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

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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 and RSI is above 50" 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
1-7307.682281436.364413.8210439.11-3044.16-6871.871.450.83-0.018-332.17
218560.8822121054.554609.1810417.07-3674.93-9693.331.251.510.039843.68
334836.2722121054.556846.7115500.54-4732.42-10636.931.451.740.0551583.47
428649.722101245.459856.9119398.71-5826.61-15912.51.691.410.0341302.26
5-10467.9722101245.459594.8319643.48-8868.02-22054.481.080.9-0.01-475.82
6-21600.1922121054.558239.1120592.29-12046.95-31965.870.680.82-0.018-981.83
7-45362.4622121054.558767.8522820.24-15057.66-40691.990.580.7-0.032-2061.93
8-28710.372211115010548.9123091.68-13158.94-30155.470.80.8-0.021-1305.02
9-13929.392213959.099525.7127349.44-15307.06-34263.210.620.9-0.0097-633.15
1028299.72213959.0911638.0727702.22-13666.14-34460.120.851.230.0191286.35
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-12.6929908.2736102627.7810547.9737143.68-2906.59-3980.123.631.40.025830.79
atrtrail24.1837914.7728111739.2912538.6819058.86-5882.98-9617.422.131.380.0341354.1
50trail31.6917556.736102627.789312.8211206.46-2906.59-3980.123.21.230.021487.69
50nil31.7513618.1136102627.789312.8211206.46-3058.08-3980.123.051.170.016378.28
atrnil25.8-505.52259163614530.6219058.86-8205.07-11178.271.771-0.00044-20.22
50trail21.46-1533.5837122532.436112.027470.97-2995.11-3980.122.040.98-0.0023-41.45
50nil21.51-3412.4237122532.436112.027470.97-3070.26-3980.121.990.96-0.0052-92.23
atrtrail34.71-5042.2628111739.298633.519415.62-5882.98-9617.421.470.95-0.0053-180.08
atrtrail-14.89-19697.7328111739.297301.1815871.19-5882.98-9617.421.240.8-0.024-703.49
atrnil38.43-68935.812341917.3921361.7928588.29-8125.42-11178.272.630.55-0.064-2997.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.4. 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 27.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017313 Jan 2017 (-1.39%), 24 Jan 2017 (18.57%), 24 Jul 2017 (-0.43%)
2016210 Nov 2016 (-1.17%), 11 Nov 2016 (2.41%)
2015323 Sep 2015 (-1.2%), 29 Sep 2015 (-1.28%), 02 Dec 2015 (-1.14%)
2014425 Aug 2014 (-1.72%), 27 Aug 2014 (-1.11%), 28 Aug 2014 (1.72%), 05 Sep 2014 (-1.71%)
2013102 Apr 2013 (-1.13%)
2012110 Apr 2012 (-1.48%)
2010507 Jan 2010 (-1.42%), 19 Jan 2010 (-1.4%), 02 Mar 2010 (4.27%), 12 Mar 2010 (-1.35%), 16 Mar 2010 (4.49%)
2009410 Feb 2009 (-1.05%), 23 Mar 2009 (-1.14%), 25 Mar 2009 (-1.84%), 22 Dec 2009 (-1.35%)
2007214 Sep 2007 (-1.83%), 18 Sep 2007 (2.71%)
2006901 Mar 2006 (-1.99%), 16 Mar 2006 (-1.68%), 28 Mar 2006 (-1.89%), 03 Apr 2006 (2.53%), 07 Apr 2006 (-1.97%), 19 Apr 2006 (-1.52%), 20 Apr 2006 (-1.62%), 03 May 2006 (4.38%), 01 Dec 2006 (-1.96%)
2005104 Jun 2005 (1.9%)
2003117 Dec 2003 (9.76%)



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