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

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In this study, we evaluate the performance of strategy "Buy INDUSINDBK when near 200 SMA and 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 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
125701.0642231954.763727.989684.21-3160.13-6239.361.181.430.032611.93
212515242222052.388904.0626105.26-3536.87-15963.512.522.770.082979.81
315479142261661.98932.8844210.53-4841.47-17938.981.8530.0793685.51
420988642291369.0510165.1664000-6531.06-20754.721.563.470.0794997.28
523701542291369.0511132.9968095.24-6603.19-24847.441.693.760.0835643.22
622842842291369.0511389.5789523.81-7836.14-25699.481.453.240.0695438.75
723070142241857.1415223.06112857-7480.72-23235.462.032.710.0585492.87
820648742231954.7617444.09137143-10248.77-24635.331.72.060.0444916.37
912396842222052.3815793.73110476-11174.7-42301.461.411.550.032951.62
1016405942231954.7617941.43108095-13083.9-63857.371.371.660.0363906.16
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
INDUSINDBK Performance, X=5, Profit Factor:3.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Mar 2019 (-0.26%), 22 Apr 2019 (-5.0%), 24 May 2019 (-2.64%)
2018219 Feb 2018 (3.73%), 10 Sep 2018 (1.8%)
2016325 Jan 2016 (0.12%), 17 Mar 2016 (0.25%), 30 Nov 2016 (-0.97%)
2015326 Aug 2015 (-3.36%), 10 Sep 2015 (5.97%), 10 Nov 2015 (0.82%)
2014122 Jan 2014 (-12.42%)
2013229 Oct 2013 (4.48%), 02 Dec 2013 (7.69%)
2012210 Jan 2012 (6.59%), 13 Sep 2012 (8.93%)
2011807 Jan 2011 (-0.67%), 21 Jan 2011 (-3.51%), 04 Mar 2011 (0.63%), 06 May 2011 (0.64%), 23 Sep 2011 (3.25%), 11 Oct 2011 (5.42%), 18 Nov 2011 (-1.09%), 09 Dec 2011 (-3.28%)
2009124 Apr 2009 (6.84%)
2008112 May 2008 (1.36%)
2007526 Apr 2007 (4.8%), 30 May 2007 (0.65%), 20 Jun 2007 (10.93%), 02 Aug 2007 (2.94%), 23 Aug 2007 (9.09%)
2006408 May 2006 (-3.24%), 19 Oct 2006 (2.17%), 08 Nov 2006 (4.63%), 23 Nov 2006 (-1.44%)
2003207 Feb 2003 (0.31%), 12 Mar 2003 (2.5%)
2002222 Feb 2002 (-5.03%), 06 Dec 2002 (3.13%)
1999308 Jul 1999 (1.6%), 12 Aug 1999 (34.05%), 30 Nov 1999 (26.11%)

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
atrtrail-15.2412523858223637.9316122.15120333-6373.6-14645.762.531.550.0252159.27
atrnil25.361554.6553203337.7416972.5129092.27-8421.08-14645.762.021.220.021161.41
atrtrail34.6448256.1458223637.9312622.9843638.41-6373.6-14645.761.981.210.015832
200trail-12.6126516.9770195127.148476.4144269.47-2637.94-3740.953.211.20.011378.81
atrnil37.4539828.8249143528.5724041.3243638.41-8478.56-14645.762.841.130.012812.83
atrtrail23.932713558223637.9311662.9329092.27-6373.6-14645.761.831.120.0097467.84
200trail31.775679.4770205028.577003.5311711.05-2687.82-3740.952.611.040.003681.14
200trail21.551162.3971234832.395827.367807.37-2768.06-3740.952.111.010.0008716.37
200nil31.94-6516.3666155122.739704.411711.05-2982.01-3962.623.250.96-0.0041-98.73
200nil21.62-7908.2868214730.886316.157807.37-2990.37-3962.622.110.94-0.0059-116.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.55. 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 37.93%, which is not acceptable. Avoid this strategy. Average return per trade is 1.08%, which is not very high, 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, Profit Factor:1.55

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019518 Mar 2019 (-1.81%), 26 Mar 2019 (3.75%), 22 Apr 2019 (-2.46%), 24 May 2019 (-4.13%), 04 Jun 2019 (-3.64%)
2018319 Feb 2018 (-2.56%), 22 Feb 2018 (5.11%), 10 Sep 2018 (0.62%)
2016625 Jan 2016 (-2.84%), 27 Jan 2016 (-0.67%), 03 Feb 2016 (-1.94%), 17 Mar 2016 (3.61%), 30 Nov 2016 (-3.04%), 08 Dec 2016 (-1.46%)
2015426 Aug 2015 (-2.49%), 31 Aug 2015 (-3.25%), 10 Sep 2015 (2.69%), 10 Nov 2015 (4.78%)
2014122 Jan 2014 (-2.65%)
2013329 Oct 2013 (0.19%), 02 Dec 2013 (4.21%), 12 Dec 2013 (-3.57%)
2012210 Jan 2012 (5.06%), 13 Sep 2012 (16.9%)
20111007 Jan 2011 (0.06%), 21 Jan 2011 (-2.26%), 04 Mar 2011 (-1.03%), 06 May 2011 (-3.77%), 23 Sep 2011 (1.69%), 03 Oct 2011 (-4.27%), 11 Oct 2011 (9.14%), 18 Nov 2011 (-4.11%), 01 Dec 2011 (0.72%), 09 Dec 2011 (-4.62%)
2009124 Apr 2009 (-7.32%)
2008212 May 2008 (-7.22%), 20 May 2008 (-6.55%)
2007626 Apr 2007 (-4.66%), 10 May 2007 (4.61%), 30 May 2007 (-2.23%), 20 Jun 2007 (12.02%), 02 Aug 2007 (1.67%), 23 Aug 2007 (12.41%)
2006608 May 2006 (-4.96%), 12 May 2006 (-5.15%), 17 May 2006 (-6.25%), 19 Oct 2006 (-1.63%), 08 Nov 2006 (2.81%), 23 Nov 2006 (-0.46%)
2003207 Feb 2003 (-3.1%), 12 Mar 2003 (-0.19%)
2002422 Feb 2002 (-0.54%), 06 Dec 2002 (-3.21%), 09 Dec 2002 (-3.58%), 12 Dec 2002 (-1.11%)
1999308 Jul 1999 (0.13%), 12 Aug 1999 (60.17%), 30 Nov 1999 (24.99%)



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