Study: Sell KTKBANK when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell KTKBANK when near 200 SMA and below 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: 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
1-13333.78157846.672964.278306.19-4260.46-11807.730.70.61-0.041-888.92
2-59436.231551033.334688.779771.99-8288.01-22029.990.570.28-0.11-3962.42
3-67169.8815312207775.1310423.45-7541.27-24798.151.030.26-0.12-4477.99
4-1096281551033.336285.2216449.51-14105.38-40586.420.450.22-0.12-7308.52
5-66250.571569408005.4421498.37-12698.13-31172.840.630.42-0.077-4416.7
6-61509.19157846.677904.9221498.37-14605.45-39506.170.540.47-0.061-4100.61
7-74100.991569409968.2921986.97-14878.97-47067.90.670.45-0.065-4940.07
8-106693157846.679851.8824755.7-21957.04-51787.770.450.39-0.078-7112.88
9-1173371541126.6715839.0127035.83-16426.61-55824.680.960.35-0.082-7822.45
10-1295561551033.3310847.0223941.37-18379.08-61822.380.590.3-0.088-8637.04

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.61. This strategy is not profitable and we advice you not to use it.

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-11-13333.78157846.672964.278306.19-4260.46-11807.730.70.61-0.041-888.92
200nil21.3-24940.422351821.745284.546166.94-2853.51-3841.981.850.51-0.073-1084.37
200trail21.3-24940.422351821.745284.546166.94-2853.51-3841.981.850.51-0.073-1084.37
atrtrail34.56-52983.341631318.7513878.6229707.19-7278.4-11357.311.910.44-0.076-3311.46
200trail31.52-32869.722332013.047554.949250.41-2776.73-3841.982.720.41-0.093-1429.12
200nil31.52-34354.722332013.047554.949250.41-2850.98-3841.982.650.4-0.096-1493.68
atrnil35.56-79202.651621412.524606.8329707.19-9172.59-12691.012.680.38-0.099-4950.17
atrtrail24.12-58472.71631318.7512048.8419804.79-7278.4-11357.311.660.38-0.098-3654.54
atrtrail-14.88-64182.411631318.7510145.618508.11-7278.4-11357.311.390.32-0.12-4011.4
atrnil24.88-95607.21621412.516404.5519804.79-9172.59-12691.011.790.26-0.16-5975.45
200trail-11.91-43901.22222209.095816.675895.77-2776.73-3841.982.090.21-0.18-1995.51

In the table above, row 1 shows the best exit criterion. Profit factor is 0.61. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, X=1, Profit Factor:0.609

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017111 Aug 2017 (-3.03%)
2016109 May 2016 (1.46%)
2015116 Apr 2015 (0.15%)
2013125 Mar 2013 (-0.04%)
2012427 Feb 2012 (-5.9%), 19 Mar 2012 (-2.06%), 20 Jun 2012 (-0.7%), 17 Sep 2012 (-4.38%)
2010126 Nov 2010 (-0.09%)
2005129 Apr 2005 (2.24%)
2003103 Mar 2003 (4.15%)
2002209 Dec 2002 (-0.83%), 26 Dec 2002 (0.49%)
2001219 Feb 2001 (1.25%), 23 Apr 2001 (0.63%)



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