Study: Buy ORIENTBANK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK when 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
1-46342.3546202643.484193.679495.08-5008.3-18823.030.840.64-0.033-1007.44
2-1977.39462323505937.2213875.29-6023.19-18253.970.990.99-0.0012-42.99
326273.36462323508875.9624728.67-7733.64-25350.141.151.150.011571.16
4-4155.2846271958.77538.3820429.88-10931.14-33893.560.690.98-0.0016-90.33
52052.944623235010992.0626272.38-10902.8-33380.021.011.010.000744.63
69234.0246252154.3511030.8428598.67-12692.24-37488.330.871.030.0029200.74
7-9173.714623235012852.4830505.24-13251.34-50280.110.970.97-0.0025-199.43
850082.8846281860.8711027.6437730.5-14371.73-458450.771.190.0131088.76
9-14015.944623235013033.4956737.59-13642.88-47652.70.960.96-0.0034-304.69
10-26934.146262056.5213013.2760141.84-18263.96-86521.960.710.93-0.0054-585.52
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
atrnil25.472323.4462224035.4820079.2331475.01-9235.49-14037.692.171.20.0171166.51
atrtrail23.8138322.6667264138.811399731475.01-7941.45-14037.691.761.120.0094571.98
atrnil38.743242.2958144424.1429637.0743114.34-9356.29-14037.693.171.010.0006755.9
atrtrail-15-18744.8767264138.8111802.0981506.82-7941.45-14037.691.490.94-0.0041-279.77
atrtrail34.49-19808.4367264138.8111761.1947212.52-7941.45-14037.691.480.94-0.0049-295.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 35.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (7.19%), 08 Feb 2019 (-4.58%), 22 Apr 2019 (-4.26%), 30 Apr 2019 (-4.24%), 07 May 2019 (-4.29%), 16 May 2019 (9.35%)
2017522 May 2017 (-4.95%), 24 May 2017 (10.86%), 23 Jun 2017 (-4.1%), 27 Jun 2017 (8.64%), 03 Aug 2017 (-3.89%)
2016302 Nov 2016 (-4.07%), 03 Nov 2016 (-4.26%), 19 Dec 2016 (-3.85%)
2014510 Jan 2014 (-4.91%), 20 Jun 2014 (-5.99%), 09 Jul 2014 (-5.37%), 11 Jul 2014 (-6.44%), 24 Sep 2014 (-5.05%)
2013324 Jan 2013 (-3.98%), 11 Feb 2013 (-4.26%), 22 Feb 2013 (-3.86%)
2010527 Jan 2010 (7.74%), 21 May 2010 (7.99%), 19 Nov 2010 (-4.58%), 24 Nov 2010 (-5.41%), 25 Nov 2010 (12.28%)
2009308 Jul 2009 (11.01%), 19 Aug 2009 (9.49%), 14 Dec 2009 (-4.78%)
2008121 Jan 2008 (-7.02%)
2007222 Feb 2007 (-4.35%), 08 Oct 2007 (10.07%)
2006320 Oct 2006 (8.36%), 08 Nov 2006 (9.02%), 11 Dec 2006 (-3.86%)
2005411 Jan 2005 (-4.74%), 12 Jan 2005 (10.46%), 29 Mar 2005 (8.77%), 19 Apr 2005 (-4.3%)
2004421 Jan 2004 (14.37%), 03 Feb 2004 (15.74%), 03 May 2004 (-6.05%), 12 May 2004 (-6.53%)
2003211 Feb 2003 (11.6%), 05 Aug 2003 (12.53%)
2002220 May 2002 (-3.39%), 21 May 2002 (7.11%)
2001413 Mar 2001 (-6.15%), 12 Apr 2001 (10.27%), 30 May 2001 (-4.0%), 05 Jun 2001 (-3.97%)
2000201 Feb 2000 (-4.88%), 03 Feb 2000 (-5.62%)
1999210 Aug 1999 (10.79%), 28 Sep 1999 (7.23%)
1996624 Jul 1996 (-3.87%), 30 Jul 1996 (-4.09%), 09 Aug 1996 (-3.73%), 16 Aug 1996 (-3.4%), 10 Sep 1996 (-3.76%), 13 Sep 1996 (-3.87%)



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