Study: Buy KOTAKBANK when near 200 SMA and above 200 SMA and RSI is above 50 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 RSI is above 50 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
17387.8697277.782093.974370.7-3634.98-5830.10.582.020.058820.87
2-1378.1296366.671665.614481.79-3790.6-5774.780.440.88-0.01-153.12
3-37814.3192722.222606.932947.92-6146.88-14629.450.420.12-0.16-4201.59
4-40113.9293633.332007.673406.49-7689.49-17366.950.260.13-0.14-4457.1
5-25425.1293633.335602.0111791.68-7038.52-14845.940.80.4-0.08-2825.01
6-44498.9893633.337230.3313560.43-11031.66-21008.40.660.33-0.11-4944.33
7-49768.3893633.335720.5511202.1-11155-21288.520.510.26-0.12-5529.82
8-41860.5994544.446072.8815984.28-13230.42-21848.740.460.37-0.089-4651.18
9-30974.7394544.447324.318801.18-12054.38-20448.180.610.49-0.062-3441.64
10-12251.7895455.569018.5524828.04-14336.13-26330.530.630.79-0.02-1361.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.02. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 77.78%, which is excellent. Average return per trade is 0.41%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.058, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
KOTAKBANK Performance, X=1, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018219 Oct 2018 (-2.92%), 17 Dec 2018 (1.2%)
2006103 Apr 2006 (-0.72%)
2004306 Jul 2004 (1.95%), 20 Jul 2004 (0.04%), 04 Aug 2004 (2.19%)
2002106 Dec 2002 (0.46%)
2001123 Nov 2001 (0.1%)
1998120 Apr 1998 (1.4%)

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
nilnil-117387.8697277.782093.974370.7-3634.98-5830.10.582.020.058820.87
atrnil312.7813963.1693633.3324892.2528021.96-10118.93-12863.232.461.230.0191551.46
atrnil29.56-10929.0993633.3316594.8318681.31-10118.93-12863.231.640.82-0.02-1214.34
atrtrail25.3-15937.3910282017391.0418681.31-6339.93-12184.922.740.69-0.033-1593.74
atrtrail35.5-16963.7310282016877.8728021.96-6339.93-12184.922.660.67-0.032-1696.37
atrtrail-15.6-29982.5910282010368.4515003.11-6339.93-12184.921.640.41-0.081-2998.26
200nil22.58-20992.871221016.676470.927488.37-3393.47-3952.381.910.38-0.098-1749.41
200trail32.67-20050.9121118.3311232.5611232.56-2843.95-3952.383.950.36-0.088-1670.91
200nil33.92-25428.89121118.3311232.5611232.56-3332.86-3952.383.370.31-0.11-2119.07
200trail-12.83-22063.67121118.339219.789219.78-2843.95-3952.383.240.29-0.11-1838.64
200trail22.5-23795.08121118.337488.377488.37-2843.95-3952.382.630.24-0.14-1982.92

In the table above, row 1 shows the best exit criterion. Profit factor is 2.02. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 77.78%, which is excellent. Average return per trade is 0.41%, which is not very high, but percentage of profitable trades compensates for it. Sharpe Ratio is 0.058, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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