Study: Buy KTKBANK when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy KTKBANK when there is Golden 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: 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
1-31464.631651131.256405.2416700.45-5771.89-15589.541.110.5-0.062-1966.54
2-78473.46164122510357.7121078.23-9992.02-22696.931.040.35-0.11-4904.59
3-54554.44164122511042.2431698.42-8226.95-18878.41.340.45-0.067-3409.65
4-73856.181651131.2512072.8335427.64-12201.85-36834.730.990.45-0.067-4616.01
5-15972.36167943.7512695.3737535.47-11648.89-35434.171.090.85-0.013-998.27
6-15189.4616885012331.1944345.36-14229.88-35714.290.870.87-0.012-949.34
7-46383.51661037.514518.2642075.4-13349.31-37114.851.090.65-0.035-2898.97
8-26050.27167943.7517762.8739886.5-16710.04-43309.271.060.83-0.017-1628.14
918198.65167943.7522383.9780340.49-15387.68-41532.481.451.130.00951137.42
10102249169756.2528893.82136117-22542.14-44957.981.281.650.0366390.58
Although, strategy looks good but profit factor on day 2 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
atrtrail-13.969924.53206143031039.14132442-8307.88-12627.33.741.60.0263496.23
atrnil33.55-34145.55204162024963.6225752.08-8375-12627.32.980.75-0.029-1707.28
atrnil23.19-50226.692151623.8116754.6717203.69-8375-12627.320.63-0.051-2391.75
atrtrail22.9-45481.872171433.3310118.3517203.69-8307.88-12627.31.220.61-0.05-2165.8
atrtrail33.2-48250.82206143011343.2525752.08-8307.88-12627.31.370.59-0.051-2412.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 30%, which is not acceptable. Avoid this strategy. Average return per trade is 1.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 Feb 2019 (-3.17%), 08 Feb 2019 (-3.43%)
2017113 Apr 2017 (-2.93%)
2016109 Jun 2016 (-3.22%)
2015106 Jul 2015 (-3.39%)
2014111 Mar 2014 (-3.46%)
2012327 Mar 2012 (-4.36%), 25 Jul 2012 (-3.47%), 26 Jul 2012 (1.36%)
2010119 May 2010 (0.14%)
2009104 Jun 2009 (-6.31%)
2006119 Sep 2006 (6.78%)
2004103 Dec 2004 (66.22%)
2003227 Jan 2003 (0.3%), 29 May 2003 (-4.92%)
2002204 Feb 2002 (-3.4%), 05 Feb 2002 (18.32%)
2001321 Feb 2001 (-5.76%), 22 Feb 2001 (-6.24%), 27 Jun 2001 (-4.1%)



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