Study: Buy KOTAKBANK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when below 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
1-91724.8879354444.35435.5239656.77-6408.37-20903.650.850.67-0.028-1161.07
2-61871.4479413851.97374.2839024.39-9584.65-51833.370.770.83-0.013-783.18
3-16825.0979443555.79243.5164705.88-12101.13-55364.240.760.96-0.0028-212.98
462880.4679374246.8413456.5477647.06-10357.42-43901.221.31.140.0093795.96
514255779423753.1613632.360588.24-11621.61-38926.171.171.330.0211804.52
617686679384148.117960.0352439.02-12332.08-33771.931.461.350.0242238.81
718432479384148.117464.171777.78-11690.53-33333.331.491.380.0262333.22
818955179403950.6317444.2677666.67-13031.26-32392.891.341.370.0252399.38
914092179384148.118732.4689222.22-13924.71-35765.771.351.250.0181783.81
1046293.2579384148.116473.0589222.22-14138.6-45033.291.171.080.006585.99
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
atrtrail-15.2193136.981514610530.4621737.13100100-8635.92-33597.272.521.10.0064616.8
atrnil38.7778127.7412535902833191.0275643.85-12039.53-35347.762.761.070.0059625.02
atrnil26-93084.22131438832.8222321.3550429.23-11964.8-35347.761.870.91-0.0084-710.57
atrtrail24.07-89207.011514810331.7916941.1850429.23-8761.01-33597.271.930.9-0.0085-590.77
atrtrail34.48-1713361514610530.4615987.7346968.28-8635.92-33597.271.850.81-0.017-1134.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 30.46%, which is not acceptable. Avoid this strategy. Average return per trade is 0.31%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0064, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Jan 2019 (5.05%)
2018321 Sep 2018 (-2.55%), 27 Sep 2018 (-2.93%), 01 Oct 2018 (-3.63%)
2017104 Jan 2017 (11.91%)
2016718 Jan 2016 (-2.15%), 20 Jan 2016 (0.19%), 11 Feb 2016 (-1.13%), 25 Feb 2016 (-1.47%), 02 Dec 2016 (1.08%), 16 Dec 2016 (-1.9%), 26 Dec 2016 (-0.51%)
2015424 Aug 2015 (-3.33%), 26 Aug 2015 (0.21%), 01 Sep 2015 (-1.76%), 04 Sep 2015 (6.16%)
2014402 Jan 2014 (-1.53%), 24 Jan 2014 (-2.61%), 27 Jan 2014 (-1.98%), 10 Feb 2014 (-2.33%)
2013509 Apr 2013 (0.35%), 29 Jul 2013 (-4.03%), 06 Aug 2013 (-0.26%), 19 Aug 2013 (-0.97%), 28 Aug 2013 (1.62%)
20111610 Jan 2011 (-1.21%), 14 Jan 2011 (1.1%), 27 Jan 2011 (-4.16%), 28 Jan 2011 (-2.9%), 02 Feb 2011 (-2.87%), 04 Feb 2011 (-4.64%), 08 Feb 2011 (16.66%), 29 Apr 2011 (-3.52%), 02 May 2011 (0.87%), 19 May 2011 (-1.38%), 05 Aug 2011 (-3.39%), 22 Aug 2011 (-4.1%), 26 Aug 2011 (9.17%), 05 Oct 2011 (15.57%), 23 Nov 2011 (2.14%), 30 Dec 2011 (6.86%)
2010123 Feb 2010 (10.84%)
2009515 Jan 2009 (-6.55%), 22 Jan 2009 (-6.76%), 20 Feb 2009 (-0.71%), 03 Mar 2009 (-6.84%), 05 Mar 2009 (31.68%)
20081908 Feb 2008 (-3.05%), 03 Mar 2008 (-9.04%), 04 Mar 2008 (-9.85%), 07 Mar 2008 (-0.29%), 18 Mar 2008 (8.9%), 23 May 2008 (-5.66%), 26 May 2008 (1.14%), 02 Jun 2008 (-3.58%), 04 Jun 2008 (-5.51%), 12 Jun 2008 (2.5%), 23 Jun 2008 (-7.51%), 25 Jun 2008 (-7.96%), 30 Jun 2008 (-4.64%), 03 Jul 2008 (10.9%), 06 Oct 2008 (-9.41%), 07 Oct 2008 (-6.87%), 20 Oct 2008 (-8.25%), 23 Oct 2008 (-12.03%), 24 Oct 2008 (-16.8%)
2006108 Jun 2006 (6.51%)
2005425 Aug 2005 (-5.82%), 06 Oct 2005 (-4.14%), 17 Oct 2005 (-6.02%), 19 Oct 2005 (-1.43%)
2004217 May 2004 (17.65%), 26 Oct 2004 (50.05%)
2003407 Mar 2003 (-5.28%), 10 Mar 2003 (4.04%), 10 Apr 2003 (3.77%), 24 Jun 2003 (16.17%)
2002325 Oct 2002 (-3.15%), 28 Oct 2002 (-1.22%), 11 Nov 2002 (-0.29%)
2001424 Jul 2001 (5.38%), 12 Sep 2001 (-3.71%), 14 Sep 2001 (-5.45%), 17 Sep 2001 (21.65%)
1999604 Feb 1999 (-3.64%), 09 Feb 1999 (-0.29%), 05 Apr 1999 (-6.31%), 13 Apr 1999 (3.69%), 26 Apr 1999 (-2.04%), 10 May 1999 (39.77%)
19981912 Jan 1998 (-6.8%), 21 Jan 1998 (-6.38%), 27 Jan 1998 (-2.29%), 04 Feb 1998 (-5.65%), 06 Feb 1998 (-6.53%), 09 Feb 1998 (-4.43%), 20 Feb 1998 (44.25%), 12 May 1998 (-7.84%), 13 May 1998 (4.08%), 02 Jun 1998 (9.93%), 26 Jun 1998 (-8.95%), 06 Jul 1998 (4.59%), 03 Aug 1998 (-6.59%), 10 Aug 1998 (-3.11%), 05 Oct 1998 (-0.82%), 12 Oct 1998 (-0.57%), 20 Oct 1998 (30.76%), 24 Nov 1998 (-3.33%), 22 Dec 1998 (0.78%)
19972431 Jan 1997 (-5.48%), 03 Feb 1997 (-1.81%), 24 Feb 1997 (19.84%), 25 Mar 1997 (-1.6%), 31 Mar 1997 (-5.25%), 01 Apr 1997 (4.93%), 05 May 1997 (-1.71%), 13 May 1997 (-4.52%), 16 May 1997 (-4.76%), 19 May 1997 (-5.28%), 20 May 1997 (-5.81%), 22 May 1997 (2.2%), 28 Aug 1997 (-6.6%), 29 Aug 1997 (-7.1%), 03 Sep 1997 (-4.63%), 22 Oct 1997 (-3.97%), 24 Oct 1997 (-4.15%), 28 Oct 1997 (4.63%), 13 Nov 1997 (-3.34%), 19 Nov 1997 (-2.93%), 21 Nov 1997 (-4.83%), 01 Dec 1997 (-2.75%), 09 Dec 1997 (-5.81%), 30 Dec 1997 (9.92%)
19961809 Jan 1996 (-5.45%), 18 Jan 1996 (-4.68%), 22 Jan 1996 (-4.8%), 24 Jan 1996 (-4.83%), 19 Mar 1996 (-2.33%), 26 Mar 1996 (5.0%), 23 May 1996 (-4.15%), 28 May 1996 (5.04%), 28 Jun 1996 (-4.28%), 01 Jul 1996 (-5.27%), 02 Jul 1996 (-5.69%), 20 Sep 1996 (-6.28%), 26 Sep 1996 (-1.97%), 07 Oct 1996 (1.27%), 27 Nov 1996 (-4.41%), 28 Nov 1996 (-4.93%), 29 Nov 1996 (-5.37%), 04 Dec 1996 (39.16%)



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