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

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In this study, we evaluate the performance of strategy "Buy UNIONBANK when near 200 SMA and above 200 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
114158.28402020504838.6317762.28-4130.71-8990.621.171.170.014353.96
257777.03402218556819.1520841.37-5124.68-21444.621.331.630.0431444.43
381566.67402416608950.629353.37-8327.98-220151.071.610.0452039.17
467318.9940231757.510893.0530209.48-10777.72-41476.731.011.370.0291682.97
575997.3840231757.511435.5235147.19-11001.15-44430.181.041.410.031899.93
6-1036.364020205012007.4936396.07-12059.3-36982.3411-0.0004-25.91
715586.6940211952.512603.642531.84-13109.94-36276.080.961.060.0054389.67
822311.3240192147.514293.6647850.06-11869.91-39807.381.21.090.0077557.78
970282.074018224518234.157772.88-11724.17-29404.731.561.270.0221757.05
1080577.5440192147.517647.6752701.21-12129.92-26448.741.451.320.0262014.44
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
200trail-12.647617.0461164526.238439.242333.63-2831.34-3995.222.981.060.0041124.87
200trail21.485137.6363214233.336053.197980.41-2904.27-3995.222.081.040.004681.55
200nil21.525360.3163214233.336374.297980.41-3059.52-3995.222.081.040.004685.08
atrtrail-15.483276.2948183037.511563.3646322.03-6828.8-15828.231.691.020.001368.26
200trail31.79-1791.1762174527.427389.3511545.47-2831.34-3995.222.610.99-0.0014-28.89
atrtrail34.94-3913.4948183037.511163.9333451.53-6828.8-15828.231.630.98-0.0017-81.53
atrtrail24.48-6013.2248183037.511047.2722301.02-6828.8-15828.231.620.97-0.0029-125.28
200nil32.05-11194.6160144623.339433.6611665.04-3114.47-3995.223.030.92-0.0084-186.58
atrnil39.03-48769.573682822.2227035.733451.53-9466.26-17329.732.860.82-0.021-1354.71
atrnil26.16-78449.3743123127.9117559.1522301.02-9327.72-17329.731.880.73-0.036-1824.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 26.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.062%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, 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:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 Jan 2019 (-1.24%), 07 May 2019 (-0.52%)
2017203 Jul 2017 (-1.97%), 05 Jul 2017 (1.42%)
2016418 Jul 2016 (-1.74%), 18 Aug 2016 (-0.48%), 08 Nov 2016 (-1.5%), 19 Dec 2016 (-1.85%)
2015930 Jan 2015 (-1.49%), 02 Feb 2015 (-1.48%), 03 Aug 2015 (-1.36%), 21 Sep 2015 (-1.67%), 23 Sep 2015 (-1.01%), 29 Sep 2015 (-1.65%), 15 Oct 2015 (-1.84%), 27 Nov 2015 (0.77%), 03 Dec 2015 (-1.9%)
2013304 Mar 2013 (6.94%), 28 Mar 2013 (1.82%), 12 Apr 2013 (7.87%)
2012809 Feb 2012 (-1.35%), 14 Mar 2012 (-1.93%), 04 Apr 2012 (-1.37%), 10 Apr 2012 (-1.02%), 24 Sep 2012 (-1.92%), 15 Oct 2012 (-1.09%), 26 Oct 2012 (-1.51%), 01 Nov 2012 (-1.43%)
2011215 Feb 2011 (0.13%), 31 Mar 2011 (-0.6%)
2010219 Feb 2010 (12.14%), 14 Dec 2010 (-2.0%)
2009423 Jan 2009 (-0.83%), 03 Feb 2009 (2.06%), 23 Mar 2009 (-1.44%), 25 Mar 2009 (-1.56%)
2008220 Oct 2008 (-1.92%), 17 Nov 2008 (-1.54%)
2007111 Jan 2007 (1.19%)
20061714 Feb 2006 (-1.4%), 17 Feb 2006 (-1.62%), 21 Feb 2006 (-1.18%), 23 Feb 2006 (0.38%), 21 Mar 2006 (1.1%), 30 Mar 2006 (-1.63%), 31 Mar 2006 (2.83%), 10 Apr 2006 (-1.48%), 19 Apr 2006 (-1.71%), 20 Apr 2006 (-1.78%), 25 Apr 2006 (-1.14%), 03 May 2006 (4.38%), 12 May 2006 (-1.64%), 14 Aug 2006 (-0.96%), 17 Aug 2006 (-1.77%), 24 Aug 2006 (2.69%), 18 Dec 2006 (0.64%)
2005319 Oct 2005 (-1.36%), 14 Nov 2005 (-0.58%), 18 Nov 2005 (-1.05%)
2004223 Mar 2004 (-1.21%), 23 Aug 2004 (21.17%)



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