Study: Buy KOTAKBANK when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-16930.2920137653066.9312459.86-8114.35-37986.10.380.7-0.019-846.51
25466.0420137653554.5119845.86-5820.37-12759.210.611.130.009273.3
3-35127.6220812405588.6417084.14-6653.06-14629.450.840.56-0.048-1756.38
4-41918.6820911455945.0815606.94-8674.94-20589.890.690.56-0.047-2095.93
5-43681.8520812407465.6215671.16-8617.24-28668.040.870.58-0.044-2184.09
6-49104.24207133510022.1717148.36-9173.8-21008.41.090.59-0.048-2455.21
7-58067.7820812407961.4816313.42-10146.64-22165.880.780.52-0.056-2903.39
8-41616.58201010507540.4515984.28-11702.11-21848.740.640.64-0.039-2080.83
9-28596.08201010508301.918801.18-11161.51-20448.180.740.74-0.026-1429.8
10-1484.1220128608751.824828.04-13313.22-26330.530.660.99-0.0012-74.21
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
atrnil311.2614822.131961331.5823176.2428021.96-9556.56-18921.62.431.120.01780.11
200nil33.782346.342361726.099243.0811541.13-3124.24-3952.382.961.040.0038102.01
atrtrail36.15-6129.26206143013691.228021.96-6305.46-18921.62.170.93-0.0057-306.46
200trail32.58-4699.7124618257424.111232.56-2735.79-3952.382.710.9-0.0085-195.82
200nil22.83-7959.62371630.436060.837694.09-3149.09-3952.381.920.84-0.017-346.07
atrtrail25.8-18482.69206143011632.318681.31-6305.46-18921.61.840.79-0.02-924.13
atrnil28.05-31530.351961331.5815450.8318681.31-9556.56-18921.61.620.75-0.028-1659.49
atrtrail-16.9-28587.6920614309948.1319226.31-6305.46-18921.61.580.68-0.033-1429.38
200trail22.5-19338.8224618254984.257488.37-2735.79-3952.381.820.61-0.047-805.78
200trail-13.42-21684.652451920.835911.9313641.62-2697.07-3952.382.190.58-0.044-903.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. 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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018325 Sep 2018 (-2.84%), 19 Oct 2018 (-3.35%), 17 Dec 2018 (11.25%)
2016224 Nov 2016 (-2.66%), 09 Dec 2016 (-2.25%)
2012127 Jul 2012 (8.78%)
2011328 Apr 2011 (-3.24%), 29 Jul 2011 (-3.37%), 29 Aug 2011 (12.12%)
2006303 Apr 2006 (-4.34%), 17 Apr 2006 (14.01%), 07 Jun 2006 (-9.46%)
2004206 Jul 2004 (-5.0%), 12 Jul 2004 (-4.98%)
2003107 Jan 2003 (11.29%)
2002106 Dec 2002 (12.08%)
2001230 Jul 2001 (-7.95%), 23 Nov 2001 (-6.26%)
1998120 Apr 1998 (-6.43%)



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