Study: Sell KOTAKBANK when below 200 SMA and RSI is overbought

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In this study, we evaluate the performance of strategy "Sell KOTAKBANK when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-70095.11239253388.724674.41-8917.92-16718.270.380.13-0.17-5841.26
2-63899.41124833.335325.627392.06-10650.24-21232.880.50.25-0.12-5324.95
3-75547.56125741.677704.8219608.52-16295.95-32776.930.470.34-0.092-6295.63
4-121027124833.3313405.6829925.16-21831.19-45523.520.610.31-0.1-10085.57
5-56505.34125741.6711755.5128831.32-16468.98-34597.880.710.51-0.06-4708.78
6-38409.15125741.6711318.0128543.47-13571.31-20009.910.830.6-0.047-3200.76
7-14186.46124833.3317502.9633103.05-10524.79-19726.861.660.83-0.016-1182.21
814111.89125741.6715157.326044.91-8810.66-21547.81.721.230.0171175.99
945356.21127558.3310212.5322440.99-5226.29-11986.31.952.740.0783779.68
1048063.5712665015633.9425388.6-7623.34-13817.382.052.050.0624005.3
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=9, Profit Factor:2.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2009106 Apr 2009 (0.22%)
2008105 May 2008 (11.22%)
2006124 Mar 2006 (-0.38%)
2005102 Dec 2005 (-3.56%)
2001115 Nov 2001 (0.52%)
1999107 Jan 1999 (10.28%)
1998209 Mar 1998 (-1.16%), 09 Apr 1998 (-1.97%)
1997209 Jul 1997 (3.39%), 06 Aug 1997 (-5.99%)
1996214 Feb 1996 (5.11%), 28 Aug 1996 (5.0%)

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
atrtrail32.76-51292.592151623.8118490.0231205.06-8983.92-12598.972.060.64-0.039-2442.5
atrnil22.76-56729.312151623.8119933.1622634.65-9774.7-12929.852.040.64-0.044-2701.4
atrtrail-13.52-52801.682151623.8118188.2137781.72-8983.92-12598.972.020.63-0.04-2514.37
atrtrail22.52-61634.372151623.8116421.6720803.37-8983.92-12598.971.830.57-0.054-2934.97
atrnil34.52-85370.082131814.2930214.4931205.06-9778.53-12929.853.090.51-0.06-4065.24

In the table above, row 1 shows the best exit criterion. Profit factor is 0.64. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KOTAKBANK Performance, Profit Factor:0.643

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2009206 Apr 2009 (-4.24%), 13 Apr 2009 (-6.2%)
2008105 May 2008 (15.46%)
2006124 Mar 2006 (-2.35%)
2005202 Dec 2005 (-1.72%), 08 Dec 2005 (4.63%)
2001315 Nov 2001 (-4.3%), 20 Nov 2001 (-5.28%), 22 Nov 2001 (-6.3%)
1999107 Jan 1999 (-5.06%)
1998409 Mar 1998 (-5.98%), 11 Mar 1998 (2.54%), 09 Apr 1998 (-5.25%), 10 Apr 1998 (-4.99%)
1997409 Jul 1997 (-4.26%), 10 Jul 1997 (-4.17%), 11 Jul 1997 (8.0%), 06 Aug 1997 (-4.85%)
1996314 Feb 1996 (15.6%), 28 Aug 1996 (-3.29%), 29 Aug 1996 (-3.63%)



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