Study: Buy INDUSINDBK when above 200 SMA and near 50 SMA and above 50 SMA

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
130321.3666323448.483372.7914656.82-2282.59-9062.251.481.390.025459.41
216338.15663333504952.7422306.96-4457.64-13118.281.111.110.0086247.55
37573.0366313546.975942.6319804.58-5047.1-13711.581.181.040.0036114.74
440137.79663333506616.7331707.32-5400.44-14888.861.231.230.016608.15
528235.6466363054.557298.4423780.49-7816.94-21885.910.931.120.0099427.81
6-8398.766363054.557131.4327693.04-8837.67-27058.820.810.97-0.0028-127.25
7-23883.83663333507470.4522950.43-8194.2-23137.250.910.91-0.0081-361.88
8-30134.1766343251.528304.3125357.48-9765.03-32352.940.850.9-0.0091-456.58
9-5546.0366372956.068583.423093.42-11142.48-47058.820.770.98-0.0015-84.03
1026609.8966353153.039810.3126167.78-10217.78-46666.670.961.080.0071403.18

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.39. 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 48.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, which is low, don't trade solely on the basis of this study.

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-1130321.3666323448.483372.7914656.82-2282.59-9062.251.481.390.025459.41
50nil32.5929990.8101287327.729005.7811939.03-3043.44-3932.412.961.130.012296.94
atrnil38.387113.9165184727.6920282.8641324.69-7616.54-19015.632.661.020.0018109.44
50trail32.25-2758.83109327729.366616.8511907.69-2785.69-3932.412.380.99-0.0012-25.31
50trail21.84-12714.59111367532.435636.737964.92-2875.16-3993.851.960.94-0.0061-114.55
50nil21.95-17329.4105337231.436092.117964.92-3032.9-3993.852.010.92-0.0085-165.04
atrtrail24.22-27358.6386315536.058701.2123418.72-5401.75-15543.941.610.91-0.0087-318.12
50trail-13.22-27622.85108297926.856540.0820730.83-2750.45-3932.412.380.87-0.011-255.77
atrtrail34.95-42334.9885315436.478094.126684.92-5430.59-15543.941.490.86-0.013-498.06
atrnil25.67-58171.7273244932.8812618.6927549.8-7367.76-19015.631.710.84-0.017-796.87
atrtrail-15.36-71736.3585315436.477145.6623665.65-5430.59-15543.941.320.76-0.025-843.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 48.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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.
INDUSINDBK Performance, X=1, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 May 2019 (-2.19%)
2018816 Jan 2018 (-0.43%), 06 Feb 2018 (-1.25%), 26 Feb 2018 (-0.36%), 23 May 2018 (0.92%), 08 Jun 2018 (0.85%), 10 Jul 2018 (-1.05%), 24 Jul 2018 (0.91%), 21 Aug 2018 (-0.95%)
2017612 May 2017 (0.32%), 27 Sep 2017 (0.77%), 19 Oct 2017 (0.28%), 24 Nov 2017 (-0.94%), 08 Dec 2017 (-0.06%), 26 Dec 2017 (-0.79%)
2016704 Jan 2016 (0.11%), 29 Jan 2016 (-0.18%), 27 Jun 2016 (0.45%), 13 Jul 2016 (0.88%), 16 Sep 2016 (3.03%), 20 Oct 2016 (1.45%), 07 Nov 2016 (-0.39%)
2015625 Mar 2015 (-1.23%), 24 Jun 2015 (2.68%), 18 Sep 2015 (-0.56%), 29 Oct 2015 (-0.28%), 20 Nov 2015 (-0.23%), 16 Dec 2015 (1.75%)
2014122 Jul 2014 (-0.41%)
2013621 Jan 2013 (1.11%), 06 Feb 2013 (0.34%), 12 Mar 2013 (-1.97%), 02 Apr 2013 (-1.08%), 17 Apr 2013 (7.33%), 08 Jul 2013 (2.3%)
2012519 Mar 2012 (4.32%), 27 Apr 2012 (0.59%), 13 Jun 2012 (-2.0%), 02 Aug 2012 (-1.06%), 17 Aug 2012 (-0.36%)
2011702 May 2011 (-4.53%), 27 May 2011 (0.04%), 13 Jun 2011 (0.25%), 02 Aug 2011 (-0.31%), 08 Sep 2011 (0.87%), 12 Oct 2011 (3.66%), 07 Dec 2011 (-1.94%)
2010107 Jun 2010 (-2.28%)
2007320 Feb 2007 (-1.67%), 30 Jul 2007 (1.69%), 27 Aug 2007 (0.68%)
2006223 Oct 2006 (1.52%), 16 Nov 2006 (-3.76%)
2005114 Feb 2005 (0.7%)
2004322 Jan 2004 (4.84%), 16 Feb 2004 (-1.75%), 22 Jul 2004 (-0.89%)
2003529 Jan 2003 (-1.86%), 18 Feb 2003 (0.31%), 20 Mar 2003 (0.0%), 02 Apr 2003 (1.52%), 26 Jun 2003 (-0.26%)
2002229 Apr 2002 (0.63%), 05 Jun 2002 (-1.26%)
2000205 Jan 2000 (-0.53%), 29 Feb 2000 (6.87%)



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