Study: Buy SYNDIBANK when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SYNDIBANK when near 200 SMA and above 200 SMA and above 50 SMA and above 20 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 SYNDIBANK 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
19610.13137653.853588.496950.35-2584.88-8344.921.391.620.042739.24
2485.13137653.853894.656060.61-4462.91-17941.590.871.020.001437.32
318595.44139469.235724.189110.02-8230.53-21418.640.71.560.0411430.42
4652.69138561.545620.310634.92-8861.94-25452.020.631.010.001350.21
5-6659.85137653.854024.428080.81-5805.13-22253.130.690.81-0.016-512.3
6-32364.77136746.153508.796077.66-7631.08-36439.50.460.39-0.053-2489.6
7-36958.2135838.466737.7517445.13-8830.87-38942.980.760.48-0.05-2842.94
8-43391.53134930.7710289.9416319.64-9394.59-36995.831.10.49-0.053-3337.81
9-44200.79135838.468153.9515384.62-10621.32-31571.630.770.48-0.059-3400.06
10-17479.66136746.1510693.0323410.24-11662.55-33488.370.920.79-0.021-1344.59

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.62. 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 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-14.3990574.21881044.4415026.8763274.73-2964.07-3895.245.074.060.0655031.9
atrnil27.4391371.76149564.2914440.2122471.08-7718.03-9839.71.873.370.146526.55
atrnil310.9282072.6512665021341.933706.63-7663.12-9839.72.792.790.16839.39
atrtrail-17.3378803.0915694021249.6564953.78-5410.54-9839.73.932.620.0585253.54
200nil33.2241576.531881044.449120.0611954.31-3138.4-3895.242.912.320.0852309.81
200nil22.0533052.031910952.636069.287969.54-3071.19-3895.241.982.20.0851739.58
atrtrail35.4734490.52157846.6711676.5720864.28-5905.69-9839.71.981.730.0492299.37
nilnil-119610.13137653.853588.496950.35-2584.88-8344.921.391.620.042739.24
200trail21.8916807.871991047.375160.967486.46-2964.07-3895.241.741.570.048884.62
atrtrail25.0723507.84157846.6710107.6216539.3-5905.69-9839.71.711.50.041567.19
200trail32.2814397.491881044.445504.7810444.29-2964.07-3895.241.861.490.038799.86

In the table above, row 2 shows the best exit criterion. Profit factor is 3.37. Strategy is very good and impressively bullish. Percentage of profitable trades is 64.29%, which is good. Average return per trade is 3.26%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SYNDIBANK Performance, Profit Factor:3.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017302 Feb 2017 (-3.2%), 06 Apr 2017 (5.2%), 18 Apr 2017 (6.01%)
2014215 Jan 2014 (-3.99%), 20 Mar 2014 (6.62%)
2012111 Jun 2012 (8.02%)
2009207 Jan 2009 (-4.45%), 28 Apr 2009 (11.24%)
2008130 Dec 2008 (8.27%)
2007122 Mar 2007 (-4.92%)
2002101 Jan 2002 (5.44%)
2001219 Jan 2001 (7.24%), 03 Dec 2001 (-2.74%)
2000107 Dec 2000 (6.95%)



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