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

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when near 200 SMA and above 200 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
118086.4358362262.073262.7212459.86-4516.89-37986.10.721.180.01311.84
251941.1258342458.624424.4419845.86-4103.75-12792.731.081.530.033895.54
358958.0658322655.176042.7624139.04-5169.62-14629.451.171.440.0291016.52
465687.7458302851.727362.8320057.19-5542.76-20589.891.331.420.0281132.55
568621.0558312753.458122.825571.9-6784.66-28668.041.21.370.0261183.12
673056.9558273146.5510390.7224101.31-6693.31-21008.41.551.350.0261259.6
713577.2158253343.19591.7627001.63-6855.05-22165.881.41.060.0048234.09
86994.1458283048.289192.7232026.14-8346.74-21848.741.11.030.0023120.59
93423.54582929508617.7929166.67-8499.74-20448.181.011.010.001259.03
1091046.3358332556.99047.8227696.08-8301.26-26330.531.091.440.031569.76
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
atrnil312.5911016246153132.6123273.6945526.83-7707.85-18921.63.021.460.0322394.83
atrtrail-16.3363832.8766224433.3312726.2160079.77-4912.36-18921.62.591.30.017967.16
atrtrail35.3249950.9466224433.3312095.2136753.03-4912.36-18921.62.461.230.015756.83
200trail32.2526608.4887266129.897332.0211993.18-2688.92-3983.792.731.160.013305.84
200nil32.7722571.4682235928.058862.8511993.18-3072.44-3991.912.881.120.01275.26
atrnil27.0527627.2855203536.3614508.630351.22-7501.28-18921.61.931.110.0093502.31
atrtrail24.6421741.866224433.3310812.9824502.02-4912.36-18921.62.21.10.0079329.42
200trail-13.3712030.1886226425.588244.7944301.01-2646.18-3983.793.121.070.0043139.89
200nil22.0811576.5785305535.296019.267995.46-3072.75-3991.911.961.070.0064136.19
200trail21.925186.2488295932.955795.097995.46-2760.53-3983.792.11.030.002958.93

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 32.61%, which is not acceptable. Avoid this strategy. Average return per trade is 1.2%, 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. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KOTAKBANK Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018425 Sep 2018 (-2.84%), 19 Oct 2018 (-3.35%), 29 Nov 2018 (-2.54%), 11 Dec 2018 (11.56%)
2016722 Jan 2016 (-2.81%), 29 Jan 2016 (-2.75%), 01 Apr 2016 (-2.5%), 12 Apr 2016 (-2.33%), 22 Apr 2016 (7.2%), 24 Nov 2016 (-2.66%), 09 Dec 2016 (-2.25%)
2015203 Nov 2015 (-2.39%), 16 Nov 2015 (-2.73%)
2014203 Jan 2014 (-2.52%), 07 Mar 2014 (7.68%)
2013308 Apr 2013 (7.64%), 26 Jul 2013 (-3.93%), 01 Oct 2013 (14.09%)
2012216 Jan 2012 (10.8%), 27 Jul 2012 (8.78%)
2011909 Mar 2011 (-3.9%), 19 Apr 2011 (-2.78%), 07 Jun 2011 (-2.64%), 14 Jun 2011 (-2.48%), 24 Jun 2011 (8.08%), 29 Jul 2011 (-3.37%), 16 Aug 2011 (-4.09%), 29 Aug 2011 (12.12%), 23 Dec 2011 (-4.21%)
2010125 Feb 2010 (14.4%)
2006403 Apr 2006 (-4.34%), 17 Apr 2006 (14.01%), 07 Jun 2006 (-9.46%), 03 Jul 2006 (22.76%)
2004306 Jul 2004 (-5.0%), 12 Jul 2004 (-4.98%), 27 Sep 2004 (-3.4%)
2003407 Jan 2003 (11.29%), 31 Mar 2003 (-5.88%), 16 May 2003 (-3.96%), 27 Jun 2003 (12.07%)
2002224 Oct 2002 (-2.76%), 06 Dec 2002 (12.08%)
2001230 Jul 2001 (-7.95%), 23 Nov 2001 (-6.26%)
1998120 Apr 1998 (-6.43%)



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