Study: Buy ORIENTBANK when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK when near 200 SMA and above 200 SMA and ADX is Trending" 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
17869.851771041.186091.625052.34-3477.13-8966.631.751.230.013462.93
257320.91178947.0612055.7759106.77-4347.25-221152.772.470.0433371.82
368742.461771041.1816646.2768039.08-4778.14-18496.183.482.440.0464043.67
462367.5179852.9411514.8450523.38-5158.26-16928.032.232.510.0543668.68
573275.881711664.719678.2149476.62-5530.73-14475.271.753.210.0654310.35
662904.421710758.8211285.6252267.97-7135.96-16083.631.582.260.0513700.26
781376.121711664.7111639.2150942.08-7775.87-18789.581.52.740.0664786.83
890306.31711664.7112481.5960083.74-7831.86-19106.261.592.920.0645312.14
964022.221711664.7112063.0764619.68-11445.25-19483.951.051.930.0413766.01
1061264.8179852.9415083.9960642.01-9311.39-18181.821.621.820.043603.81
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ORIENTBANK Performance, X=5, Profit Factor:3.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Dec 2018 (9.03%)
2017105 Jan 2017 (4.32%)
2016121 Jul 2016 (5.13%)
2012208 Feb 2012 (3.11%), 03 Jul 2012 (0.08%)
2010128 Dec 2010 (-0.73%)
2009115 May 2009 (24.74%)
2005103 May 2005 (-5.56%)
2004126 May 2004 (-7.24%)
2002426 Sep 2002 (0.98%), 11 Oct 2002 (-0.24%), 04 Nov 2002 (0.6%), 21 Nov 2002 (1.89%)
2000117 Nov 2000 (-0.45%)
1999117 May 1999 (3.21%)
1998102 Mar 1998 (0.15%)
1997106 Jan 1997 (-2.38%)

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
atrnil36.3665328.332271531.8227783.7533360.63-8610.53-22450.913.231.510.0352969.47
atrnil24.8343443.582391439.1318196.4922240.42-8594.63-22450.912.121.360.0281888.85
atrtrail34.95-5316.142261627.2716282.4133360.63-6438.16-22450.912.530.95-0.0039-241.64
atrtrail24.13-6435.212371630.4313796.4822240.42-6438.16-22450.912.140.94-0.0052-279.79
atrtrail-15.82-6844.252251722.7320370.9952977.19-6394.07-22450.913.190.94-0.0042-311.1
200trail-12.54-4527.762842414.2915635.9448709-2794.65-3870.125.590.93-0.0034-161.71
200trail21.82-25532.692862221.436363.697495.52-2896.13-3870.122.20.6-0.048-911.88
200nil21.82-26906.382862221.436363.697495.52-2958.57-3870.122.150.59-0.051-960.94
200trail31.96-27932.162852317.867782.511243.28-2906.29-3870.122.680.58-0.046-997.58
200nil32-32620.142842414.299667.3911243.28-2970.4-3870.123.250.54-0.053-1165.01

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is 1.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018107 Dec 2018 (16.68%)
2017105 Jan 2017 (10.5%)
2016121 Jul 2016 (-4.42%)
2012408 Feb 2012 (-3.94%), 03 Jul 2012 (-3.07%), 06 Jul 2012 (-3.03%), 16 Jul 2012 (-2.73%)
2010128 Dec 2010 (-4.91%)
2009115 May 2009 (15.15%)
2005103 May 2005 (-5.07%)
2004126 May 2004 (-11.23%)
2002526 Sep 2002 (-2.47%), 09 Oct 2002 (-3.26%), 10 Oct 2002 (10.23%), 22 Oct 2002 (-5.27%), 04 Nov 2002 (15.46%)
2000117 Nov 2000 (13.9%)
1999217 May 1999 (15.32%), 27 May 1999 (-6.23%)
1998202 Mar 1998 (-2.29%), 04 Mar 1998 (-2.8%)
1997106 Jan 1997 (-3.86%)



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