Study: Sell KTKBANK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell KTKBANK when below 200 SMA and near 50 SMA and below 50 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
131487.9840251562.52543.936157.19-2140.68-11469.531.191.980.058787.2
2-13925.2640192147.54268.4924773.63-4525.08-11857.710.940.85-0.013-348.13
3-23950.73401624406605.2328033.32-5401.43-13805.161.220.82-0.018-598.77
4-63783.21401822456351.6624483.88-8096.05-29107.140.780.64-0.038-1594.58
5-70785.6640192147.58262.8536658.48-10846.66-375000.760.69-0.031-1769.64
6-92780.794016244010661.5935784.14-10973.6-425000.970.65-0.036-2319.52
7-54908.3840192147.511587.5141434.26-13098.62-38737.20.880.8-0.019-1372.71
8-11542.9940211952.513122.2847301.7-15111.1-44709.90.870.96-0.0035-288.57
9-30419.534024166011527.455632.02-19192.32-45733.790.60.9-0.009-760.49
104277.1640231757.512552.5354907.64-16731.24-41296.930.751.020.0013106.93

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.98. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.5%, which is good. 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 0.058, 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.

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-1131487.9840251562.52543.936157.19-2140.68-11469.531.191.980.058787.2
atrtrail-15.4521998.2347143329.7913892.4174761.28-5227.14-11555.882.661.130.0079468.05
atrtrail34.74-7378.5447143329.7911794.0731205.1-5227.14-11555.882.260.96-0.0038-156.99
atrnil38.13-22190.263892923.6821789.0931205.1-7527.31-12424.12.890.9-0.011-583.95
atrnil25.95-39825.3341122929.2714588.2122390.89-7409.79-12424.11.970.81-0.022-971.35
atrtrail24.38-35679.7147143329.799772.5622390.89-5227.14-11555.881.870.79-0.022-759.14
50trail32.08-55303.4262115117.747343.1211182.49-2668.19-3993.212.750.59-0.05-891.99
50nil32.35-58386.285794815.799172.111732.73-2936.15-3993.213.120.59-0.052-1024.32
50trail-12.48-56385.8560105016.677485.6525798.96-2624.85-3993.212.850.57-0.046-939.76
50nil22.07-71488.5259114818.646313.337821.82-2936.15-3993.212.150.49-0.076-1211.67
50trail21.9-69169.1762115117.746082.597821.82-2668.19-3993.212.280.49-0.074-1115.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.5%, which is good. 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 0.058, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181001 Jan 2018 (0.58%), 16 Jan 2018 (-5.73%), 30 Apr 2018 (0.98%), 23 May 2018 (1.68%), 07 Jun 2018 (0.21%), 26 Jul 2018 (-0.87%), 04 Sep 2018 (-0.26%), 06 Nov 2018 (-0.05%), 26 Nov 2018 (-1.66%), 10 Dec 2018 (-2.12%)
2017115 Feb 2017 (-0.52%)
2016115 Mar 2016 (0.46%)
2015619 May 2015 (-0.32%), 11 Jun 2015 (-0.08%), 21 Oct 2015 (-0.2%), 05 Nov 2015 (0.44%), 23 Nov 2015 (0.72%), 28 Dec 2015 (0.89%)
2014125 Feb 2014 (-0.45%)
2013212 Sep 2013 (-1.45%), 18 Dec 2013 (1.99%)
2011202 May 2011 (2.66%), 02 Nov 2011 (0.91%)
2010210 Mar 2010 (0.76%), 30 Mar 2010 (1.19%)
2009101 Jan 2009 (-1.69%)
2008214 May 2008 (2.92%), 25 Sep 2008 (3.08%)
2006307 Apr 2006 (1.1%), 15 May 2006 (1.72%), 05 Jul 2006 (1.82%)
2003203 Jan 2003 (1.02%), 17 Apr 2003 (0.09%)
2002217 Jan 2002 (-0.58%), 10 Dec 2002 (-0.08%)
2001521 Jun 2001 (0.31%), 20 Aug 2001 (1.84%), 05 Sep 2001 (2.44%), 29 Oct 2001 (0.89%), 31 Dec 2001 (1.09%)



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