Study: Buy SYNDIBANK when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SYNDIBANK when above 200 SMA and RSI is oversold" 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
1-25908.69523404191.747419.62-11430.72-28815.980.370.24-0.095-5181.74
229424.425501005884.8812201.1500infinf0.315884.88
357403.655010011480.7233095.5800infinf0.2411480.72
464751.6855010012950.3431669.0400infinf0.2712950.34
566600.9855010013320.227389.4400infinf0.3913320.2
683220.3955010016644.0837083.3300infinf0.2916644.08
771353.745418019525.1836041.67-6746.99-6746.992.8911.580.2214270.75
864321.865418017255.1633750-4698.8-4698.83.6714.690.2112864.37
963692.7155010012738.543687500infinf0.2212738.54
1052130.625418013836.4536875-3215.17-3215.174.317.210.1610426.12
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SYNDIBANK Performance, X=2, Profit Factor:inf

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014113 Aug 2014 (6.1%)
2010127 Jan 2010 (3.37%)
2005129 Apr 2005 (0.62%)
2004114 May 2004 (4.14%)
2002120 May 2002 (0.48%)

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
atrtrail-19.41368315326054366.13133523-13133.66-24964.624.146.210.1127366.21
atrtrail3538960.775326021742.6935170.21-13133.66-24964.621.662.480.0817792.15
atrtrail24.417455.285326014574.223446.8-13133.66-24964.621.111.660.0463491.06
atrnil37.620511.635234032258.2335170.21-14668.27-24964.622.21.470.0394102.33
atrnil27-993.855234021505.4823446.8-14668.27-24964.621.470.98-0.0024-198.77

In the table above, row 1 shows the best exit criterion. Profit factor is 6.21. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 60%, which is not acceptable. Avoid this strategy. Average return per trade is 13.68%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SYNDIBANK Performance, Profit Factor:6.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014113 Aug 2014 (0.36%)
2010127 Jan 2010 (-0.65%)
2005129 Apr 2005 (14.43%)
2004114 May 2004 (-12.48%)
2002120 May 2002 (66.76%)



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