Study: Buy UNIONBANK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy UNIONBANK when 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
1-40225.6838201852.634687.4715686.27-7443.06-29547.260.630.7-0.028-1058.57
217879.2338231560.536659.9125542.69-9019.92-41779.190.741.130.01470.51
336122.7838201852.6310196.8232706.22-9322.98-26052.421.091.220.018950.6
499772.5438211755.2611696.9148872.46-8580.15-28820.711.361.680.0452625.59
596960.1638211755.2613665.9853160.81-11177.96-40416.551.221.510.0372551.58
612397538201852.6315293.5270240.3-10105.28-34055.731.511.680.0443262.51
722277138231560.5316943.65100037-11128.89-35563.791.522.330.0645862.38
824343938241463.1617088.12107209-11905.38-32924.291.442.460.0676406.3
928479938231560.5319999.78105804-11679.75-33572.591.712.630.0757494.7
1025987238211755.2622191.19117708-12126.07-36025.891.832.260.0616838.73
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
UNIONBANK Performance, X=9, Profit Factor:2.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Apr 2019 (-5.03%)
2017329 May 2017 (3.03%), 12 Jun 2017 (-3.14%), 01 Dec 2017 (-7.25%)
2016329 Sep 2016 (4.32%), 04 Nov 2016 (17.28%), 19 Dec 2016 (-7.82%)
2015129 Jan 2015 (-16.79%)
2014408 May 2014 (52.9%), 08 Jul 2014 (-3.35%), 25 Sep 2014 (8.81%), 25 Nov 2014 (11.77%)
2013424 Jan 2013 (-2.44%), 07 Feb 2013 (1.48%), 21 Feb 2013 (0.86%), 23 May 2013 (-4.44%)
2010505 Feb 2010 (1.04%), 07 May 2010 (3.22%), 25 May 2010 (10.42%), 28 Oct 2010 (2.58%), 19 Nov 2010 (1.83%)
2009110 Aug 2009 (-4.83%)
2008221 Jan 2008 (6.78%), 28 Feb 2008 (-16.46%)
2007216 Aug 2007 (1.36%), 19 Oct 2007 (28.73%)
2006111 Dec 2006 (0.75%)
2005412 Jan 2005 (16.59%), 23 Mar 2005 (6.35%), 28 Apr 2005 (-0.24%), 14 Oct 2005 (-10.43%)
2004430 Jan 2004 (7.43%), 16 Mar 2004 (13.11%), 13 May 2004 (-1.35%), 19 Aug 2004 (17.14%)
2003318 Sep 2003 (12.21%), 28 Oct 2003 (0.0%), 14 Nov 2003 (-4.03%)

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
atrnil38.2923810051183335.2932662.7657194.85-10600.89-28641.743.081.680.0534668.63
atrtrail-15.8714959060194131.6724677.18119986-7787.23-28641.743.171.470.0272493.16
atrtrail34.8399456.0860194131.6722038.5657194.85-7787.23-28641.742.831.310.0231657.6
atrnil25.7287663.2553203337.7421818.0938129.9-10566.62-28641.742.061.250.0251654.02
atrtrail24.08-7389.9660194131.6716415.0838129.9-7787.23-28641.742.110.98-0.0022-123.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.68. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 2.33%, which is very good. Sharpe Ratio is 0.053, 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:1.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Apr 2019 (-3.94%)
2017229 May 2017 (-4.93%), 01 Dec 2017 (-4.38%)
2016429 Sep 2016 (12.35%), 04 Nov 2016 (-3.76%), 08 Nov 2016 (-3.89%), 19 Dec 2016 (-3.87%)
2015229 Jan 2015 (-4.56%), 30 Jan 2015 (-4.83%)
2014508 May 2014 (16.33%), 08 Jul 2014 (-5.71%), 10 Jul 2014 (-6.42%), 11 Jul 2014 (20.71%), 25 Nov 2014 (11.72%)
2013424 Jan 2013 (-4.18%), 07 Feb 2013 (-4.56%), 25 Feb 2013 (-3.96%), 23 May 2013 (-4.21%)
2010705 Feb 2010 (12.14%), 07 May 2010 (9.25%), 25 May 2010 (14.39%), 28 Oct 2010 (-3.78%), 19 Nov 2010 (-3.63%), 24 Nov 2010 (-3.85%), 25 Nov 2010 (-4.48%)
2009310 Aug 2009 (-4.91%), 12 Aug 2009 (-5.03%), 19 Aug 2009 (15.2%)
2008221 Jan 2008 (-7.73%), 28 Feb 2008 (-6.88%)
2007316 Aug 2007 (-6.64%), 21 Aug 2007 (22.41%), 19 Oct 2007 (28.6%)
2006111 Dec 2006 (-3.99%)
2005512 Jan 2005 (18.04%), 23 Mar 2005 (-5.8%), 29 Apr 2005 (18.18%), 14 Oct 2005 (-4.59%), 19 Oct 2005 (-4.64%)
2004730 Jan 2004 (-5.47%), 03 Feb 2004 (19.36%), 16 Mar 2004 (12.95%), 23 Mar 2004 (16.73%), 13 May 2004 (-11.08%), 14 May 2004 (-14.32%), 19 Aug 2004 (15.33%)
2003518 Sep 2003 (-5.86%), 19 Sep 2003 (18.65%), 28 Oct 2003 (-5.4%), 19 Nov 2003 (-3.62%), 20 Nov 2003 (11.64%)



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