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

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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 and RSI is below 50" 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
113100.6934181652.943005.169201.25-2562.01-9177.151.171.320.022385.31
227762.7334201458.825274.7714168.94-5552.33-14407.070.951.360.025816.55
312003.0334191555.885687.6317166.21-6404.13-15358.480.891.120.0099353.03
4-19622.2834151944.128720.0117983.65-7916.97-200001.10.87-0.012-577.13
5-55669.6534151944.1210711.6621286.4-11386.55-65454.550.940.74-0.021-1637.34
6-10294.723417175010440.4422459.58-11046.01-53272.730.950.95-0.0042-302.79
76990.6634191555.889489.225990.21-11553.61-620000.821.040.0027205.61
84335.8234191555.8810957.9724902.11-13591.04-57636.360.811.020.0016127.52
92131.8734191555.8810728.3323670.21-13447.09-46909.090.81.010.0008462.7
10-16802.7534181652.9411497.8830053.19-13985.29-45599.730.820.92-0.006-494.2
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
atrnil312.6212037734132138.2423271.5927184.16-8674.01-13038.92.681.660.0463540.49
50nil21.838306.2749202940.826193.727960.95-2950.63-3959.782.11.450.035781.76
atrnil27.5351538.3636152141.6715417.7218122.78-8558.45-13038.91.81.290.0241431.62
atrtrail25.3236906.4738172144.749937.3717630.23-6287.09-11935.91.581.280.021971.22
50trail21.6824795.02501931386111.537960.95-2945.94-3959.782.071.270.023495.9
50nil32.8118269.6847133427.669223.111793.45-2989.13-3980.473.091.180.014388.72
atrtrail36.1317394.3138162242.119340.2525331.88-6002.26-11935.91.561.130.0097457.75
50trail32.44306.7548133527.087527.0210760.17-2672.7-3959.782.821.050.003889.72
atrtrail-16.764771.8238162242.118551.3524360.92-6002.26-11935.91.421.040.0029125.57
50trail-13.26-4328.9947123525.537434.6218413.15-2672.7-3959.782.780.95-0.0037-92.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 38.24%, which is not acceptable. Avoid this strategy. Average return per trade is 1.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ORIENTBANK Performance, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018225 Jan 2018 (12.49%), 16 Aug 2018 (-4.65%)
2017213 Nov 2017 (-5.57%), 30 Nov 2017 (-4.23%)
2016111 Apr 2016 (-4.46%)
2015227 Oct 2015 (-3.9%), 07 Dec 2015 (10.69%)
2013314 May 2013 (-4.04%), 24 May 2013 (12.67%), 17 Oct 2013 (-5.97%)
2012220 Jul 2012 (9.43%), 01 Aug 2012 (13.3%)
2011210 Aug 2011 (10.71%), 11 Nov 2011 (13.04%)
2007314 Jun 2007 (-4.71%), 18 Jun 2007 (-4.59%), 22 Jun 2007 (-4.35%)
2006230 Jan 2006 (10.92%), 03 Aug 2006 (-5.95%)
2005119 Aug 2005 (-3.0%)
2004203 Aug 2004 (-6.52%), 14 Oct 2004 (-3.37%)
2002113 Nov 2002 (-4.95%)
2001202 Aug 2001 (-2.74%), 27 Dec 2001 (-3.29%)
2000224 Apr 2000 (13.22%), 27 Jun 2000 (9.51%)
1999122 Jan 1999 (12.82%)
1997317 Mar 1997 (13.59%), 08 May 1997 (-3.75%), 12 Aug 1997 (8.86%)
1996325 Jan 1996 (-2.59%), 22 Nov 1996 (-4.17%), 17 Dec 1996 (-4.26%)



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