Study: Sell INDUSINDBK when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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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 and RSI is below 50" 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
123832.53139469.233497.4512359.51-1911.13-3300.331.834.120.11833.27
213631.97136746.157136.9218510.35-4169.94-8333.331.711.470.0341048.61
3-5608.241331023.0814199.5419354.84-4820.69-8518.092.950.88-0.011-431.4
4955.88136746.157661.6620599.18-6430.58-10133.331.191.020.001973.53
5-1804.79136746.157260.5715913.98-6481.17-14521.451.120.96-0.0037-138.83
62149.49137653.858805.7122413.36-9915.08-21122.110.891.040.0032165.35
77848.45138561.549968.0323179.5-14379.15-27722.770.691.110.0094603.73
822604.51138561.5411655.3119354.84-14127.59-28382.840.831.320.0261738.81
917237.2139469.2312414.9120833.33-23624.24-33663.370.531.180.0161325.94
108369.83138561.5414432.1424800-21417.45-44120.940.671.080.0066643.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 4.12. Strategy is very good and impressively bearish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study.
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.
INDUSINDBK Performance, X=1, Profit Factor:4.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019204 Jan 2019 (-0.71%), 30 Sep 2019 (6.18%)
2018110 Dec 2018 (0.11%)
2013226 Nov 2013 (0.59%), 19 Dec 2013 (-0.47%)
2009109 Jan 2009 (3.33%)
2008214 May 2008 (-0.99%), 14 Aug 2008 (1.33%)
2007114 Jun 2007 (1.23%)
2004112 Oct 2004 (1.11%)
2003107 Jan 2003 (-1.65%)
1999211 Feb 1999 (1.08%), 27 Jul 1999 (0.78%)

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-1123832.53139469.233497.4512359.51-1911.13-3300.331.834.120.11833.27
atrnil39.0859144.53134930.7735878.0156669.83-9374.17-14688.043.831.70.0454549.58
atrnil28.0811307.19134930.7723918.6737779.89-9374.17-14688.042.551.130.012869.78
50trail-12.47476.531941521.0510438.1819691.28-2751.75-3826.773.791.010.0008825.08
50trail31.6-6314.6520515256958.1611613.82-2740.36-3826.772.540.85-0.015-315.73
50nil31.6-11161.5820416208654.6811613.82-2861.27-3826.773.020.76-0.026-558.08
atrtrail34.93-21799.171431121.4321990.6127886.45-7979.18-14688.042.760.75-0.027-1557.08
50trail21.45-12271.4320515255766.87742.55-2740.36-3826.772.10.7-0.036-613.57
50nil21.45-14068.920515255766.87742.55-2860.19-3826.772.020.67-0.041-703.45
atrtrail24.71-37880.71431121.4316630.0918590.97-7979.18-14688.042.080.57-0.057-2705.76
atrtrail-15.29-46666.781431121.4313701.417727.21-7979.18-14688.041.720.47-0.079-3333.34

In the table above, row 1 shows the best exit criterion. Profit factor is 4.12. Strategy is very good and impressively bearish. Percentage of profitable trades is 69.23%, which is good. Average return per trade is 0.92%, which is not very high, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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