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

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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 and RSI is below 50" 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
16815.472281436.365068.7210929.47-2409.59-5490.12.11.20.015309.79
2-4255.652291340.914778.7713078-3635.73-7563.921.310.91-0.008-193.44
3-37729.052271531.825633.3611489.96-5144.17-10783.621.10.51-0.059-1714.96
4-50608.32281436.366146.0813358.24-7126.93-14799.420.860.49-0.064-2300.38
5-61129.612261627.277418.6114198.97-6602.58-18074.071.120.42-0.074-2778.62
6-50229.392281436.368471.2820256.78-8428.55-22984.131.010.57-0.046-2283.15
7-46047.652281436.3611877.8424679.03-10076.45-26031.751.180.67-0.033-2093.07
8-87532.122291340.916416.8315977.18-11175.66-32084.660.570.4-0.071-3978.73
9-1100702281436.369716.4416405.14-13414.39-61988.30.720.41-0.061-5003.18
10-9805922101245.4510218.5617000-16687.05-83040.940.610.51-0.044-4457.23

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.2. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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-116815.472281436.365068.7210929.47-2409.59-5490.12.11.20.015309.79
atrtrail24.89-65960.142772025.938144.0923360.36-6148.44-13666.31.320.46-0.064-2442.97
50trail21.39-46008.53352815.156859.197592.65-2868.02-3900.572.390.43-0.082-1394.2
atrtrail35-71128.742772025.937405.7224722.99-6148.44-13666.31.20.42-0.071-2634.4
50nil21.39-48654.853352815.156859.197592.65-2962.53-3992.592.320.41-0.086-1474.39
atrnil37.57-102645232218.729881.7635040.53-7733.72-17138.853.860.37-0.084-4462.81
atrtrail-15.04-80207.772772025.936108.7215643.96-6148.44-13666.30.990.35-0.093-2970.66
50nil31.64-60174.51333309.099981.0711388.98-3003.92-3992.593.320.33-0.1-1823.47
50trail31.58-58702.083342912.125599.539477.15-2796.56-3900.5720.28-0.12-1778.85
atrnil27.22-122566232218.719921.1823360.36-7733.72-17138.852.580.25-0.13-5328.95
50trail-11.82-61778.833342912.124830.359416.16-2796.56-3900.571.730.24-0.14-1872.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 36.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.15%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jan 2019 (-1.43%), 30 Jan 2019 (-2.75%)
2015210 Nov 2015 (-1.34%), 04 Dec 2015 (-1.05%)
2011229 Apr 2011 (3.95%), 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%)
2006222 Feb 2006 (-0.65%), 10 Mar 2006 (2.62%)
2004213 Aug 2004 (-0.54%), 29 Oct 2004 (-0.22%)
2003110 Jun 2003 (1.36%)
1999229 Jan 1999 (1.53%), 24 Jun 1999 (-2.34%)
1998214 May 1998 (3.45%), 18 Nov 1998 (-1.5%)
1997124 Jan 1997 (-0.78%)
1996201 Apr 1996 (0.65%), 17 May 1996 (5.46%)



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