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

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK when near 200 SMA and above 200 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
157081.4227141351.856333.9325052.34-2430.28-6240.712.612.810.0662114.13
211168127161159.269698.0559106.77-3953.41-11669.722.453.570.0654136.34
366610.1527121544.4413302.9468039.08-6201.67-16314.442.151.720.0322467.04
438593.4627131448.1510904.8450523.38-7369.25-16690.041.481.370.0221429.39
545515.8127141351.8511014.7149476.62-8360.78-21798.171.321.420.0241685.77
626244.7127121544.4414238.8152267.97-9641.4-27177.561.481.180.012972.03
721569.6127131448.1514033.4250942.08-11490.35-35591.551.221.130.0092798.87
864448.5827141351.8516063.4960083.74-12341.56-28639.151.31.40.0252386.98
938916.0827151255.5615781.0764619.68-16483.33-29152.680.961.20.0141441.34
1053779.3327111640.7423314.0860642.01-12667.22-27086.881.841.270.0181991.83

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 3.57. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.26%, which is not acceptable. Avoid this strategy. Average return per trade is 2.07%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ORIENTBANK Performance, X=2, Profit Factor:3.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017120 Sep 2017 (-5.83%)
2016121 Jul 2016 (3.3%)
2012308 Feb 2012 (1.27%), 13 Mar 2012 (-0.2%), 03 Jul 2012 (-0.71%)
2009202 Jan 2009 (5.89%), 15 May 2009 (29.55%)
2007325 Apr 2007 (0.14%), 05 Jul 2007 (6.2%), 04 Sep 2007 (2.7%)
2006111 May 2006 (-5.33%)
2004221 Jul 2004 (1.0%), 17 Nov 2004 (6.27%)
2002425 Jan 2002 (2.27%), 22 Oct 2002 (0.72%), 05 Nov 2002 (-0.12%), 21 Nov 2002 (0.0%)
2000117 Nov 2000 (-1.93%)
1999217 May 1999 (11.23%), 28 Jun 1999 (0.14%)
1998202 Mar 1998 (0.08%), 17 Mar 1998 (0.54%)
1997503 Jan 1997 (-4.07%), 01 Mar 1997 (6.28%), 21 Apr 1997 (-1.47%), 23 May 1997 (-0.46%), 07 Aug 1997 (-1.62%)

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-1211168127161159.269698.0559106.77-3953.41-11669.722.453.570.0654136.34
atrnil36.231558883012184024524.6334699.09-7689.3-12461.73.192.130.0655196.27
200trail-1372582.653773018.9221073.2151159.24-2497.66-3918.898.441.970.0321961.69
atrtrail-15.5288627.5531102132.2620178.9352977.19-5388.66-12461.73.741.780.0362858.95
atrnil25.2610073431141745.1616450.5723132.73-7622.02-12461.72.161.780.0543249.47
200nil32.353817737122532.439395.9711756.66-2982.98-3870.123.151.510.0361031.81
atrtrail34.7446973.8131102132.2616013.5634699.09-5388.66-12461.72.971.420.0261515.28
200nil21.6921641.0839152438.466266.657837.77-3014.95-3870.122.081.30.025554.9
200trail21.6413337.3539142535.96168.617837.77-2920.93-3870.122.111.180.016341.98
atrtrail24.2817348.3132112134.3811864.5523132.73-5388.66-12461.72.21.150.012542.13
200trail31.9710479.9538102826.328397.9511756.66-2624.98-3870.123.21.140.011275.79

In the table above, row 1 shows the best exit criterion. Profit factor is 3.57. Strategy is very good and impressively bullish. Percentage of profitable trades is 59.26%, which is not acceptable. Avoid this strategy. Average return per trade is 2.07%, which is very good. Sharpe Ratio is 0.065, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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