Study: Sell UNIONBANK when below 200 SMA and near 50 SMA and below 50 SMA

home > technical-strategy > unionbank > 17

In this study, we evaluate the performance of strategy "Sell UNIONBANK when below 200 SMA and near 50 SMA and below 50 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
1-97199.8837142337.843143.6610543.26-6139.61-68340.940.510.31-0.055-2627.02
2-77817.6637191851.354632.4615626.02-9213.03-83713.850.50.53-0.034-2103.18
3-11062237152240.54779722752.53-10344.43-67275.490.750.51-0.051-2989.79
4-20254037112629.738488.6619796.33-11381.34-80441.40.750.32-0.082-5474.04
5-17938737122532.438497.1619551.93-11254.11-68569.250.760.36-0.077-4848.29
6-15180537122532.4311471.8723951.12-11578.69-73439.880.990.48-0.058-4102.84
7-80463.1937162143.2411044.5131527.49-12246.44-60350.080.90.69-0.032-2174.68
8-26146.4537191851.3511234.8831186.66-13311.62-64079.150.840.89-0.01-706.66
9-22731.4437162143.2414099.0533474.99-11824.58-68721.461.190.91-0.0084-614.36
10-29582.3337181948.6512461.5133344.23-13362.6-52739.730.930.88-0.012-799.52
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
50trail-12.21-12046.6562134920.979523.8233533.69-2772.58-3941.33.440.91-0.007-194.3
atrtrail24-62945.0446143230.4312205.8921869.75-7307.11-16344.261.670.73-0.033-1368.37
50trail21.38-39243.97641648255913.287317.31-2788.67-3941.32.120.71-0.039-613.19
atrnil37.11-83337.43782921.6224094.6328999.16-9520.5-17593.762.530.7-0.039-2252.36
atrnil25.1-83701.7141122929.2716122.4819846.21-9557.64-17593.761.690.7-0.041-2041.51
50nil21.38-41033.28641648255913.287317.31-2825.95-3941.32.090.7-0.041-641.15
50trail31.53-50045.6562134920.976600.8210975.97-2772.58-3941.32.380.63-0.048-807.19
50nil31.6-55800.1860105016.678656.8410805.81-2847.37-3941.33.040.61-0.052-930
atrtrail-14.78-93973.7646133328.2610833.8737517.28-7115.58-16344.261.520.6-0.049-2042.91
atrtrail34.35-96478.946133328.2610641.1728999.16-7115.58-16344.261.50.59-0.053-2097.37

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 20.97%, which is not acceptable. Avoid this strategy. Average return per trade is -0.097%, 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:0.911

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (-1.0%), 08 Jul 2019 (-1.79%), 10 Jul 2019 (-1.26%)
2018926 Jul 2018 (-1.14%), 27 Jul 2018 (-1.18%), 13 Aug 2018 (-1.27%), 16 Aug 2018 (-1.27%), 05 Sep 2018 (0.64%), 14 Sep 2018 (16.77%), 30 Oct 2018 (-1.39%), 07 Dec 2018 (-1.0%), 11 Dec 2018 (-1.32%)
2017124 Oct 2017 (-1.34%)
2016603 May 2016 (3.67%), 08 Jun 2016 (-1.56%), 09 Jun 2016 (-1.05%), 10 Jun 2016 (0.13%), 01 Aug 2016 (-1.34%), 02 Aug 2016 (-1.26%)
2015524 Aug 2015 (-1.2%), 28 Aug 2015 (-1.64%), 18 Sep 2015 (-1.48%), 24 Sep 2015 (-1.19%), 28 Sep 2015 (-1.21%)
2014307 Jan 2014 (-1.26%), 10 Jan 2014 (0.55%), 21 Jan 2014 (11.79%)
2013428 Oct 2013 (-1.67%), 30 Oct 2013 (-1.04%), 13 Nov 2013 (-1.43%), 29 Nov 2013 (-1.51%)
2012520 Mar 2012 (0.66%), 29 Mar 2012 (-1.34%), 08 Jun 2012 (-1.82%), 12 Jun 2012 (-1.43%), 26 Jun 2012 (-1.68%)
20111324 Jan 2011 (3.3%), 03 Feb 2011 (-1.49%), 04 Feb 2011 (-1.17%), 11 Feb 2011 (-1.37%), 22 Feb 2011 (1.46%), 01 Mar 2011 (-1.54%), 03 Mar 2011 (-1.8%), 11 Mar 2011 (-1.63%), 23 Mar 2011 (-1.29%), 19 Apr 2011 (-1.08%), 20 Apr 2011 (-1.13%), 13 Jun 2011 (7.97%), 22 Jul 2011 (8.5%)
2008528 Apr 2008 (-1.3%), 30 Apr 2008 (-1.28%), 22 May 2008 (-1.62%), 20 Nov 2008 (-1.22%), 11 Dec 2008 (-1.83%)
2007322 Mar 2007 (-1.3%), 30 Mar 2007 (4.34%), 11 Apr 2007 (-1.0%)
2006413 Feb 2006 (-1.97%), 20 Feb 2006 (-1.82%), 18 Apr 2006 (-1.57%), 26 Apr 2006 (2.12%)
2005115 Dec 2005 (-1.5%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play