Study: Buy KTKBANK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy KTKBANK when above 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
115350.3247222546.814860.8416029.82-3663.52-12151.481.331.170.014326.6
244241.7847242351.067117.8422087.6-5503.76-13295.211.291.350.028941.31
3-9951.0247192840.439380.0437931.03-6720.42-29924.071.40.95-0.0044-211.72
4-4528.3847252253.199559.4144827.59-11068.8-46675.250.860.98-0.0015-96.35
533847.2347262155.3211581.0159925.44-12726.62-38588.660.911.130.01720.15
663563.7147272057.4511816.3959179.87-12773.94-39660.560.931.250.0191352.42
785093.2947262155.3213866.5981733.46-13116.09-35015.631.061.310.0221810.5
813282947242351.0616889.3794315-11848.52-33470.811.431.490.032826.15
996911.6647232448.9417394.0487418.45-12631.3-33734.941.381.320.0232061.95
1076061.9947242351.0615770.0680149.11-13148.67-28571.431.21.250.0181618.34
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
atrtrail-16.3819899369284140.5819018.3491613.47-8134.65-17463.362.341.60.0332883.96
atrtrail35.4310878969284140.5815796.7643788.42-8134.65-17463.361.941.330.0251576.65
atrnil39.8210472761184329.5130400.5852753.56-10290.3-18333.942.951.240.0211716.84
atrtrail24.6775567.7469284140.5814610.335169.04-8134.65-17463.361.81.230.021095.18
atrnil26.9550639.5863234036.5120129.2635169.04-10308.34-18333.941.951.120.012803.8

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 40.58%, which is not acceptable. Avoid this strategy. Average return per trade is 1.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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 May 2019 (-3.36%), 13 May 2019 (-3.56%)
2017627 Jun 2017 (0.83%), 17 Jul 2017 (-3.11%), 27 Jul 2017 (-1.45%), 03 Aug 2017 (0.97%), 09 Aug 2017 (-3.08%), 25 Sep 2017 (-3.55%)
2016405 Aug 2016 (-3.52%), 08 Aug 2016 (7.47%), 29 Sep 2016 (3.04%), 24 Oct 2016 (-5.17%)
2015205 Feb 2015 (-4.25%), 21 Jul 2015 (-1.8%)
2014516 Jun 2014 (-1.76%), 11 Jul 2014 (5.73%), 08 Aug 2014 (-1.43%), 13 Aug 2014 (6.45%), 24 Sep 2014 (-3.43%)
2013724 Jan 2013 (1.15%), 04 Feb 2013 (-4.87%), 08 Feb 2013 (3.05%), 28 Feb 2013 (-6.26%), 04 Mar 2013 (6.62%), 22 Mar 2013 (1.18%), 23 May 2013 (0.31%)
2012209 Aug 2012 (-3.84%), 21 Aug 2012 (-0.92%)
2010125 Nov 2010 (-4.75%)
2009513 Jul 2009 (9.91%), 12 Aug 2009 (-2.96%), 21 Aug 2009 (12.3%), 29 Oct 2009 (1.07%), 27 Nov 2009 (1.47%)
2008110 Mar 2008 (-1.63%)
2007417 Aug 2007 (-3.48%), 21 Aug 2007 (29.65%), 17 Oct 2007 (-5.45%), 29 Nov 2007 (9.02%)
2006402 Feb 2006 (1.54%), 07 Nov 2006 (-1.88%), 20 Nov 2006 (15.77%), 12 Dec 2006 (39.83%)
2005723 Mar 2005 (-6.07%), 29 Mar 2005 (-4.48%), 18 Apr 2005 (1.95%), 24 Aug 2005 (6.59%), 17 Oct 2005 (-5.14%), 19 Oct 2005 (-5.49%), 20 Oct 2005 (-4.18%)
2004321 Jan 2004 (3.8%), 03 Feb 2004 (11.16%), 11 May 2004 (-4.54%)
2003118 Sep 2003 (5.55%)
20021226 Apr 2002 (-6.03%), 02 May 2002 (-1.23%), 15 May 2002 (-5.43%), 17 May 2002 (-5.73%), 20 May 2002 (-6.59%), 21 May 2002 (45.81%), 22 Jul 2002 (-5.12%), 26 Jul 2002 (-5.41%), 13 Aug 2002 (28.72%), 23 Sep 2002 (5.33%), 25 Oct 2002 (-3.15%), 28 Oct 2002 (-2.71%)
2001313 Mar 2001 (-3.6%), 16 Mar 2001 (-8.73%), 02 Apr 2001 (-7.63%)



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