Study: Buy KOTAKBANK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when 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
1-32116.2644242054.554054.615767.63-6471.34-31520.070.630.75-0.02-729.91
24475.0244261859.095676.7732780.08-7951.16-21591.390.711.030.0022101.7
380899.6344261859.098701.251452.28-8073.98-21295.611.081.560.0331838.63
415180744251956.8211683.8871784.23-7383.7-19806.41.582.080.0473450.15
528032044271761.3614994.9193775.93-7326.04-22727.272.053.250.076370.9
637639944301468.1816978.43117427-9496.7-42751.841.793.830.0748554.53
74781784433117518632.23143154-12425.91-44410.321.54.50.07910867.69
848920844321272.7320469.71170954-13818.6-41154.791.483.950.07311118.36
943506644281663.6421672.71200830-10735.61-43120.392.023.530.069887.87
1034200244242054.5521227.19168880-8372.52-28741.622.543.040.0567772.77
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
KOTAKBANK Performance, X=7, Profit Factor:4.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jun 2019 (2.07%), 29 Aug 2019 (1.68%)
2018202 Aug 2018 (0.54%), 05 Sep 2018 (-0.63%)
2017129 Jun 2017 (2.07%)
2016229 Sep 2016 (0.98%), 21 Nov 2016 (-0.95%)
2015306 Feb 2015 (3.23%), 27 Mar 2015 (10.12%), 11 Jun 2015 (6.01%)
2014129 Sep 2014 (0.51%)
2013511 Jan 2013 (1.71%), 27 Feb 2013 (3.34%), 19 Mar 2013 (2.15%), 21 Jun 2013 (-1.88%), 26 Jul 2013 (-6.15%)
2012322 Mar 2012 (7.41%), 09 May 2012 (3.29%), 20 Jul 2012 (-4.85%)
2011407 Jan 2011 (-6.89%), 29 Jul 2011 (0.67%), 04 Oct 2011 (7.71%), 21 Nov 2011 (1.1%)
2010325 Jan 2010 (-3.73%), 29 Oct 2010 (6.06%), 09 Dec 2010 (0.44%)
2009323 Jun 2009 (7.58%), 08 Jul 2009 (12.76%), 29 Oct 2009 (10.41%)
2008121 Jan 2008 (8.08%)
2007213 Jun 2007 (11.74%), 16 Aug 2007 (2.33%)
2005119 Apr 2005 (4.33%)
2004227 Apr 2004 (5.54%), 14 May 2004 (3.93%)
2003121 Nov 2003 (15.19%)
2002210 May 2002 (-22.21%), 24 Oct 2002 (-5.31%)
2001112 Jul 2001 (-4.35%)
2000312 Jan 2000 (15.83%), 25 Feb 2000 (39.39%), 16 Mar 2000 (-11.39%)
1999205 Aug 1999 (71.58%), 20 Sep 1999 (37.65%)

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-15.9239473663313249.2121012.92183831-8020.75-24554.212.622.540.0456265.66
atrnil39.0536407156243242.8627360.2666978.23-9142.96-24554.212.992.240.0646501.27
atrtrail34.7924037863313249.2116033.6373923.39-8020.75-24554.2121.940.0433815.53
atrnil26.3320236857282949.1217111.9744652.15-9543.7-24554.211.791.730.0473550.31
atrtrail24.0515345563313249.2113229.6549282.26-8020.75-24554.211.651.60.0352435.8

In the table above, row 1 shows the best exit criterion. Profit factor is 2.54. 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 49.21%, which is not acceptable. Avoid this strategy. Average return per trade is 3.13%, which is very good. Sharpe Ratio is 0.045, 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:2.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jun 2019 (1.76%), 29 Aug 2019 (-2.46%), 03 Sep 2019 (2.45%)
2018402 Aug 2018 (0.11%), 16 Aug 2018 (0.25%), 05 Sep 2018 (-0.24%), 10 Sep 2018 (-0.76%)
2017129 Jun 2017 (0.43%)
2016329 Sep 2016 (0.56%), 21 Nov 2016 (-1.68%), 24 Nov 2016 (-0.73%)
2015306 Feb 2015 (3.84%), 27 Mar 2015 (8.19%), 11 Jun 2015 (-0.48%)
2014229 Sep 2014 (-0.27%), 16 Oct 2014 (11.24%)
2013711 Jan 2013 (5.92%), 27 Feb 2013 (-0.99%), 19 Mar 2013 (0.29%), 21 Jun 2013 (-2.62%), 24 Jun 2013 (0.45%), 26 Jun 2013 (1.92%), 26 Jul 2013 (-3.93%)
2012622 Mar 2012 (0.54%), 09 May 2012 (-0.02%), 20 Jul 2012 (-2.64%), 23 Jul 2012 (-2.71%), 25 Jul 2012 (-2.2%), 27 Jul 2012 (9.61%)
2011407 Jan 2011 (-3.21%), 29 Jul 2011 (-0.26%), 04 Oct 2011 (12.44%), 21 Nov 2011 (-3.42%)
2010525 Jan 2010 (-3.43%), 04 Feb 2010 (-4.38%), 05 Feb 2010 (1.39%), 29 Oct 2010 (3.41%), 09 Dec 2010 (0.14%)
2009423 Jun 2009 (4.07%), 08 Jul 2009 (11.49%), 29 Oct 2009 (-4.06%), 03 Nov 2009 (16.85%)
2008121 Jan 2008 (-10.18%)
2007313 Jun 2007 (10.0%), 16 Aug 2007 (-5.8%), 23 Aug 2007 (10.44%)
2005119 Apr 2005 (2.54%)
2004227 Apr 2004 (2.87%), 14 May 2004 (-4.31%)
2003121 Nov 2003 (10.7%)
2002510 May 2002 (-6.67%), 14 May 2002 (-4.11%), 17 May 2002 (-7.67%), 20 May 2002 (-9.15%), 24 Oct 2002 (-2.76%)
2001210 Jul 2001 (-9.58%), 20 Jul 2001 (-6.66%)
2000412 Jan 2000 (-8.65%), 18 Jan 2000 (42.0%), 25 Feb 2000 (28.38%), 16 Mar 2000 (-12.28%)
1999205 Aug 1999 (91.92%), 20 Sep 1999 (29.53%)



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