Study: Sell KTKBANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell KTKBANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell KTKBANK 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
1-33395.97462323502352.688306.19-3804.68-11807.730.620.62-0.042-726
2-89588.2446192741.34866.4510081.3-6742.62-22029.990.720.51-0.061-1947.57
3-11660046163034.785942.6313658.54-7056.05-24798.150.840.45-0.071-2534.77
4-11437046202643.488876.734267.47-11227.09-40586.420.790.61-0.044-2486.31
5-67127.6646212545.6510123.5233841.79-11188.86-31172.840.90.76-0.026-1459.3
6-87083.2546212545.6511077.4440085.14-12788.38-39506.170.870.73-0.028-1893.11
7-12520646192741.313030.5647037.96-13806.92-47067.90.940.66-0.035-2721.87
8-10317646212545.6513167.8945902.8-15188.07-51787.770.870.73-0.027-2242.96
9-18095846182839.1315714.5441007.45-16564.99-55824.680.950.61-0.044-3933.87
10-20726946212545.6512614.0333132.32-18886.55-61822.380.670.56-0.05-4505.85
Although, strategy looks good but profit factor on day 3 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
200trail-12.77-14593.3969145520.29992431907.54-2791.44-3841.983.560.9-0.0075-211.5
200trail31.84-25794.4670165422.867954.3911817.5-2834.53-3841.982.810.83-0.018-368.49
200nil31.91-29835.7269155421.748606.111817.5-2943.1-3841.982.920.81-0.021-432.4
200nil21.45-34799.6969195027.545865.197878.33-2924.77-3841.982.010.76-0.029-504.34
200trail21.43-35840.5470195127.145865.197878.33-2887.83-3841.982.030.76-0.03-512.01
atrnil38.15-90074.424693719.5723603.8629707.19-8175.92-12691.012.890.7-0.035-1958.14
atrtrail34.59-82796.815614422513119.5529707.19-6344.54-12470.772.070.69-0.034-1478.51
atrnil25.34-1010765013372615298.0519804.79-8106.77-12691.011.890.66-0.045-2021.52
atrtrail23.96-91616.2557154226.3211656.9519804.79-6344.54-12470.771.840.66-0.042-1607.3
atrtrail-15.16-1020375614422511745.2830729.48-6344.54-12470.771.850.62-0.045-1822.08

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 20.29%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, Profit Factor:0.905

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Feb 2019 (-1.31%), 27 Feb 2019 (-1.5%), 30 May 2019 (-1.78%)
2018401 Jan 2018 (-1.13%), 04 Jan 2018 (-1.54%), 24 Jan 2018 (12.86%), 28 Dec 2018 (-1.34%)
2017523 Feb 2017 (-1.77%), 10 Aug 2017 (-1.67%), 11 Aug 2017 (-1.38%), 04 Oct 2017 (-1.79%), 01 Dec 2017 (1.01%)
2016209 May 2016 (-1.22%), 17 May 2016 (-0.87%)
2015810 Feb 2015 (-1.06%), 23 Feb 2015 (-1.45%), 28 Feb 2015 (-1.34%), 04 Mar 2015 (2.17%), 16 Apr 2015 (-1.4%), 17 Apr 2015 (4.29%), 09 Jun 2015 (-1.37%), 27 Jul 2015 (-1.12%)
2014203 Jan 2014 (4.83%), 30 Oct 2014 (-1.6%)
2013425 Mar 2013 (-1.35%), 10 Apr 2013 (-1.75%), 17 Jun 2013 (-1.61%), 31 Dec 2013 (-1.89%)
20121027 Feb 2012 (-1.33%), 19 Mar 2012 (-1.67%), 22 Mar 2012 (-1.05%), 27 Mar 2012 (0.02%), 09 Apr 2012 (-1.31%), 30 Apr 2012 (15.95%), 20 Jun 2012 (-1.2%), 22 Jun 2012 (-1.07%), 24 Aug 2012 (3.74%), 17 Sep 2012 (-1.92%)
2011203 Jan 2011 (-0.23%), 06 Jan 2011 (7.57%)
2010501 Feb 2010 (-1.63%), 06 Apr 2010 (-1.47%), 07 Apr 2010 (-1.43%), 07 May 2010 (-1.28%), 26 Nov 2010 (-1.61%)
2006403 Mar 2006 (-1.4%), 06 Mar 2006 (-0.81%), 16 Mar 2006 (2.68%), 11 Aug 2006 (-1.38%)
2005329 Apr 2005 (-1.53%), 04 May 2005 (-1.78%), 21 Oct 2005 (-1.24%)
2003303 Mar 2003 (2.95%), 07 Apr 2003 (8.03%), 06 May 2003 (-1.57%)
2002718 Jan 2002 (-1.44%), 09 Dec 2002 (-1.85%), 10 Dec 2002 (-1.15%), 11 Dec 2002 (-1.17%), 17 Dec 2002 (-1.3%), 20 Dec 2002 (-1.87%), 26 Dec 2002 (2.87%)
2001719 Feb 2001 (-1.0%), 23 Apr 2001 (-1.11%), 07 May 2001 (0.5%), 05 Jun 2001 (-1.73%), 21 Jun 2001 (-0.92%), 25 Jun 2001 (-1.41%), 28 Jun 2001 (-1.67%)



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