Study: Buy KOTAKBANK when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when there is Golden Cross (50 DMA > 200 DMA)" 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
114714.081596604028.8320004.49-3590.9-6447.371.121.680.034980.94
28859.02158753.336252.0215878-5879.59-17368.421.061.220.016590.6
3-6274.35157846.676227.8629647.9-6233.67-19736.8410.87-0.0088-418.29
42236.52157846.677571.1633146.45-6345.2-22763.161.191.040.0028149.1
5-12121.0615694011064.5839336.17-8723.17-31710.531.270.85-0.012-808.07
632638.44157846.6714301.2344404.58-8433.77-14899.141.71.480.032175.9
769121.87158753.3315970.8844388.61-8377.88-16876.371.912.180.0584608.12
856791.81158753.3317016.4840591.85-11334.29-23991.511.51.720.0453786.12
936335.07158753.3313733.3840647.68-10504.57-27255.841.311.490.0322422.34
1015861.37158753.3312723.2140033.5-12274.91-42436.311.041.180.0121057.42
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
KOTAKBANK Performance, X=7, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Feb 2019 (-3.7%)
2017114 Mar 2017 (3.83%)
2016112 May 2016 (-3.25%)
2015130 Dec 2015 (-1.98%)
2014109 Apr 2014 (2.13%)
2013103 Nov 2013 (-3.41%)
2011119 Jul 2011 (-8.44%)
2010111 Aug 2010 (6.63%)
2009129 May 2009 (0.63%)
2006108 May 2006 (-4.79%)
2004122 Nov 2004 (18.26%)
2003221 Jan 2003 (-3.76%), 17 Jul 2003 (22.19%)
2002123 Jan 2002 (7.7%)
1999115 Jul 1999 (2.51%)

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
atrnil36.2943497.731771041.1817833.4928754.87-8133.67-15108.192.191.530.0392558.69
atrnil25.121886.251771041.1811888.9919169.91-8133.67-15108.191.461.020.0022110.96
atrtrail34.12-326.221761135.2911318.9821092.72-6203.64-14902.741.821-0.00039-19.19
atrtrail-14.69-14918.651651131.2510664.2935220.94-6203.64-14902.741.720.78-0.017-932.42
atrtrail23.88-22416.291761135.297637.314061.82-6203.64-14902.741.230.67-0.034-1318.61

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 41.18%, which is not acceptable. Avoid this strategy. Average return per trade is 1.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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
2019115 Feb 2019 (-1.97%)
2017114 Mar 2017 (5.6%)
2016212 May 2016 (-2.42%), 13 May 2016 (7.57%)
2015130 Dec 2015 (-1.79%)
2014109 Apr 2014 (7.33%)
2013103 Nov 2013 (-3.05%)
2011119 Jul 2011 (-2.6%)
2010111 Aug 2010 (7.18%)
2009129 May 2009 (-7.55%)
2006108 May 2006 (-5.08%)
2004222 Nov 2004 (9.81%), 24 Nov 2004 (10.55%)
2003221 Jan 2003 (-3.27%), 17 Jul 2003 (14.38%)
2002123 Jan 2002 (-7.01%)
1999115 Jul 1999 (-5.91%)



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