Study: Buy KTKBANK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy KTKBANK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
148738.1655342161.823151.8914267.73-2782.19-10677.621.131.830.049886.15
2-3156.9855302554.554786.3320478.39-5869.87-40109.510.820.98-0.0016-57.4
350196.3255253045.457954.0434074.7-4955.15-39698.841.611.340.021912.66
4-14240.7855262947.278039.2133403.27-7698.63-45722.111.040.94-0.0049-258.92
58681.4255262947.2710928.6753713.81-9498.76-52429.841.151.030.0024157.84
642525.6255272849.0911973.2865044.06-10026.89-51334.71.191.150.011773.19
756269.7455292652.7312564.0658833.4-11849.54-46611.911.061.180.0131023.09
864189.4555302554.5512568.6352287.03-12514.78-39014.3711.210.0161167.08
98599.5355282750.9113381.1654553.08-13558.25-44353.180.991.020.002156.36
10-2295.4955282750.9114483.5754531.78-15105.02-51882.270.960.99-0.00048-41.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.83. 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 61.82%, which is good. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.

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-1148738.1655342161.823151.8914267.73-2782.19-10677.621.131.830.049886.15
atrtrail35.6916027962224035.4817742.7437097.26-5751.55-14454.883.081.70.0442585.14
50trail-12.9598874.5483186521.6914297.2454417.12-2438.09-3903.35.861.620.0281191.26
atrtrail-16.7613782062224035.4816721.8951855.24-5751.55-14454.882.911.60.0372222.9
50nil32.1596295.0684295534.529092.311986.84-3043.3-3981.072.991.580.0451146.37
atrnil310.7413423647153231.9127189.2837097.26-8550.11-17532.783.181.490.0382856.08
atrnil27.9812149252223042.3117157.5424731.5-8532.46-17532.782.011.470.0412336.39
atrtrail25.1395843.4163234036.5114387.5124731.5-5876.73-14454.882.451.410.0331521.32
50trail31.9557298.9687256228.748698.4911986.84-2583.28-3938.943.371.360.029658.61
50nil21.6752047.889355439.336182.817991.23-3043.53-3981.072.031.320.029584.81
50trail21.5741584.3592335935.876153.057991.23-2736.72-3938.942.251.260.024452

In the table above, row 1 shows the best exit criterion. Profit factor is 1.83. 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 61.82%, which is good. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:1.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Feb 2019 (0.75%), 01 Mar 2019 (3.37%), 30 Apr 2019 (-0.24%)
2017213 Sep 2017 (0.74%), 08 Nov 2017 (0.58%)
2016309 Aug 2016 (-2.14%), 27 Sep 2016 (1.39%), 18 Oct 2016 (0.43%)
2015409 Jan 2015 (0.53%), 27 Jan 2015 (-0.07%), 23 Jul 2015 (-1.64%), 06 Aug 2015 (3.05%)
2014327 Jun 2014 (4.79%), 18 Jul 2014 (0.47%), 08 Sep 2014 (0.08%)
2013227 May 2013 (0.8%), 19 Jun 2013 (-5.34%)
2012223 Mar 2012 (-1.93%), 09 Aug 2012 (-1.26%)
2010706 Jan 2010 (1.81%), 27 Jan 2010 (0.38%), 30 Jul 2010 (0.8%), 09 Sep 2010 (0.09%), 28 Sep 2010 (5.08%), 19 Oct 2010 (-0.93%), 16 Nov 2010 (-0.51%)
2009305 Oct 2009 (0.94%), 27 Oct 2009 (-2.12%), 11 Nov 2009 (-1.46%)
20071109 Mar 2007 (-0.8%), 23 Mar 2007 (-1.37%), 10 Apr 2007 (-0.29%), 25 Apr 2007 (1.28%), 01 Jun 2007 (-2.0%), 02 Jul 2007 (1.25%), 01 Aug 2007 (2.32%), 29 Aug 2007 (1.76%), 18 Oct 2007 (0.84%), 06 Dec 2007 (-2.38%), 28 Dec 2007 (1.25%)
2006201 Feb 2006 (-1.72%), 14 Dec 2006 (7.13%)
2005226 Aug 2005 (-1.49%), 15 Sep 2005 (0.54%)
2003630 Jun 2003 (-0.71%), 14 Jul 2003 (0.07%), 09 Sep 2003 (-0.82%), 26 Sep 2003 (1.17%), 24 Oct 2003 (1.29%), 21 Nov 2003 (1.09%)
2002307 May 2002 (0.0%), 05 Jun 2002 (0.26%), 12 Dec 2002 (1.47%)
2001213 Mar 2001 (5.4%), 26 Jun 2001 (0.38%)



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