Study: Sell UNIONBANK when near 200 SMA and below 200 SMA

home > technical-strategy > unionbank > 1

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

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell UNIONBANK 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
1-63902.5401426353453.0214290.08-4317.11-22299.920.80.43-0.064-1597.56
2-47471.87401624405741.8426870.23-5805.89-23620.820.990.66-0.035-1186.8
3-68982.95402020506143.3919969.47-9592.53-29681.430.640.64-0.04-1724.57
4-85454.98401822456129.7918656.23-8899.6-29759.130.690.56-0.053-2136.37
5-124580401624407948.438943.25-10489.77-34296.720.760.51-0.061-3114.51
6-104556401822459625.8841943.9-12628.25-44133.640.760.62-0.042-2613.89
7-84056.4940192147.510232.0534377.04-13260.26-33275.20.770.7-0.033-2101.41
8-24307.8340192147.512093.7433659.49-12099.47-34731.9310.9-0.0092-607.7
9-28646.334020205011649.9737247.23-13082.29-31701.630.890.89-0.011-716.16
1023892.33402218551250636824.43-13957.77-35431.240.91.10.0089597.31
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
atrtrail24.47-68389.6247133427.6616412.5332244.49-8286.84-26807.221.980.76-0.028-1455.1
atrnil25.56-76837.0943123127.9118797.1832244.49-9754.94-26807.221.930.75-0.032-1786.91
atrnil39.22-94828.45408322027679.546790-9883.26-26807.222.80.7-0.036-2370.71
atrtrail34.83-10770447123525.5314586.2546790-8078.26-26807.221.810.62-0.045-2291.58
200trail-11.97-63959.665105515.388779.2625462.85-2759.13-3905.763.180.58-0.048-983.99
200nil21.45-64336.9366145221.216077.547835.56-2873.51-3905.762.120.57-0.063-974.8
200trail21.35-63785.9266155122.735430.787835.56-2847.99-3905.761.910.56-0.065-966.45
atrtrail-15.15-13560647123525.5312261.0827864.52-8078.26-26807.221.520.52-0.065-2885.24
200nil31.79-80836.726395414.298594.0211753.34-2929.31-3905.762.930.49-0.075-1283.12
200trail31.51-90593.5765105515.386115.8611501.68-2759.13-3905.762.220.4-0.098-1393.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 27.66%, which is not acceptable. Avoid this strategy. Average return per trade is -0.73%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
UNIONBANK Performance, Profit Factor:0.757

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019231 Jan 2019 (8.36%), 05 Mar 2019 (-0.88%)
2018126 Dec 2018 (-3.93%)
2017102 Aug 2017 (6.82%)
2016412 Jul 2016 (-1.3%), 19 Jul 2016 (7.49%), 17 Aug 2016 (-3.96%), 09 Nov 2016 (-4.46%)
2015224 Sep 2015 (-2.28%), 14 Oct 2015 (9.22%)
2013328 Feb 2013 (-4.64%), 21 Mar 2013 (-2.23%), 08 Apr 2013 (-1.64%)
2012710 Feb 2012 (-4.89%), 22 Feb 2012 (9.61%), 03 Apr 2012 (9.71%), 21 Sep 2012 (-4.43%), 26 Sep 2012 (-4.3%), 11 Oct 2012 (-2.59%), 23 Oct 2012 (-3.94%)
2011624 Jan 2011 (6.92%), 14 Feb 2011 (-3.59%), 18 Feb 2011 (7.22%), 16 Mar 2011 (0.95%), 29 Mar 2011 (-2.77%), 08 Apr 2011 (0.23%)
2010113 Dec 2010 (-2.07%)
2008604 Mar 2008 (16.12%), 05 May 2008 (-5.0%), 17 Oct 2008 (15.6%), 04 Nov 2008 (-2.14%), 03 Dec 2008 (-8.53%), 08 Dec 2008 (-8.41%)
2007123 Jan 2007 (-3.32%)
2006513 Feb 2006 (-4.1%), 17 Apr 2006 (-3.77%), 26 Apr 2006 (8.44%), 23 Aug 2006 (-4.46%), 14 Dec 2006 (-5.46%)
2005507 Nov 2005 (-2.24%), 25 Nov 2005 (-2.94%), 02 Dec 2005 (-0.64%), 15 Dec 2005 (-3.58%), 23 Dec 2005 (-3.81%)
2004231 May 2004 (-13.4%), 14 Jun 2004 (-10.07%)
2003111 Jul 2003 (-5.07%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play