Study: Sell KOTAKBANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell KOTAKBANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell KOTAKBANK 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
135997.6449301961.22371313472.18-3968.02-21313.40.941.480.028734.65
2-33867.0249262353.064251.7518112.85-6278.81-42162.160.680.77-0.016-691.16
3-41304.0749242548.985900.0320862.97-7316.19-61621.620.810.77-0.016-842.94
4-69237.2249252451.025710.5218871.5-8833.34-69189.190.650.67-0.024-1413
5-12263649222744.95410.5620862.97-8950.68-89189.190.60.49-0.035-2502.77
6-91568.1949232646.945736.125794.22-8596.1-80540.540.670.59-0.028-1868.74
7-11798449252451.026484.9937363.68-11671.2-84324.320.560.58-0.032-2407.84
8-14881349222744.97096.327690.85-11293.75-800000.630.51-0.041-3036.99
9-15541749232646.947763.4434329.07-12845.23-82162.160.60.53-0.04-3171.77
10-18552949212842.867967.738217.16-12601.82-90270.270.630.47-0.046-3786.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.48. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.22%, which is good. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-1135997.6449301961.22371313472.18-3968.02-21313.40.941.480.028734.65
atrtrail24.18-41390.2962184429.039944.0542557.1-5008.71-15387.431.990.81-0.015-667.59
atrtrail34.63-64565.762164625.819949.7963835.65-4864.4-15387.432.050.71-0.02-1041.38
200trail32.09-54295.7881156618.527762.2811321.51-2586.82-3965.3230.68-0.032-670.32
atrnil26.22-1012115012382416073.9742557.1-7739.44-16632.082.080.66-0.037-2024.22
200nil32.51-64520.2972126016.679270.4711321.51-2929.43-3965.323.160.63-0.04-896.12
atrtrail-14.85-95581.8762164625.818011.2845420.05-4864.4-15387.431.650.57-0.037-1541.64
200trail21.9-74871.0181166519.755826.627547.67-2586.11-3965.322.250.55-0.055-924.33
200nil22.24-80121.3574155920.276175.857547.67-2928.12-3965.322.110.54-0.06-1082.72
atrnil37.62-1634374864212.526970.3163835.65-7744.26-16632.083.480.5-0.053-3404.94
200trail-12.56-91573.880146617.55624.0913618.12-2580.47-3965.322.180.46-0.065-1144.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.22%, which is good. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KOTAKBANK Performance, X=1, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Jan 2019 (-0.76%), 25 Feb 2019 (0.39%)
2018221 Sep 2018 (2.67%), 25 Oct 2018 (2.29%)
2016515 Jan 2016 (1.21%), 02 Feb 2016 (1.71%), 28 Mar 2016 (-0.28%), 11 Apr 2016 (-0.9%), 06 Dec 2016 (-0.05%)
2015328 Oct 2015 (1.11%), 13 Nov 2015 (-1.42%), 03 Dec 2015 (1.5%)
2014202 Jan 2014 (-0.73%), 21 Jan 2014 (-0.57%)
2013306 Sep 2013 (-4.61%), 27 Sep 2013 (0.7%), 15 Oct 2013 (0.89%)
2012109 Jan 2012 (-2.93%)
2011612 Jan 2011 (4.04%), 10 Mar 2011 (1.58%), 31 May 2011 (0.08%), 05 Aug 2011 (0.34%), 25 Nov 2011 (-4.72%), 27 Dec 2011 (-0.38%)
2010722 Feb 2010 (1.48%), 15 Apr 2010 (2.69%), 06 May 2010 (5.01%), 28 May 2010 (0.11%), 11 Jun 2010 (-1.4%), 28 Jun 2010 (2.41%), 22 Jul 2010 (-0.03%)
2008114 Feb 2008 (-3.53%)
2006329 Mar 2006 (1.32%), 30 Jun 2006 (0.04%), 17 Jul 2006 (1.03%)
2004420 May 2004 (-10.66%), 23 Jul 2004 (0.51%), 28 Sep 2004 (-0.22%), 12 Oct 2004 (0.73%)
2003306 Mar 2003 (3.0%), 23 May 2003 (1.58%), 23 Jun 2003 (6.74%)
2002103 Dec 2002 (0.1%)
2001217 Aug 2001 (-0.0%), 22 Nov 2001 (-1.27%)
1999227 May 1999 (5.56%), 05 Jul 1999 (-3.24%)
1996106 Sep 1996 (1.61%)
1995124 Nov 1995 (3.28%)



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