Study: Sell SYNDIBANK when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell SYNDIBANK when below 200 SMA and near 50 SMA and below 50 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-224892281436.361656.63423.19-2552.98-7669.620.650.37-0.084-1022.23
2-18055.852291340.912639.698130.08-3216.39-7486.630.820.57-0.049-820.72
35480.0222121054.554153.199841.68-4435.83-9310.550.941.120.01249.09
4-14426.0222101245.457670.4118888.89-7594.17-19074.331.010.84-0.016-655.73
5-18428.922101245.457144.3615555.56-7489.37-18149.680.950.79-0.022-837.68
6-10658.25221111506562.0114444.44-7530.94-19328.230.870.87-0.013-484.47
7-26470.512291340.918660.7917236.66-8032.13-16519.171.080.75-0.028-1203.21
8-49625.482291340.918883.0621887.82-9967.16-21828.910.890.62-0.045-2255.7
9-84997.5422101245.457960.2522982.22-13716.67-59236.640.580.48-0.054-3863.52
10-64398.56221111508170.227086.18-14024.62-50076.340.580.58-0.042-2927.21
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
50nil32.4437748.4636122433.339289.6711812.58-3071.98-3989.393.021.510.041048.57
atrnil38.9239720.71258173220090.1223258.09-7117.66-10238.372.821.330.0281588.83
50trail32.2221900.8237122532.438035.2411812.58-2980.88-3989.392.71.290.024591.91
atrnil25.4228039.9626111542.3112709.7415505.4-7451.15-10238.371.711.250.0241078.46
atrtrail24.517132.8528121642.869324.2915505.4-5922.42-9417.61.571.180.017611.89
atrtrail3515882.328111739.2910142.9223258.09-5628.81-9417.61.81.170.014567.23
50nil22.03589.7836122433.336193.117875.05-3071.98-3989.392.021.010.0008416.38
50trail21.89-204.6737122532.436193.117875.05-2980.88-3989.392.081-0.00029-5.53
atrtrail-15.46-10126.8328101835.718646.9527658.74-5366.46-9417.61.610.9-0.0094-361.67
50trail-13.11-15270.7937102727.036355.9523547.53-2919.64-3989.392.180.81-0.018-412.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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.
SYNDIBANK Performance, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019230 Jan 2019 (-1.19%), 04 Feb 2019 (3.48%)
2017408 Mar 2017 (-1.8%), 14 Mar 2017 (-1.76%), 11 Oct 2017 (-1.76%), 16 Oct 2017 (-1.54%)
2015709 Jan 2015 (-1.07%), 22 Jan 2015 (5.21%), 11 Jun 2015 (-1.29%), 15 Jun 2015 (-1.88%), 23 Jun 2015 (5.33%), 04 Dec 2015 (-1.03%), 07 Dec 2015 (4.48%)
2014218 Dec 2014 (-1.88%), 22 Dec 2014 (-1.19%)
2013108 Oct 2013 (-1.89%)
2012223 Jul 2012 (4.44%), 01 Aug 2012 (5.46%)
2011429 Apr 2011 (5.91%), 02 Aug 2011 (-1.11%), 04 Aug 2011 (5.83%), 21 Oct 2011 (-1.63%)
2010319 Apr 2010 (-1.99%), 19 May 2010 (-1.84%), 27 May 2010 (-1.71%)
2004224 Aug 2004 (-1.49%), 19 Oct 2004 (4.94%)
2001810 Jan 2001 (-1.09%), 12 Jan 2001 (-1.87%), 06 Jun 2001 (-1.72%), 13 Jun 2001 (3.73%), 11 Sep 2001 (3.07%), 13 Dec 2001 (-1.02%), 18 Dec 2001 (3.87%), 28 Dec 2001 (-1.7%)
2000126 Dec 2000 (-1.41%)



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