Study: Buy KOTAKBANK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
152733.3584483657.143124.9616053.51-2701.8-10473.681.161.540.033627.78
296606.2484503459.524649.8333377.93-3996.62-18421.051.161.710.0371150.07
396135.7484483657.145788.6552107.02-5047.77-19842.111.151.530.0281144.47
497959.3584483657.146945.4972307.69-6539.56-34210.531.061.420.0211166.18
511504984503459.527385.1668361.2-7476.73-42526.320.991.450.0241369.64
611847184523261.97028.3860802.68-7718.91-29894.740.911.480.0271410.36
715517584434151.198952.0281672.24-5603.95-20736.991.61.680.0311847.32
817641483434051.819950.27104214-6286.2-22922.81.581.70.032125.47
920899283443953.0112004.64108495-8184.92-49813.011.471.650.0312517.98
1026737683493459.0411778.7196989.97-9111.19-40962.351.291.860.043221.4
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil39.1618513980265432.520448.7573923.39-6417.19-18333.733.191.530.0322314.24
50trail-14.13112595116387832.768728.4364882.94-2808.79-3840.623.111.510.023970.65
atrtrail-15.62118238105406538.110129.6583993.45-4414.58-18333.732.291.410.0191126.08
atrtrail34.8997176.61105406538.19603.173923.39-4414.58-18333.732.181.340.018925.49
atrnil26.6410802486335338.3713383.4149282.26-6294.88-18333.732.131.320.0241256.09
50trail22.4156274.04123467737.459687935.4-2834.47-3949.462.111.260.022457.51
50nil33.3755330.56108327629.639071.7511679.81-3091.65-3930.372.931.240.019512.32
50nil22.5950839.92119457437.826198.627935.4-3082.4-3949.462.011.220.019427.23
50trail32.9246944.42117407734.196614.3811903.11-2826.37-3840.622.341.220.017401.23
atrtrail24.3459458.59106416538.688448.9349282.26-4414.58-18333.731.911.210.013560.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.53. 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 32.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.16%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.032, 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, Profit Factor:1.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019612 Mar 2019 (5.18%), 02 Jul 2019 (-1.94%), 10 Jul 2019 (-1.96%), 23 Jul 2019 (-2.25%), 08 Aug 2019 (-2.45%), 27 Aug 2019 (-2.4%)
2018411 Jan 2018 (4.3%), 06 Feb 2018 (7.36%), 04 Apr 2018 (6.24%), 20 Jul 2018 (-2.02%)
2017929 Jun 2017 (5.21%), 08 Aug 2017 (-1.75%), 17 Aug 2017 (-1.99%), 05 Sep 2017 (5.61%), 25 Sep 2017 (-1.89%), 28 Sep 2017 (6.37%), 26 Oct 2017 (-2.66%), 21 Nov 2017 (-1.97%), 15 Dec 2017 (-1.67%)
2016712 Jan 2016 (-2.1%), 05 Feb 2016 (-2.63%), 05 Jul 2016 (6.18%), 26 Jul 2016 (6.12%), 26 Sep 2016 (-1.68%), 03 Oct 2016 (-1.88%), 24 Oct 2016 (-1.73%)
2015804 Feb 2015 (-2.77%), 11 Feb 2015 (8.24%), 13 Mar 2015 (-2.91%), 21 Apr 2015 (-2.91%), 22 Apr 2015 (-3.09%), 18 May 2015 (-3.14%), 22 Jun 2015 (8.6%), 31 Jul 2015 (-2.67%)
2014226 Jun 2014 (9.93%), 29 Sep 2014 (7.19%)
2013909 Jan 2013 (-1.82%), 24 Jan 2013 (6.1%), 21 Feb 2013 (-1.86%), 15 Mar 2013 (-2.14%), 17 Apr 2013 (7.92%), 20 Jun 2013 (-2.6%), 11 Jul 2013 (-2.9%), 22 Nov 2013 (8.26%), 27 Dec 2013 (-2.47%)
2012913 Jan 2012 (10.47%), 27 Mar 2012 (-3.5%), 10 Apr 2012 (10.08%), 04 May 2012 (-3.14%), 29 May 2012 (-3.35%), 14 Jun 2012 (-3.02%), 28 Aug 2012 (-2.26%), 29 Oct 2012 (-2.57%), 01 Nov 2012 (7.7%)
2011628 Jul 2011 (-3.23%), 13 Sep 2011 (-3.54%), 28 Sep 2011 (-3.39%), 10 Oct 2011 (11.58%), 17 Nov 2011 (-3.29%), 16 Dec 2011 (-3.53%)
2010405 Apr 2010 (-2.82%), 26 Apr 2010 (-2.78%), 10 May 2010 (-3.23%), 02 Nov 2010 (-3.24%)
2009306 Jul 2009 (-7.55%), 16 Jul 2009 (19.38%), 07 Dec 2009 (-4.27%)
2007223 Feb 2007 (-6.23%), 02 Apr 2007 (14.52%)
2006121 Jul 2006 (18.63%)
2005325 Jan 2005 (14.28%), 04 Apr 2005 (-6.75%), 07 Apr 2005 (-6.38%)
2004105 Feb 2004 (-4.95%)
2003324 Jan 2003 (-3.62%), 25 Feb 2003 (-4.98%), 08 Dec 2003 (13.43%)
2002101 Aug 2002 (-6.22%)
2000218 Jan 2000 (36.96%), 08 Feb 2000 (-9.17%)



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