Study: Buy ORIENTBANK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
126819.7224131154.174567.111058.87-2959.32-7192.871.541.820.0471117.49
22349.492491537.55274.6227476.96-3008.14-11669.721.751.050.002997.9
311756.6324111345.837116.8539228.11-5117.59-15926.611.391.180.01489.86
4-5337.722491537.59434.5530760.37-6016.58-15706.421.570.94-0.0044-222.41
53528.7124111345.8310301.6242972.35-8445.31-21798.171.221.030.0023147.03
62780.19241212509795.9443433.18-9564.25-35277.481.021.020.0016115.84
79623.472491537.514600.6838076.04-8118.85-28031.111.81.080.0057400.98
848531.9224111345.8314988.9846947-8949.75-31671.971.671.420.0262022.16
9-10347.1424111345.8312658.9553168.2-11507.35-37645.811.10.93-0.0051-431.13
10-10727.7224101441.6715891.3651209.68-12117.24-37893.251.310.94-0.005-446.99

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.82. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, which is low, don't trade solely on the basis of this study.

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
nilnil-1126819.7224131154.174567.111058.87-2959.32-7192.871.541.820.0471117.49
50trail-13.3548831.673782921.6215611.7537235.02-2622.84-3855.285.951.640.0291319.77
atrnil27.0866955.872511144417520.5223217.58-8983.56-18503.441.951.530.0412678.23
atrnil39.0464767.42258173226904.7434826.38-8851.2-18503.443.041.430.0312590.7
atrtrail-16.8944966.832781929.6320167.7789983.21-6125.02-16725.053.291.390.0171665.44
50trail32.0318732.3739112828.218654.6711980.82-2731.03-3855.283.171.240.018480.32
50nil32.2318275.9139112828.219604.9911980.82-3120.68-3855.283.081.210.017468.61
50nil21.88768.85401426356403.367987.21-3110.7-3855.282.061.110.0097219.22
50trail21.734749.8440132732.56283.137987.21-2849.29-3855.282.211.060.0056118.75
atrtrail36.225513.422781929.6315236.0934826.38-6125.02-16725.052.491.050.0034204.2
atrtrail25.3-7275.542781929.6313637.4723217.58-6125.02-16725.052.230.94-0.0052-269.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.82. 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 54.17%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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, X=1, Profit Factor:1.82

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Mar 2019 (3.16%)
2017311 Jan 2017 (-0.74%), 07 Jun 2017 (-3.6%), 20 Sep 2017 (-1.5%)
2014306 Mar 2014 (0.21%), 17 Sep 2014 (3.29%), 27 Oct 2014 (4.86%)
2010307 Jan 2010 (-2.33%), 29 Jan 2010 (5.53%), 04 Jun 2010 (0.09%)
2009103 Aug 2009 (0.85%)
2008106 Feb 2008 (-2.0%)
2007112 Sep 2007 (0.98%)
2006120 Nov 2006 (-0.06%)
2003225 Sep 2003 (4.98%), 16 Dec 2003 (-1.61%)
2002428 May 2002 (2.75%), 16 Sep 2002 (-1.51%), 25 Oct 2002 (1.43%), 11 Nov 2002 (0.96%)
2001202 May 2001 (-0.62%), 17 May 2001 (-0.13%)
1999101 Sep 1999 (-2.18%)
1998121 May 1998 (0.59%)



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