Study: Buy UNIONBANK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy UNIONBANK when above 200 SMA and near 50 SMA and above 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-46081.9654223240.744234.3311002.82-4351.16-18473.90.970.67-0.037-853.37
28271.5542727505254.6821623.59-4948.33-15360.851.061.060.0056153.18
332774.91542727507102.2521842.01-5888.36-15096.011.211.210.018606.94
439797.0554302455.567975.8721939.14-8311.63-19024.50.961.20.018736.98
525888.1654312357.418134.8224203.82-9838.75-22997.130.831.110.011479.41
638713.2654292553.79950.0626043.88-9993.54-31965.8711.150.014716.91
71570.854312357.418354.5322820.24-11192.15-32090.050.751.010.0005729.09
836140.4654282651.8510519.9429300.12-9939.15-43257.561.061.140.012669.27
946258.0254252946.313321.237174.35-9888.69-40741.561.351.160.014856.63
1067408.5254332161.1110771.8432765.53-13717.25-41359.520.791.230.0191248.31
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
50nil31.8436409.0183236027.719475.3711681.53-3025.41-3980.123.131.20.019438.66
50trail31.7331145.1585256029.418155.911681.53-2879.21-3980.122.831.180.017366.41
50trail-12.6531173.9685246128.248617.8637143.68-2879.59-3980.122.991.180.013366.75
atrtrail24.4824219.5266244236.3612566.2931390.88-6604.08-11149.161.91.090.0086366.96
50nil21.439799.4388305834.096201.957787.69-3038.95-3980.122.041.060.0061111.36
atrtrail35.088475.6266244236.3611910.2947086.32-6604.08-11149.161.81.030.0028128.42
atrnil26.398874.5456203635.7116098.8831390.88-8697.3-12322.51.851.030.0031158.47
50trail21.414410.7888295932.956208.697787.69-2976.97-3980.122.091.030.002850.12
atrnil39.24-37308.275012382424519.8947086.32-8724.92-12322.52.810.89-0.012-746.17
atrtrail-15.5-65737.7866234334.859326.4834152.36-6517.37-11149.161.430.77-0.027-996.03

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 27.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.22%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
UNIONBANK Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Jan 2019 (-1.46%), 02 May 2019 (-1.1%)
2017913 Jan 2017 (-1.64%), 24 Jan 2017 (4.89%), 22 Mar 2017 (5.02%), 07 Apr 2017 (5.6%), 18 Apr 2017 (-1.7%), 23 May 2017 (-1.97%), 25 May 2017 (-1.86%), 24 Jul 2017 (-1.46%), 08 Dec 2017 (-1.78%)
2016430 Sep 2016 (5.44%), 01 Nov 2016 (-1.98%), 10 Nov 2016 (-1.17%), 11 Nov 2016 (4.87%)
2015428 Jan 2015 (-1.05%), 23 Sep 2015 (-1.2%), 29 Sep 2015 (-1.28%), 02 Dec 2015 (-1.14%)
2014825 Aug 2014 (-1.72%), 27 Aug 2014 (-1.11%), 28 Aug 2014 (4.21%), 05 Sep 2014 (-1.88%), 24 Sep 2014 (-1.36%), 10 Nov 2014 (3.3%), 24 Nov 2014 (-1.02%), 12 Dec 2014 (-1.52%)
2013302 Apr 2013 (-1.13%), 14 May 2013 (5.66%), 30 May 2013 (-1.43%)
2012110 Apr 2012 (-1.48%)
20101007 Jan 2010 (-1.95%), 13 Jan 2010 (-1.01%), 19 Jan 2010 (-1.4%), 02 Mar 2010 (4.96%), 12 Mar 2010 (-1.35%), 16 Mar 2010 (5.09%), 17 May 2010 (4.5%), 25 Jun 2010 (4.07%), 28 Oct 2010 (-1.97%), 29 Oct 2010 (4.47%)
2009816 Jan 2009 (-1.58%), 19 Jan 2009 (-1.72%), 10 Feb 2009 (-1.05%), 23 Mar 2009 (-1.14%), 25 Mar 2009 (-1.84%), 05 Aug 2009 (-1.35%), 11 Dec 2009 (-1.71%), 22 Dec 2009 (-1.35%)
2007414 Sep 2007 (-1.83%), 18 Sep 2007 (5.6%), 23 Nov 2007 (5.73%), 29 Nov 2007 (3.22%)
20061806 Feb 2006 (-1.73%), 16 Feb 2006 (-1.91%), 22 Feb 2006 (-1.28%), 01 Mar 2006 (-1.99%), 09 Mar 2006 (-1.58%), 28 Mar 2006 (-1.89%), 03 Apr 2006 (3.66%), 07 Apr 2006 (-1.97%), 19 Apr 2006 (-1.52%), 20 Apr 2006 (-1.62%), 25 Apr 2006 (-1.04%), 03 May 2006 (5.0%), 12 May 2006 (-1.49%), 21 Oct 2006 (-1.87%), 09 Nov 2006 (-1.76%), 14 Nov 2006 (4.95%), 24 Nov 2006 (-1.0%), 01 Dec 2006 (-1.96%)
2005519 Jan 2005 (-1.29%), 04 Jun 2005 (3.06%), 21 Jun 2005 (-1.59%), 26 Sep 2005 (-1.46%), 06 Oct 2005 (-1.04%)
2004430 Jan 2004 (-1.77%), 06 Feb 2004 (4.6%), 16 Aug 2004 (-1.12%), 28 Oct 2004 (5.84%)
2003327 Oct 2003 (-1.66%), 04 Nov 2003 (-1.5%), 17 Dec 2003 (5.22%)



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