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

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In this study, we evaluate the performance of strategy "Buy SYNDIBANK when above 200 SMA and near 50 SMA and above 50 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
117864.67179852.943890.4112359.55-2143.63-3980.11.812.040.061050.86
2-48512.55179852.943391.648510.64-9879.66-39035.590.340.39-0.057-2853.68
3-64166.85178947.064964.3912197.31-11542.44-62227.320.430.38-0.054-3774.52
4-18892.91771041.187040.6415426.01-6817.74-32376.581.030.72-0.026-1111.35
5-23226.6178947.066475.219013.45-8336.46-20224.720.780.69-0.034-1366.27
612809.12179852.947327.525829.6-6642.29-13547.651.11.240.018753.48
713096.41178947.069103.9728520.18-6637.26-16991.961.371.220.016770.38
854015.31710758.8210871.5829775.78-7814.36-18140.071.391.990.0643177.37
961759.071710758.8211719.9842152.47-7920.11-18828.931.482.110.0623632.89
1028549.681710758.8211924.2533183.86-12956.11-24951.140.921.310.0251679.39
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
SYNDIBANK Performance, X=9, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017130 May 2017 (-0.26%)
2014118 Jul 2014 (-5.99%)
2013122 Apr 2013 (7.58%)
2012111 Jun 2012 (3.0%)
2010104 Mar 2010 (-2.99%)
2009129 Oct 2009 (0.45%)
2007201 Aug 2007 (-0.95%), 12 Oct 2007 (3.47%)
2005216 Feb 2005 (4.61%), 06 Jul 2005 (21.08%)
2004223 Jan 2004 (2.53%), 12 May 2004 (-9.41%)
2003107 Aug 2003 (5.66%)
2002201 Jan 2002 (-1.65%), 16 Jan 2002 (7.69%)
2001219 Jan 2001 (2.54%), 26 Feb 2001 (-6.47%)

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
50trail-13.5965612.562261627.2717414.6763274.73-2429.72-3619.917.172.690.0452982.39
50nil21.717223.422391439.136306.057931.84-2823.65-3619.912.231.440.038748.84
atrtrail-16.9420518.731731417.6533257.9964953.78-5661.09-15922.935.871.260.0151206.98
50trail31.777376.812261627.277708.7111897.76-2429.72-3619.913.171.190.016335.31
50trail21.576001.312381534.785578.277931.84-2574.99-3619.912.171.160.015260.93
50nil326366.12261627.278923.2811897.76-2948.35-3928.073.031.130.012289.37
atrnil26.7610277.081771041.1816781.5326128.47-10719.36-15922.931.571.10.0099604.53
atrtrail24.72-21548.151841422.2215204.2418706.72-5883.22-15922.932.580.74-0.028-1197.12
atrnil310.81-36019.04164122522796.628060.08-10600.45-15922.932.150.72-0.035-2251.19
atrtrail35.53-35758.991731417.6514498.7525080.38-5661.09-15922.932.560.55-0.05-2103.47

In the table above, row 1 shows the best exit criterion. Profit factor is 2.69. 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 27.27%, which is not acceptable. Avoid this strategy. Average return per trade is 1.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.045, 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:2.69

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017330 May 2017 (-1.58%), 01 Jun 2017 (2.12%), 09 Jun 2017 (-1.15%)
2014118 Jul 2014 (-1.48%)
2013222 Apr 2013 (-1.18%), 23 Apr 2013 (-1.35%)
2012111 Jun 2012 (0.88%)
2010104 Mar 2010 (-1.07%)
2009129 Oct 2009 (-1.81%)
2007201 Aug 2007 (0.07%), 12 Oct 2007 (-0.22%)
2005216 Feb 2005 (-1.69%), 06 Jul 2005 (17.29%)
2004223 Jan 2004 (0.25%), 12 May 2004 (-1.24%)
2003207 Aug 2003 (-0.23%), 11 Aug 2003 (-1.79%)
2002201 Jan 2002 (-1.29%), 16 Jan 2002 (31.64%)
2001319 Jan 2001 (-1.0%), 26 Feb 2001 (-1.24%), 02 Mar 2001 (-1.12%)



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