Study: Sell KTKBANK when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell KTKBANK when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
1-16764.26135838.464883.2211328.44-5147.54-10182.980.950.59-0.051-1289.56
2-22475.95134930.774825.288883.46-4641.9-14111.261.040.46-0.068-1728.92
3-37287.19135838.465275.2411572.94-7957.92-16526.950.660.41-0.081-2868.25
4-33193.5134930.778699.3916381.42-7554.56-16824.971.150.51-0.065-2553.35
5-14681.92137653.857041.5914751.43-10662.17-16824.970.660.77-0.025-1129.38
6-20194.82136746.158842.314180.93-10464.09-22252.370.850.72-0.032-1553.45
7-39636.47134930.7711127.4416527.82-9349.58-22930.81.190.53-0.063-3048.96
8-37925.8136746.158938.4621592.8-13079.51-34464.040.680.59-0.048-2917.37
9-28701.35135838.4612877.0533255.58-11635.82-33649.931.110.69-0.033-2207.8
10-1867.21135838.4614914.2738053.98-9554.82-24287.651.560.98-0.0022-143.63
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
atrnil38.2-2693.71153122030935.942295.17-7958.45-10279.253.890.97-0.0026-179.58
atrnil25-33629.61153122020623.9428196.78-7958.45-10279.252.590.65-0.044-2241.97
atrtrail23.47-44530.13153122011972.7119303.77-6704.02-9556.271.790.45-0.081-2968.68
atrtrail34.33-59867.4815312206860.269325.2-6704.02-9556.271.020.26-0.15-3991.17
atrtrail-14.33-59867.4815312206860.269325.2-6704.02-9556.271.020.26-0.15-3991.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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%, which is not acceptable. Avoid this strategy. Average return per trade is -0.09%, 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:0.972

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Dec 2017 (-2.42%)
2016108 Dec 2016 (-4.41%)
2015208 Apr 2015 (-3.03%), 11 Sep 2015 (-4.62%)
2013128 Jun 2013 (21.15%)
2012104 Jun 2012 (-4.17%)
2011118 Jan 2011 (-3.92%)
2010104 Feb 2010 (10.78%)
2008108 May 2008 (-3.79%)
2006124 Mar 2006 (-3.34%)
2004228 Jun 2004 (-4.78%), 29 Jun 2004 (14.48%)
2003107 Mar 2003 (-5.14%)
2001219 Jun 2001 (-4.07%), 29 Jun 2001 (-4.04%)



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