Study: Buy ORIENTBANK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK when below 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
1-225527118477139.833718.814666.21-5638.19-51027.170.660.44-0.053-1911.25
2-96422.96118586049.155767.4423866.79-7182.25-26286.720.80.78-0.019-817.14
3-120101118556346.617515.6926111.11-8467.67-41436.930.890.77-0.02-1017.8
4-79185.61118536544.929986.1865263.16-9360.82-41771.091.070.87-0.01-671.06
5-149055118526644.0710797.3656403.51-10765.42-45948.210.79-0.018-1263.18
6-135192118546445.7611580.2938587.31-11883.24-44110.280.970.82-0.015-1145.7
7-169885118516743.2211812.3851666.67-11527.11-47619.051.020.78-0.019-1439.71
8-145840118526644.0712431.3647017.54-12004.11-49122.811.040.82-0.015-1235.94
9-191182118516743.2213908.1149912.28-13440.23-54636.591.030.79-0.018-1620.19
10-234490118556346.6112637.9851102.2-14755.22-56472.670.860.75-0.022-1987.2
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
atrnil26.0251128.272096914033.0121153.4863637.12-10060.44-20065.772.11.040.0032244.63
atrnil310.3541289.141894614324.3433091.995455.69-10356.21-20065.773.21.030.0022218.46
atrtrail34.8-1458602417416730.7115188.8795455.69-7603.81-20065.7720.89-0.0087-605.23
atrtrail-15.22-1477932417416730.7115162.7581792.32-7603.81-20065.771.990.88-0.0084-613.25
atrtrail24.17-1575692417616531.5414532.6563637.12-7648.79-20065.771.90.88-0.011-653.81

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 33.01%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0032, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Feb 2019 (9.59%)
20181916 Jan 2018 (6.1%), 31 Jan 2018 (-4.39%), 06 Feb 2018 (-4.87%), 14 Feb 2018 (-5.07%), 26 Feb 2018 (-5.83%), 12 Mar 2018 (11.99%), 25 Apr 2018 (8.79%), 09 May 2018 (-4.38%), 10 May 2018 (-4.74%), 16 May 2018 (-5.09%), 18 May 2018 (10.67%), 27 Jun 2018 (-4.45%), 13 Jul 2018 (-4.38%), 16 Jul 2018 (9.4%), 11 Sep 2018 (-4.51%), 18 Sep 2018 (-4.81%), 21 Sep 2018 (-5.63%), 27 Sep 2018 (-6.17%), 08 Oct 2018 (13.14%)
2017510 Aug 2017 (-4.41%), 11 Aug 2017 (10.24%), 27 Sep 2017 (-3.65%), 11 Oct 2017 (7.09%), 06 Dec 2017 (-4.14%)
20161307 Jan 2016 (-4.02%), 11 Jan 2016 (-4.11%), 12 Jan 2016 (-4.43%), 14 Jan 2016 (-4.75%), 15 Jan 2016 (11.0%), 03 Feb 2016 (-6.18%), 11 Feb 2016 (-8.21%), 12 Feb 2016 (17.19%), 04 May 2016 (-4.86%), 16 May 2016 (-4.57%), 24 May 2016 (9.11%), 22 Dec 2016 (-3.79%), 26 Dec 2016 (7.87%)
20151529 Jan 2015 (-5.08%), 30 Jan 2015 (-5.49%), 05 Feb 2015 (-5.6%), 09 Feb 2015 (11.97%), 19 Mar 2015 (-4.58%), 25 Mar 2015 (-4.4%), 31 Mar 2015 (8.85%), 07 May 2015 (9.86%), 08 Jun 2015 (-5.08%), 15 Jun 2015 (9.73%), 29 Jun 2015 (8.76%), 27 Jul 2015 (8.22%), 24 Aug 2015 (-7.38%), 26 Aug 2015 (15.64%), 09 Dec 2015 (-3.92%)
2014417 Jan 2014 (-4.55%), 27 Jan 2014 (-4.71%), 30 Jan 2014 (10.65%), 25 Sep 2014 (-5.84%)
20131426 Feb 2013 (-4.1%), 19 Mar 2013 (-5.11%), 21 Mar 2013 (11.07%), 09 Apr 2013 (10.85%), 31 May 2013 (-4.32%), 10 Jun 2013 (-4.36%), 20 Jun 2013 (-4.47%), 24 Jun 2013 (-4.74%), 26 Jun 2013 (10.21%), 16 Jul 2013 (-5.74%), 17 Jul 2013 (-6.21%), 26 Jul 2013 (-6.56%), 30 Jul 2013 (-7.09%), 16 Aug 2013 (16.32%)
2012926 Mar 2012 (-5.31%), 28 Mar 2012 (11.32%), 26 Apr 2012 (-4.87%), 08 May 2012 (-4.95%), 16 May 2012 (10.13%), 20 Jul 2012 (-3.14%), 26 Jul 2012 (-3.61%), 27 Jul 2012 (8.65%), 28 Aug 2012 (8.41%)
20111910 Jan 2011 (-4.57%), 27 Jan 2011 (-4.49%), 28 Jan 2011 (-5.5%), 29 Apr 2011 (-4.04%), 02 May 2011 (-4.2%), 04 May 2011 (8.97%), 17 Jun 2011 (6.74%), 05 Aug 2011 (-3.3%), 18 Aug 2011 (-3.93%), 19 Aug 2011 (-4.31%), 12 Sep 2011 (-4.67%), 23 Sep 2011 (8.37%), 21 Nov 2011 (-4.41%), 23 Nov 2011 (-4.36%), 13 Dec 2011 (-4.38%), 16 Dec 2011 (-4.51%), 19 Dec 2011 (-4.8%), 20 Dec 2011 (-5.11%), 28 Dec 2011 (11.46%)
2010107 Dec 2010 (-7.32%)
2009621 Jan 2009 (-6.48%), 23 Jan 2009 (-7.1%), 17 Feb 2009 (-6.54%), 20 Feb 2009 (-6.68%), 06 Mar 2009 (-7.05%), 12 Mar 2009 (14.83%)
20081504 Mar 2008 (-7.63%), 07 Mar 2008 (-7.98%), 17 Mar 2008 (-8.89%), 19 Mar 2008 (19.5%), 26 May 2008 (-4.86%), 27 May 2008 (-5.54%), 29 May 2008 (-5.94%), 04 Jun 2008 (-6.51%), 09 Jun 2008 (-6.96%), 25 Jun 2008 (-6.88%), 27 Jun 2008 (-7.23%), 01 Jul 2008 (15.01%), 29 Sep 2008 (15.05%), 24 Oct 2008 (-9.39%), 27 Oct 2008 (21.23%)
2007723 Feb 2007 (-4.97%), 27 Feb 2007 (-5.65%), 28 Feb 2007 (-6.0%), 05 Mar 2007 (13.4%), 13 Jun 2007 (9.81%), 16 Aug 2007 (-4.96%), 17 Aug 2007 (-5.69%)
2006717 Feb 2006 (6.57%), 19 May 2006 (-5.58%), 01 Jun 2006 (-7.77%), 06 Jun 2006 (-8.01%), 08 Jun 2006 (-9.52%), 18 Jul 2006 (13.17%), 12 Dec 2006 (9.6%)
2005820 Apr 2005 (-4.51%), 06 May 2005 (-5.34%), 22 Jun 2005 (-3.18%), 30 Jun 2005 (6.14%), 22 Aug 2005 (-3.14%), 24 Aug 2005 (6.57%), 19 Oct 2005 (-4.45%), 24 Oct 2005 (9.84%)
2004314 May 2004 (-10.03%), 17 May 2004 (31.82%), 25 Oct 2004 (6.53%)
2001806 Jun 2001 (-3.98%), 12 Jun 2001 (7.7%), 13 Aug 2001 (5.04%), 30 Aug 2001 (-3.08%), 12 Sep 2001 (-3.31%), 14 Sep 2001 (-3.91%), 17 Sep 2001 (-4.42%), 18 Sep 2001 (9.99%)
20001104 Feb 2000 (-6.32%), 06 Mar 2000 (-5.82%), 10 Mar 2000 (12.43%), 27 Apr 2000 (-4.98%), 16 May 2000 (8.77%), 11 Jul 2000 (-2.54%), 28 Jul 2000 (-2.85%), 19 Sep 2000 (-2.52%), 25 Sep 2000 (-3.02%), 13 Oct 2000 (6.31%), 25 Oct 2000 (6.41%)
1999901 Feb 1999 (-4.22%), 05 Feb 1999 (-4.44%), 08 Feb 1999 (-4.68%), 09 Feb 1999 (10.15%), 22 Mar 1999 (-5.45%), 05 Apr 1999 (-5.32%), 12 Apr 1999 (9.91%), 26 Apr 1999 (10.98%), 14 Jun 1999 (14.04%)
19981503 Jun 1998 (-5.78%), 05 Jun 1998 (-6.8%), 08 Jun 1998 (-7.83%), 16 Jun 1998 (15.19%), 04 Aug 1998 (-3.43%), 11 Aug 1998 (-3.24%), 18 Aug 1998 (6.17%), 05 Oct 1998 (-3.12%), 06 Oct 1998 (-3.57%), 12 Oct 1998 (-4.18%), 20 Oct 1998 (10.16%), 24 Nov 1998 (-3.27%), 26 Nov 1998 (-3.52%), 21 Dec 1998 (-2.54%), 29 Dec 1998 (5.95%)
19971428 Jan 1997 (-4.44%), 29 Jan 1997 (-5.12%), 31 Jan 1997 (10.95%), 31 Mar 1997 (-4.53%), 01 Apr 1997 (9.44%), 20 Jun 1997 (-3.43%), 23 Jun 1997 (-3.63%), 25 Jun 1997 (7.87%), 01 Sep 1997 (-3.03%), 02 Sep 1997 (-3.3%), 27 Oct 1997 (-2.86%), 28 Oct 1997 (7.36%), 13 Nov 1997 (-3.91%), 11 Dec 1997 (6.56%)
1996616 Sep 1996 (-4.32%), 19 Sep 1996 (-5.23%), 24 Sep 1996 (-5.36%), 07 Oct 1996 (-4.9%), 08 Oct 1996 (-5.02%), 09 Oct 1996 (11.0%)



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