Study: Sell ORIENTBANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell ORIENTBANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ORIENTBANK 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
1-32751.4137152240.544251.3113523.57-4387.32-15686.270.970.66-0.031-885.17
2-10758.0937152240.545715.6314614.77-4386.03-13249.211.30.89-0.0093-290.76
345935.237162143.249387.5933042.1-4965.06-18927.441.891.440.0261241.49
410722937201754.0510650.1649245.43-6222.02-14330.781.712.010.0482898.07
594555.9437201754.0510646.249563.15-6962.83-27039.211.531.80.0412555.57
614889437221559.4611739.1153534.55-7291.11-23073.461.612.360.064024.16
721987137221559.4613655.4351787.13-5369.9-17936.012.543.730.0935942.46
823381337221559.4614548.0255123.11-5749.54-25506.992.533.710.0936319.28
920954937211656.7616411.9756552.82-8443.91-19918.881.942.550.0725663.48
1019185237201754.0517035.9161795.08-8756.85-27774.331.952.290.0625185.18
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ORIENTBANK Performance, X=7, Profit Factor:3.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Feb 2019 (0.81%)
2017218 Sep 2017 (9.47%), 27 Oct 2017 (0.33%)
2016301 Jul 2016 (-8.97%), 22 Jul 2016 (-3.96%), 22 Dec 2016 (1.16%)
2014117 Jan 2014 (9.44%)
2013208 Mar 2013 (9.67%), 22 Apr 2013 (10.1%)
2012207 Feb 2012 (-0.87%), 09 Jul 2012 (3.13%)
2010207 Dec 2010 (-5.49%), 30 Dec 2010 (9.07%)
2007310 Jan 2007 (-4.13%), 26 Jun 2007 (-1.5%), 05 Sep 2007 (-3.96%)
2006116 Jan 2006 (9.56%)
2005105 Oct 2005 (5.48%)
2004324 May 2004 (6.07%), 08 Jun 2004 (8.32%), 07 Oct 2004 (8.62%)
2002301 Oct 2002 (-1.48%), 17 Oct 2002 (-4.3%), 13 Nov 2002 (-1.81%)
2001206 Jun 2001 (2.23%), 20 Jun 2001 (-0.28%)
2000309 Feb 2000 (2.54%), 28 Feb 2000 (13.84%), 15 Nov 2000 (-1.06%)
1998325 Feb 1998 (2.0%), 11 Mar 1998 (-0.62%), 02 Jun 1998 (25.89%)
1997402 Jan 1997 (2.02%), 10 Mar 1997 (7.94%), 28 May 1997 (-1.4%), 04 Aug 1997 (2.53%)
1996110 Jan 1996 (-0.46%)

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
200trail-13.0441468.015012382412513.8949663.22-2860.49-3980.394.371.380.019829.36
atrnil38.1335599.1538122631.5822499.3930512.55-9015.14-22137.642.51.150.013936.82
atrtrail-16.0218084.0341142734.1512995.4551300.98-6068.6-10919.072.141.110.0074441.07
atrtrail35.24515.9941142734.1512026.330512.55-6068.6-10919.071.981.030.0022110.15
atrnil26.372793.238132534.2116778.6838127.74-8613.19-22137.641.951.010.001273.51
200nil32.22-770.1749123724.499396.3811737.98-3068.29-3980.393.060.99-0.00059-15.72
200trail32.04-2494.17501337268100.7911528.32-2913.63-3980.392.780.98-0.002-49.88
200trail21.7-10508.74501535306199.47825.32-2957.14-3980.392.10.9-0.01-210.17
200nil21.84-11625.7149153430.616199.47825.32-3076.96-3980.392.010.89-0.011-237.26
atrtrail24.46-23186.1141142734.1510047.5820341.7-6068.6-10919.071.660.86-0.013-565.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
ORIENTBANK Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Feb 2019 (-1.88%), 19 Feb 2019 (-1.18%), 27 Feb 2019 (-1.58%)
2017318 Sep 2017 (-1.81%), 21 Sep 2017 (8.97%), 27 Oct 2017 (-1.72%)
2016401 Jul 2016 (-1.85%), 22 Jul 2016 (-1.03%), 22 Dec 2016 (-1.38%), 23 Dec 2016 (1.43%)
2014117 Jan 2014 (-1.77%)
2013308 Mar 2013 (-1.79%), 12 Mar 2013 (1.88%), 22 Apr 2013 (-1.11%)
2012407 Feb 2012 (-1.31%), 09 Feb 2012 (-1.12%), 09 Jul 2012 (-1.5%), 12 Jul 2012 (6.35%)
2011104 Jan 2011 (5.75%)
2010207 Dec 2010 (-1.61%), 30 Dec 2010 (-1.46%)
2007310 Jan 2007 (-1.77%), 26 Jun 2007 (-1.05%), 05 Sep 2007 (-1.17%)
2006116 Jan 2006 (1.8%)
2005205 Oct 2005 (-1.9%), 06 Oct 2005 (-1.02%)
2004324 May 2004 (-1.56%), 08 Jun 2004 (10.62%), 07 Oct 2004 (7.34%)
2002401 Oct 2002 (-1.18%), 14 Oct 2002 (-1.0%), 21 Oct 2002 (-1.15%), 13 Nov 2002 (-1.36%)
2001206 Jun 2001 (0.13%), 20 Jun 2001 (-1.0%)
2000509 Feb 2000 (-1.87%), 11 Feb 2000 (-1.81%), 28 Feb 2000 (-1.48%), 15 Nov 2000 (-1.99%), 21 Nov 2000 (-1.85%)
1998325 Feb 1998 (-1.08%), 11 Mar 1998 (-1.11%), 02 Jun 1998 (24.83%)
1997402 Jan 1997 (-1.08%), 10 Mar 1997 (5.64%), 28 May 1997 (-1.42%), 04 Aug 1997 (-1.95%)
1996210 Jan 1996 (-0.45%), 22 Jan 1996 (0.35%)



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