Study: Sell ORIENTBANK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell ORIENTBANK when below 200 SMA and near 50 SMA and below 50 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
19205.9865313447.694272.5513661.2-3624.79-18880.071.181.070.0054141.63
2-62573.6765343152.315149.4516666.67-7666.29-46256.170.670.74-0.021-962.67
3-89722.1965323349.236534.3444131.99-9055.18-44453.980.720.7-0.025-1380.34
4-98752.8765273841.548915.4546312.77-8933.42-50761.6410.71-0.025-1519.27
5-14106365273841.5410797.5350559.54-11384.1-65454.550.950.67-0.028-2170.2
6-12612165333250.779960.1446255.38-14212.68-53272.730.70.72-0.023-1940.32
7-77298.365353053.859823.0346886.66-14036.82-620000.70.82-0.014-1189.2
8-67132.6765372856.9210448.4243845.05-16204.43-77796.330.640.85-0.011-1032.81
9-83113.0565343152.3111713.3954232.42-15528.01-74457.430.750.83-0.013-1278.66
10-82672.4865353053.8511824.2953945.48-16550.75-63772.950.710.83-0.013-1271.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.07. 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 47.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.071%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0054, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil39.8210210362204232.2623331.7129451.52-8679.32-13038.92.691.280.0221646.82
atrnil26.5656441.4266264039.3915418.2919634.35-8610.85-13038.91.791.160.015855.17
nilnil-119205.9865313447.694272.5513661.2-3624.79-18880.071.181.070.0054141.63
50trail-12.872111.2197227522.689729.2843210.9-2825.77-3965.53.441.010.0006421.77
50nil21.66-665.0798326632.656200.57960.95-3016.38-3985.322.061-0.00032-6.79
atrtrail35.24-10643.4876284836.8410643.4729451.52-6430.43-12139.281.660.97-0.0028-140.05
atrtrail24.57-16017.8976294738.1610090.4119634.35-6566.8-12139.281.540.95-0.0046-210.76
50nil32.44-16660.895227323.169307.8111793.45-3033.32-3985.323.070.92-0.0068-175.38
50trail21.59-15794.991003169316150.347960.95-2992.11-3965.52.060.92-0.0075-157.95
atrtrail-15.91-26709.0376284836.8410069.749977.81-6430.43-12139.281.570.91-0.0069-351.43
50trail32.09-24026.3198247424.497745.8911679.1-2836.86-3965.52.730.89-0.01-245.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. 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 32.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.82%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, 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:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018425 Jan 2018 (12.49%), 10 Apr 2018 (14.73%), 27 Jul 2018 (-5.02%), 16 Aug 2018 (-4.65%)
2017319 Sep 2017 (9.21%), 13 Nov 2017 (-5.57%), 30 Nov 2017 (-4.23%)
2016111 Apr 2016 (-4.46%)
2015417 Apr 2015 (11.91%), 19 Aug 2015 (14.57%), 09 Oct 2015 (-4.49%), 07 Dec 2015 (10.69%)
2013414 May 2013 (-4.04%), 24 May 2013 (12.67%), 11 Sep 2013 (-6.07%), 17 Oct 2013 (-5.97%)
2012406 Jun 2012 (-3.82%), 20 Jul 2012 (9.43%), 01 Aug 2012 (13.3%), 14 Sep 2012 (-3.51%)
2011504 Mar 2011 (-4.51%), 07 Jun 2011 (9.52%), 10 Aug 2011 (10.71%), 20 Oct 2011 (-3.75%), 11 Nov 2011 (13.04%)
2009102 Apr 2009 (-6.16%)
2008228 Apr 2008 (-5.36%), 23 Jul 2008 (-5.75%)
2007314 Jun 2007 (-4.71%), 18 Jun 2007 (-4.59%), 22 Jun 2007 (-4.35%)
2006430 Jan 2006 (10.92%), 02 May 2006 (-3.32%), 26 Jul 2006 (-5.77%), 02 Aug 2006 (-6.08%)
2005507 Jun 2005 (9.11%), 13 Jul 2005 (-2.96%), 19 Aug 2005 (-3.0%), 28 Sep 2005 (-3.3%), 14 Nov 2005 (-3.98%)
2004303 Aug 2004 (-6.52%), 14 Oct 2004 (-3.37%), 11 Nov 2004 (-2.75%)
2002113 Nov 2002 (-4.95%)
2001302 Aug 2001 (-2.74%), 22 Oct 2001 (-4.39%), 27 Dec 2001 (-3.29%)
2000307 Apr 2000 (14.68%), 12 Jun 2000 (-3.84%), 27 Jun 2000 (9.51%)
1999222 Jan 1999 (12.82%), 07 May 1999 (-5.14%)
1998112 Nov 1998 (11.55%)
1997417 Mar 1997 (13.59%), 08 May 1997 (-3.75%), 01 Aug 1997 (-2.59%), 12 Aug 1997 (8.86%)
1996525 Jan 1996 (-2.59%), 23 Oct 1996 (-4.42%), 13 Nov 1996 (-4.08%), 22 Nov 1996 (-4.17%), 17 Dec 1996 (-4.26%)



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