Study: Buy ORIENTBANK when near 200 SMA and above 200 SMA

home > technical-strategy > orientbank > 5

In this study, we evaluate the performance of strategy "Buy ORIENTBANK when near 200 SMA and 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 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
172817.9549272255.15758.9425052.34-3757.88-13772.181.531.880.0451486.08
296016.2349292059.187885.5759106.77-6633.26-26534.361.191.720.0331959.51
389615.4249252451.0211154.968039.08-7885.71-25652.331.411.470.0261828.89
470178.6649262353.0610315.1550523.38-8609.35-33893.561.21.350.0221432.22
576990.0749272255.110517.649476.62-9408.42-33380.021.121.370.0231571.23
691572.4949282157.1412474.1152267.97-12271.55-37488.331.021.360.0241868.83
710161549282157.1414003.9450942.08-13833.11-50280.111.011.350.0232073.77
815038849272255.116839.2560083.74-13830.53-458451.221.490.0323069.15
918230549292059.1818011.1964619.68-17000.96-44444.441.061.540.0343720.52
1020717849252451.0221982.2360642.01-14265.73-433241.541.610.0374228.13

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.88. 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 55.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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
200trail-13.1714700566184827.2714861.9551159.24-2510.63-3918.895.922.220.0392227.34
nilnil-1172817.9549272255.15758.9425052.34-3757.88-13772.181.531.880.0451486.08
atrnil36.924293552203238.4626010.6751441.15-8664.96-22450.9131.880.0544671.82
200nil32.2389974.7666234334.859391.0911756.66-2930.7-3917.683.21.710.0471363.25
atrnil25.6517863755253045.4517482.7534294.1-8614.4-22450.912.031.690.0493247.94
atrtrail-15.6313808757213636.8417347.3952977.19-6283.55-22450.912.761.610.0322422.59
200trail3268680.1167224532.848521.1711756.66-2639.68-3917.683.231.580.0381025.08
200nil21.6263763.6369294042.036254.037837.77-2940.08-3917.682.131.540.041924.11
200trail21.5958548.0269284140.586204.567837.77-2809.26-3917.682.211.510.038848.52
atrtrail24.2910131058233539.6613992.5834294.1-6300.55-22450.912.221.460.0311746.73
atrtrail34.8496083.5257223538.614391.0334699.09-6300.55-22450.912.281.440.0281685.68

In the table above, row 1 shows the best exit criterion. Profit factor is 2.22. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is 1.11%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (0.1%)
2018207 Dec 2018 (-1.32%), 10 Dec 2018 (-1.1%)
2017305 Jan 2017 (3.82%), 09 Aug 2017 (-1.96%), 20 Sep 2017 (-1.66%)
2016221 Jul 2016 (-1.81%), 11 Aug 2016 (-1.52%)
2014114 Jan 2014 (-0.58%)
2012708 Feb 2012 (-1.15%), 13 Mar 2012 (-0.53%), 15 Mar 2012 (-1.04%), 03 Jul 2012 (-1.92%), 06 Jul 2012 (-1.94%), 11 Jul 2012 (-1.72%), 16 Jul 2012 (-1.22%)
2010128 Dec 2010 (0.12%)
2009202 Jan 2009 (2.52%), 15 May 2009 (24.35%)
2008122 Jan 2008 (9.62%)
2007629 Jan 2007 (4.11%), 22 Feb 2007 (-1.14%), 25 Apr 2007 (-1.96%), 05 Jul 2007 (13.0%), 01 Aug 2007 (2.68%), 04 Sep 2007 (-1.1%)
2006311 May 2006 (-1.19%), 20 Dec 2006 (-1.25%), 21 Dec 2006 (3.13%)
2005319 Apr 2005 (-1.06%), 27 Apr 2005 (-1.87%), 03 May 2005 (-1.56%)
2004326 May 2004 (-1.37%), 21 Jul 2004 (-0.31%), 17 Nov 2004 (25.58%)
2002925 Jan 2002 (-0.86%), 26 Sep 2002 (-1.0%), 09 Oct 2002 (-1.65%), 10 Oct 2002 (-1.06%), 11 Oct 2002 (-1.56%), 22 Oct 2002 (-1.24%), 04 Nov 2002 (-1.91%), 07 Nov 2002 (-1.37%), 21 Nov 2002 (2.98%)
2001105 Jun 2001 (-1.61%)
2000314 Feb 2000 (-1.03%), 17 Nov 2000 (-1.82%), 24 Nov 2000 (-0.11%)
1999617 May 1999 (-1.58%), 27 May 1999 (-1.32%), 28 Jun 1999 (-1.36%), 13 Aug 1999 (2.36%), 28 Sep 1999 (1.11%), 05 Oct 1999 (23.75%)
1998602 Mar 1998 (-1.26%), 04 Mar 1998 (-1.49%), 09 Mar 1998 (-0.09%), 17 Mar 1998 (-0.24%), 31 Mar 1998 (9.22%), 12 May 1998 (-0.15%)
1997603 Jan 1997 (-1.53%), 01 Mar 1997 (5.28%), 21 Apr 1997 (-1.01%), 23 May 1997 (-1.52%), 29 May 1997 (0.05%), 07 Aug 1997 (-1.21%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play