Study: Buy KOTAKBANK when above 200 SMA and near 50 SMA and above 50 SMA and ADX is Trending

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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 and ADX is Trending" 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
1-5041.071899503401.8316053.51-3961.95-10473.680.860.86-0.011-280.06
28678.881899506221.0333377.93-5256.71-18421.051.181.180.01482.16
330969.111810855.567500.9152107.02-5505-19842.111.361.70.0271720.51
420624.051871138.8912901.1572307.69-6334.91-34210.532.041.30.0121145.78
526454.031811761.118901.7868361.2-10209.36-42526.320.871.370.0161469.67
614364.731810855.568573.8760802.68-8921.74-29894.740.961.20.0099798.04
745685.691871138.8914763.0181672.24-5241.39-17442.552.821.790.0262538.09
850172.971881044.4414794.03104214-6817.93-22922.82.171.740.0232787.39
934165.831881044.4415627.56108495-9085.46-29817.321.721.380.0141898.1
1013490.181871138.8916501.1196989.97-9274.33-28210.531.781.130.0061749.45
Although, strategy looks good but profit factor on day 1 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
50trail-13.6434207.412241818.1820434.3364882.94-2640.55-3794.67.741.720.0231554.88
atrnil36.8546331.76206143025079.3973923.39-7438.9-18333.733.371.440.0252316.59
atrtrail-14.84496.55206143015215.0183993.45-6199.54-18333.732.451.050.0024224.83
50trail22.36551.5225817325936.947602.7-2761.41-3949.462.151.010.001122.06
atrnil26.4-3827.01206143016719.5949282.26-7438.9-18333.732.250.96-0.0028-191.35
atrtrail34.5-5573.52206143013536.6773923.39-6199.54-18333.732.180.94-0.0033-278.68
50nil22.4-3604.8125817325936.947602.7-3005.9-3949.461.980.93-0.0071-144.19
50nil33.43-7793.032351821.749110.2210624.22-2963.56-3840.233.070.85-0.014-338.83
50trail32.78-10150.262351821.747592.0110624.22-2672.79-3801.352.840.79-0.02-441.32
atrtrail24.4-30214.6420614309429.8149282.26-6199.54-18333.731.520.65-0.025-1510.73

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 18.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.023, 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:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018120 Jul 2018 (-1.44%)
2017429 Jun 2017 (-1.17%), 30 Jun 2017 (4.91%), 08 Aug 2017 (-1.47%), 26 Oct 2017 (-0.61%)
2016126 Sep 2016 (-1.66%)
2015204 Feb 2015 (-1.38%), 11 Feb 2015 (-1.12%)
2014226 Jun 2014 (-1.04%), 29 Sep 2014 (-0.67%)
2013120 Jun 2013 (-1.53%)
2012229 Oct 2012 (-1.31%), 01 Nov 2012 (0.85%)
2011128 Jul 2011 (-1.43%)
2010102 Nov 2010 (2.66%)
2007223 Feb 2007 (-1.9%), 26 Feb 2007 (-1.17%)
2005104 Apr 2005 (-0.76%)
2004123 Apr 2004 (-1.79%)
2003125 Feb 2003 (-1.61%)
2000218 Jan 2000 (32.44%), 08 Feb 2000 (-1.71%)



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