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

home > technical-strategy > indusindbk > 22

In this study, we evaluate the performance of strategy "Buy INDUSINDBK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" 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
1-1827.7439162341.033032.6314656.82-2189.12-7526.881.390.96-0.0028-46.87
2-39866.1839142535.94214.4522306.96-3954.74-13118.281.070.6-0.039-1022.21
310982.1239152438.467913.2819804.58-4488.21-11874.271.761.10.0083281.59
422007.3339182146.157830.631707.32-5663.97-19471.511.381.190.013564.29
532325.0339211853.857929.1823780.49-7454.87-21885.911.061.240.018828.85
621617.7939231658.977501.9627693.04-9432.95-21420.260.81.140.012554.3
726757.8139211853.858476.8622950.43-8403.13-22584.41.011.180.015686.1
87247.7239211853.859462.5925357.48-10637.04-25086.710.891.040.0034185.84
9-2963.7839231658.97896823093.42-13076.74-25333.760.690.99-0.0013-75.99
1029724.3839211853.8510504.3626167.78-10603.73-25161.50.991.160.013762.16
Although, strategy looks good but profit factor on day 2 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
50nil32.71-1228.98561442259116.8511939.03-3068.21-3993.852.970.99-0.00091-21.95
atrnil37.53-40454.394393420.9321232.2435128.08-6810.13-11000.983.120.83-0.017-940.8
atrnil25.43-42824.2444133129.5513097.2623418.72-6873.83-11000.981.910.8-0.022-973.28
50nil22.14-29642.0858164227.596168.777964.92-3055.77-3993.852.020.77-0.027-511.07
atrtrail24.22-45264.435014362810464.8723418.72-5327.02-11000.981.960.76-0.024-905.29
atrtrail34.7-52747.99501436289930.3326429.42-5327.02-11000.981.860.72-0.028-1054.96
50trail21.95-36112.7862184429.035213.157964.92-2953.4-3993.851.770.72-0.033-582.46
50trail-13-40270.1361154624.596076.6220335.37-2856.94-3993.852.130.69-0.029-660.17
50trail32.31-45748.2561154624.595711.4110913-2856.94-3993.8520.65-0.04-749.97
atrtrail-14.94-77358.79501436288172.4123665.65-5327.02-11000.981.530.6-0.046-1547.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.011%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDUSINDBK Performance, Profit Factor:0.99

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 May 2019 (-1.69%), 04 Jun 2019 (-1.29%)
2018426 Feb 2018 (-1.66%), 05 Mar 2018 (4.32%), 23 Jul 2018 (4.65%), 21 Aug 2018 (-1.7%)
2017524 Nov 2017 (-1.02%), 28 Nov 2017 (-1.24%), 08 Dec 2017 (-1.33%), 15 Dec 2017 (-1.86%), 18 Dec 2017 (-1.96%)
2016529 Jan 2016 (-1.01%), 13 Jul 2016 (5.96%), 25 Oct 2016 (-1.95%), 07 Nov 2016 (-1.95%), 10 Nov 2016 (-1.66%)
2015527 Mar 2015 (5.97%), 24 Jun 2015 (5.25%), 18 Sep 2015 (-1.71%), 20 Nov 2015 (3.85%), 16 Dec 2015 (3.51%)
2014322 Jul 2014 (-1.89%), 04 Aug 2014 (-1.31%), 05 Aug 2014 (-1.34%)
2013706 Feb 2013 (-1.94%), 11 Feb 2013 (4.37%), 12 Mar 2013 (-1.47%), 14 Mar 2013 (-1.42%), 02 Apr 2013 (-1.28%), 17 Apr 2013 (3.98%), 08 Jul 2013 (4.43%)
2012213 Jun 2012 (-1.21%), 16 Aug 2012 (-1.82%)
2011827 May 2011 (-1.52%), 02 Jun 2011 (-1.73%), 13 Jun 2011 (-1.6%), 14 Jun 2011 (-1.86%), 08 Sep 2011 (-1.23%), 15 Sep 2011 (-1.43%), 12 Oct 2011 (5.46%), 07 Dec 2011 (-1.12%)
2010107 Jun 2010 (-1.89%)
2007227 Aug 2007 (-1.56%), 29 Aug 2007 (3.08%)
2006116 Nov 2006 (-1.61%)
2004316 Feb 2004 (-1.48%), 22 Jul 2004 (-1.41%), 28 Jul 2004 (-1.59%)
2003505 Feb 2003 (-2.0%), 18 Feb 2003 (-1.47%), 19 Feb 2003 (5.17%), 20 Mar 2003 (-1.1%), 02 Apr 2003 (3.84%)
2002329 Apr 2002 (-1.02%), 30 Apr 2002 (-1.41%), 05 Jun 2002 (-1.71%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play