-859.92
atrnil25.89-79616.62862221.4321056.0737779.89-9361.5-16921.132.250.61-0.047-2843.45
50nil31.51-43354.224373616.288946.6311613.82-2943.91-3958.793.040.59-0.05-1008.24
atrtrail34.16-98241.343152616.1319863.9927886.45-7598.51-15376.042.610.5-0.065-3169.08
50trail21.4-52269.364383518.65938.227742.55-2850.72-3958.792.080.48-0.077-1215.57
50nil21.4-55597.444383518.65938.227742.55-2945.81-3958.792.020.46-0.081-1292.96
atrtrail24-1179383152616.1315924.6418590.97-7598.51-15376.042.10.4-0.091-3804.45
atrtrail-14.35-1363573152616.1312240.7717727.21-7598.51-15376.041.610.31-0.12-4398.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.012%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0012, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDUSINDBK Performance, X=1, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019604 Jan 2019 (-0.71%), 01 Mar 2019 (-1.82%), 09 Jul 2019 (0.33%), 16 Aug 2019 (-0.24%), 13 Sep 2019 (1.62%), 30 Sep 2019 (6.18%)
2018227 Nov 2018 (-1.56%), 11 Dec 2018 (-1.89%)
2014125 Feb 2014 (1.7%)
2013306 Sep 2013 (0.85%), 26 Nov 2013 (0.59%), 19 Dec 2013 (-0.47%)
2011101 Mar 2011 (0.15%)
2009209 Jan 2009 (3.33%), 31 Mar 2009 (-3.58%)
2008314 May 2008 (-0.99%), 14 Aug 2008 (1.33%), 22 Dec 2008 (3.34%)
2007225 Apr 2007 (-5.29%), 14 Jun 2007 (1.23%)
2006103 Aug 2006 (1.31%)
2004205 Oct 2004 (0.12%), 10 Nov 2004 (-2.89%)
2003107 Jan 2003 (-1.65%)
2002122 Nov 2002 (-2.73%)
1999304 Jan 1999 (0.23%), 11 Feb 1999 (1.08%), 27 Jul 1999 (0.78%)



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