Study: Sell KOTAKBANK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell KOTAKBANK when below 200 SMA and near 50 SMA and below 50 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
146210.5547252253.194595.3918400.76-3121.55-7041.541.471.670.042983.2
2-11009.7747252253.194417.9813078-5520.87-19532.910.80.91-0.0072-234.25
3-60680.9247202742.556412.9116148.31-6997.75-22505.310.920.68-0.031-1291.08
4-11413847212644.687040.9528384.99-10076.83-39490.450.70.56-0.042-2428.46
5-89093.647212644.688328.6530342.58-10153.66-51767.390.820.66-0.029-1895.61
6-13730547182938.310305.5531321.37-11131.21-48574.690.930.57-0.041-2921.39
7-12334547182938.312381.2533278.96-11938.18-36787.561.040.64-0.036-2624.35
8-15185947202742.5510894.3636867.86-13694.32-51295.340.80.59-0.039-3231.05
9-18873947192840.4312535.0736867.86-15246.62-71682.880.820.56-0.041-4015.72
10-17148347242351.061061934910.28-18536.49-83040.940.570.6-0.036-3648.58

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.67. 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 53.19%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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-1146210.5547252253.194595.3918400.76-3121.55-7041.541.471.670.042983.2
atrnil39.05-92132.494463813.6437485.3850740.72-8343.28-17138.854.490.71-0.027-2093.92
atrtrail35.22-89920.7155173830.919700.8733235.91-6706.2-16179.111.450.65-0.034-1634.92
atrtrail25.02-95397.4355173830.919378.7131286-6706.2-16179.111.40.63-0.037-1734.5
atrnil27.52-1331174683817.3923056.2333827.14-8357.02-17138.852.760.58-0.048-2893.84
atrtrail-15.36-10762855173830.918659.2929215.55-6706.2-16179.111.290.58-0.044-1956.87
50trail21.44-69885.4768145420.596297.237921.14-2926.79-3958.042.150.56-0.056-1027.73
50nil21.54-71777.2567145320.96297.237921.14-3017.71-3992.592.090.55-0.058-1071.3
50nil31.83-94418.226595613.858551.1311388.98-3060.33-3992.592.790.45-0.074-1452.59
50trail31.64-93498.9167105714.936941.5110600.54-2858.14-3958.042.430.43-0.079-1395.51
50trail-11.97-1081216795813.436323.3715871.31-2845.37-3958.042.220.34-0.095-1613.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 53.19%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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.
KOTAKBANK Performance, X=1, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jan 2019 (-1.43%), 30 Jan 2019 (-2.75%)
2018113 Nov 2018 (3.09%)
2017118 Jan 2017 (0.4%)
2016104 Mar 2016 (2.27%)
2015307 Oct 2015 (1.04%), 10 Nov 2015 (-1.34%), 04 Dec 2015 (-1.05%)
2014106 Mar 2014 (-3.52%)
2011329 Apr 2011 (3.95%), 30 May 2011 (-1.6%), 20 Jun 2011 (-0.45%)
2010423 Apr 2010 (-1.4%), 20 May 2010 (1.24%), 25 Jun 2010 (-1.63%), 14 Jul 2010 (-0.77%)
2009123 Mar 2009 (1.43%)
2008328 Jul 2008 (9.2%), 15 Dec 2008 (0.46%), 30 Dec 2008 (1.2%)
2006222 Feb 2006 (-0.65%), 10 Mar 2006 (2.62%)
2005107 Nov 2005 (-3.51%)
2004302 Jul 2004 (-1.72%), 13 Aug 2004 (-0.54%), 29 Oct 2004 (-0.22%)
2003226 May 2003 (2.49%), 10 Jun 2003 (1.36%)
2001210 Oct 2001 (1.59%), 25 Oct 2001 (2.38%)
1999429 Jan 1999 (1.53%), 03 Mar 1999 (0.78%), 26 Mar 1999 (3.49%), 24 Jun 1999 (-2.34%)
1998705 Jan 1998 (1.79%), 05 Mar 1998 (0.21%), 14 May 1998 (3.45%), 16 Sep 1998 (-1.63%), 02 Nov 1998 (3.98%), 18 Nov 1998 (-1.5%), 29 Dec 1998 (-3.37%)
1997224 Jan 1997 (-0.78%), 03 Jul 1997 (-1.48%)
1996401 Apr 1996 (0.65%), 25 Apr 1996 (-0.63%), 17 May 1996 (5.46%), 26 Jul 1996 (1.37%)



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