Study: Buy INDUSINDBK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy INDUSINDBK when 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
1-17648.5852282453.854280.5412320.92-5729.32-35017.870.750.87-0.01-339.4
290068.252312159.626730.2437663.89-5646.16-21001.621.191.760.0421732.08
317341152351767.318841.3144210.53-8002.06-23685.551.12.270.0633334.83
422691652331963.4611375.9164000-7815.22-32797.431.462.530.0644363.77
520932252312159.6211927.5252210.53-7639.56-32368.71.562.30.0634025.43
615968652292355.7712300.9446007.15-8567-38585.211.441.810.0443070.89
716383852252748.0815888.2460071.51-8643.25-42042.931.841.70.0413150.73
813522752282453.8515220.1758164.48-12122.41-35825.311.261.460.0322600.52
933466.795226265015323.0541689.27-14035.87-1173981.091.090.0062643.59
1076934.9552292355.7715349.2744631.58-16008.43-1147970.961.210.0141479.52
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=4, Profit Factor:2.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018501 Jan 2018 (4.58%), 19 Feb 2018 (0.8%), 11 Jul 2018 (-0.51%), 24 Aug 2018 (-2.72%), 10 Sep 2018 (2.62%)
2017125 Oct 2017 (2.18%)
2016227 Oct 2016 (4.27%), 15 Nov 2016 (-3.11%)
2015420 Apr 2015 (-1.56%), 06 May 2015 (-0.34%), 12 Aug 2015 (5.88%), 29 Oct 2015 (-0.09%)
2014230 Apr 2014 (2.98%), 01 Oct 2014 (3.56%)
2013528 Feb 2013 (0.74%), 25 Mar 2013 (8.44%), 10 Apr 2013 (7.77%), 11 Jun 2013 (1.93%), 19 Jul 2013 (-5.07%)
2012309 May 2012 (-0.38%), 28 Aug 2012 (-1.29%), 11 Sep 2012 (6.43%)
2011307 Jan 2011 (1.63%), 02 May 2011 (-1.12%), 26 Jul 2011 (1.45%)
2010229 Jul 2010 (2.54%), 09 Dec 2010 (-0.49%)
2008121 Jan 2008 (0.46%)
2007312 Feb 2007 (0.58%), 27 Feb 2007 (-16.4%), 01 Aug 2007 (1.36%)
2005517 Feb 2005 (1.27%), 18 Mar 2005 (-5.6%), 02 May 2005 (6.56%), 22 Sep 2005 (5.12%), 10 Oct 2005 (-7.4%)
2004522 Jan 2004 (6.71%), 23 Feb 2004 (2.22%), 16 Mar 2004 (0.43%), 17 May 2004 (25.15%), 05 Jul 2004 (-1.29%)
2003323 Jun 2003 (1.58%), 19 Sep 2003 (2.14%), 29 Oct 2003 (15.21%)
2002320 May 2002 (8.03%), 18 Jul 2002 (-5.04%), 20 Sep 2002 (-7.42%)
2000107 Mar 2000 (12.03%)
1999421 Sep 1999 (9.05%), 28 Oct 1999 (-9.53%), 15 Nov 1999 (-4.89%), 30 Nov 1999 (32.0%)

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-16.625267877344344.1616036.4789013.89-6803.76-20136.972.361.860.0433281.53
atrnil39.1226247764224234.3829968.5773938.29-9448.37-20136.973.171.660.0424101.21
atrtrail24.3517107477354245.4513209.0449292.19-6934.33-20136.971.91.590.0372221.75
atrtrail35.1616742877354245.4513104.8647240.69-6934.33-20136.971.891.570.0362174.39
atrnil26.2514054067283941.7918404.8849292.19-9610.17-20136.971.921.370.0292097.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 44.16%, which is not acceptable. Avoid this strategy. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018901 Jan 2018 (5.06%), 19 Feb 2018 (-2.56%), 11 Jul 2018 (-0.72%), 18 Jul 2018 (5.1%), 24 Aug 2018 (-0.36%), 29 Aug 2018 (-1.64%), 30 Aug 2018 (-0.14%), 04 Sep 2018 (-0.59%), 10 Sep 2018 (0.62%)
2017125 Oct 2017 (2.95%)
2016227 Oct 2016 (2.34%), 15 Nov 2016 (-2.29%)
2015820 Apr 2015 (-1.69%), 27 Apr 2015 (-1.13%), 06 May 2015 (7.29%), 12 Aug 2015 (3.34%), 21 Aug 2015 (-2.78%), 24 Aug 2015 (-1.64%), 29 Oct 2015 (-1.27%), 10 Nov 2015 (4.78%)
2014230 Apr 2014 (14.53%), 01 Oct 2014 (18.71%)
2013728 Feb 2013 (-2.58%), 01 Mar 2013 (6.11%), 25 Mar 2013 (4.79%), 10 Apr 2013 (16.69%), 11 Jun 2013 (-0.34%), 20 Jun 2013 (0.76%), 19 Jul 2013 (-0.43%)
2012509 May 2012 (-1.42%), 16 May 2012 (-0.66%), 28 Aug 2012 (-2.63%), 29 Aug 2012 (-1.61%), 11 Sep 2012 (16.84%)
2011407 Jan 2011 (0.06%), 02 May 2011 (-3.48%), 26 Jul 2011 (-0.88%), 04 Aug 2011 (-3.03%)
2010329 Jul 2010 (10.12%), 09 Dec 2010 (-1.6%), 16 Dec 2010 (1.31%)
2008221 Jan 2008 (-9.15%), 22 Jan 2008 (11.75%)
2007412 Feb 2007 (-6.56%), 13 Feb 2007 (-7.46%), 27 Feb 2007 (-8.55%), 01 Aug 2007 (1.24%)
2005817 Feb 2005 (3.17%), 18 Mar 2005 (-4.29%), 22 Mar 2005 (-4.4%), 29 Mar 2005 (1.15%), 02 May 2005 (17.14%), 22 Sep 2005 (0.57%), 10 Oct 2005 (-2.46%), 14 Oct 2005 (-4.75%)
2004622 Jan 2004 (1.75%), 23 Feb 2004 (-2.58%), 04 Mar 2004 (1.03%), 16 Mar 2004 (0.77%), 17 May 2004 (17.98%), 05 Jul 2004 (-4.01%)
2003323 Jun 2003 (5.66%), 19 Sep 2003 (-0.71%), 29 Oct 2003 (44.51%)
2002620 May 2002 (-6.26%), 21 May 2002 (8.76%), 18 Jul 2002 (-3.36%), 22 Jul 2002 (-3.87%), 29 Jul 2002 (0.17%), 20 Sep 2002 (-4.08%)
2000107 Mar 2000 (-10.07%)
1999621 Sep 1999 (10.56%), 28 Oct 1999 (-7.63%), 29 Oct 1999 (-8.23%), 04 Nov 1999 (-8.42%), 16 Nov 1999 (-3.99%), 30 Nov 1999 (24.99%)



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