Study: Buy KTKBANK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy KTKBANK when below 200 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
1-31686.8380394148.754087.29289.62-4660.68-25403.030.880.83-0.015-396.09
2-14986.0680433753.755564.4415749.04-6871.81-19937.690.810.94-0.0055-187.33
3-21387.8480433753.756704.3323175.42-8369.57-18869.60.80.93-0.0067-267.35
4-877.8380374346.2510838.3941001.7-9346.47-26666.671.161-0.0002-10.97
5-45892.338036444510931.137775.89-9986.63-25143.871.090.9-0.01-573.65
6-63646.2780354543.7511671.8843055.56-10492.49-32315.181.110.87-0.013-795.58
7-88708.479374246.8410939.6546085.86-11749.42-35221.170.930.82-0.018-1122.89
8-12894679344543.0412903.147095.96-12614.48-34394.381.020.77-0.024-1632.23
9-13305779374246.8412815.0347601.01-14457.46-37040.10.890.78-0.023-1684.27
10-12905879364345.5712868.9455176.77-13775.34-45969.410.930.78-0.022-1633.64
Although, strategy looks good but profit factor on day 1 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
atrnil26.85277.1143479632.8719545.7538773.86-9514.3-21215.682.051.010.0005936.9
atrtrail24.064079.031636210138.0412248.0138773.86-7478.19-17566.581.641.010.0004925.02
atrtrail-15.27-45893.51636110237.4211719.5876470.32-7458.7-17566.581.570.94-0.0052-281.56
atrtrail34.72-60976.861636110237.4211472.3141778.2-7458.7-17566.581.540.92-0.0074-374.09
atrnil310.07-2214311312810321.3728228.0158160.78-9823.45-21215.682.870.78-0.024-1690.31

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 32.87%, which is not acceptable. Avoid this strategy. Average return per trade is 0.018%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00059, 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:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019213 Feb 2019 (7.32%), 14 May 2019 (-4.03%)
20181729 Jan 2018 (-3.53%), 01 Feb 2018 (-3.52%), 02 Feb 2018 (-3.8%), 06 Feb 2018 (-4.19%), 07 Mar 2018 (-4.36%), 09 Mar 2018 (-4.64%), 02 Apr 2018 (9.16%), 10 May 2018 (-3.4%), 15 May 2018 (7.61%), 27 Jun 2018 (-3.09%), 28 Jun 2018 (6.95%), 04 Sep 2018 (-3.1%), 19 Sep 2018 (-2.94%), 21 Sep 2018 (-3.43%), 24 Sep 2018 (-4.04%), 28 Sep 2018 (8.59%), 23 Oct 2018 (9.0%)
2017410 Aug 2017 (7.45%), 27 Sep 2017 (7.38%), 05 Dec 2017 (-2.85%), 13 Dec 2017 (5.65%)
20161107 Jan 2016 (-2.64%), 12 Jan 2016 (-2.89%), 13 Jan 2016 (-3.14%), 14 Jan 2016 (-3.78%), 15 Jan 2016 (-4.17%), 10 Feb 2016 (-4.12%), 25 Feb 2016 (8.61%), 27 Oct 2016 (-5.28%), 04 Nov 2016 (-4.63%), 16 Nov 2016 (-6.04%), 21 Nov 2016 (12.68%)
20151306 Feb 2015 (8.69%), 19 Mar 2015 (-3.49%), 25 Mar 2015 (-3.28%), 07 May 2015 (8.0%), 27 Jul 2015 (8.21%), 13 Aug 2015 (-3.75%), 24 Aug 2015 (-4.32%), 01 Sep 2015 (-4.72%), 04 Sep 2015 (9.84%), 29 Oct 2015 (-2.94%), 10 Nov 2015 (6.57%), 09 Dec 2015 (-2.49%), 11 Dec 2015 (5.16%)
2014327 Jan 2014 (-3.73%), 30 Jan 2014 (8.25%), 25 Sep 2014 (7.89%)
2013721 Jun 2013 (-6.69%), 26 Jun 2013 (-7.53%), 24 Jul 2013 (-5.77%), 26 Jul 2013 (-5.84%), 30 Jul 2013 (-6.53%), 31 Jul 2013 (-7.61%), 02 Aug 2013 (17.04%)
2012828 Mar 2012 (-4.35%), 04 May 2012 (-3.37%), 09 May 2012 (-3.87%), 14 May 2012 (-4.34%), 15 May 2012 (-5.39%), 24 Aug 2012 (-3.48%), 27 Aug 2012 (-3.63%), 11 Sep 2012 (7.19%)
20112313 Jan 2011 (-4.14%), 27 Jan 2011 (-4.35%), 31 Jan 2011 (-4.6%), 01 Feb 2011 (-5.2%), 08 Feb 2011 (-5.42%), 09 Feb 2011 (-5.86%), 10 Feb 2011 (12.22%), 15 Mar 2011 (10.22%), 05 May 2011 (7.72%), 26 Jul 2011 (-3.14%), 28 Jul 2011 (-3.29%), 01 Aug 2011 (-3.53%), 05 Aug 2011 (-4.01%), 08 Aug 2011 (-4.34%), 19 Aug 2011 (-5.21%), 23 Sep 2011 (-3.83%), 26 Sep 2011 (-4.74%), 03 Oct 2011 (9.55%), 14 Nov 2011 (-4.01%), 16 Nov 2011 (-4.25%), 16 Dec 2011 (-4.81%), 27 Dec 2011 (-4.96%), 29 Dec 2011 (10.02%)
2010602 Feb 2010 (-3.45%), 03 Feb 2010 (-3.72%), 05 Feb 2010 (-3.99%), 24 Feb 2010 (6.4%), 26 Nov 2010 (10.72%), 09 Dec 2010 (11.72%)
2009513 Jan 2009 (-6.34%), 15 Jan 2009 (-6.34%), 24 Feb 2009 (-4.27%), 26 Feb 2009 (-4.49%), 09 Mar 2009 (11.32%)
20081917 Mar 2008 (-6.36%), 18 Mar 2008 (-6.84%), 04 Jun 2008 (-4.23%), 12 Jun 2008 (-4.71%), 20 Jun 2008 (-5.1%), 23 Jun 2008 (-5.47%), 25 Jun 2008 (-5.68%), 30 Jun 2008 (-5.81%), 01 Jul 2008 (-6.41%), 03 Jul 2008 (-7.37%), 17 Jul 2008 (13.93%), 29 Sep 2008 (-6.46%), 06 Oct 2008 (-6.52%), 07 Oct 2008 (-7.04%), 10 Oct 2008 (-8.21%), 16 Oct 2008 (-8.78%), 23 Oct 2008 (16.91%), 19 Nov 2008 (-8.03%), 25 Nov 2008 (17.14%)
2006523 Feb 2006 (-4.46%), 30 Mar 2006 (7.42%), 28 Apr 2006 (10.63%), 13 Jun 2006 (19.39%), 17 Jul 2006 (10.24%)
2005221 Oct 2005 (-6.24%), 28 Oct 2005 (12.99%)
2004514 May 2004 (-8.44%), 17 May 2004 (-10.61%), 12 Aug 2004 (-3.09%), 19 Aug 2004 (-2.92%), 23 Aug 2004 (6.43%)
2003110 Feb 2003 (12.13%)
2002305 Nov 2002 (-3.31%), 08 Nov 2002 (-3.86%), 12 Nov 2002 (7.96%)
2001910 Apr 2001 (14.48%), 18 Jun 2001 (8.5%), 12 Jul 2001 (-3.47%), 20 Jul 2001 (7.37%), 12 Sep 2001 (7.87%), 17 Sep 2001 (-4.91%), 18 Sep 2001 (-5.34%), 24 Sep 2001 (10.99%), 21 Dec 2001 (7.84%)



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