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

home > technical-strategy > unionbank > 6

In this study, we evaluate the performance of strategy "Buy UNIONBANK when near 200 SMA and above 200 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
117130.841991047.376575.8417762.28-4205.18-8990.621.561.410.031901.62
2-2151.41991047.376102.4619264.82-5707.35-21444.621.070.96-0.0032-113.23
36638.041911857.897414.5329353.37-9365.23-220150.791.090.0074349.37
4-456.691911857.899010.3324709.3-12446.29-41476.730.721-0.0004-24.04
5-18846.881910952.638568.4930087.21-11614.64-44430.180.740.82-0.016-991.94
6-62253.811981142.118393.9621753.88-11764.13-36982.340.710.52-0.059-3276.52
7-72196.821981142.118138.8223691.86-12482.49-36276.080.650.47-0.069-3799.83
8-73562.121971236.849994.6321366.28-11960.38-39807.380.840.49-0.065-3871.69
9-56967.751961331.5815586.5626055.83-11575.93-259391.350.62-0.048-2998.3
10-36863.591981142.1112437.9635739.2-12397.03-26448.7410.73-0.031-1940.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.41. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, which is low, don't trade solely on the basis of this study.

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
nilnil-1117130.841991047.376575.8417762.28-4205.18-8990.621.561.410.031901.62
atrtrail24.64-8718.92271531.8213482.9417956.27-6873.3-15828.231.960.92-0.009-396.31
atrtrail35.09-24680.532271531.8211202.7126934.4-6873.3-15828.231.630.76-0.025-1121.84
atrnil36.67-57748.222141719.0525990.5627771.18-9512.38-17329.732.730.64-0.047-2749.92
atrtrail-15.45-394962271531.829086.2120014.94-6873.3-15828.231.320.62-0.048-1795.27
atrnil26.05-66232.922151623.8117350.8818514.12-9561.71-17329.731.810.57-0.065-3153.95
200nil21.55-32725.572962320.696367.787776.7-3084.01-3860.942.060.54-0.071-1128.47
200trail21.45-37435.632952417.2460867660.87-2827.73-3860.942.150.45-0.091-1290.88
200nil31.93-47173.712732411.119203.5211665.04-3116.01-3860.942.950.37-0.11-1747.17
200trail31.68-51713.452842414.294434.958359.07-2893.89-3860.941.530.26-0.15-1846.91
200trail-12.11-53529.262842414.2939818757.35-2893.89-3860.941.380.23-0.17-1911.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 47.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.45%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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, X=1, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016218 Jul 2016 (-0.9%), 18 Aug 2016 (1.8%)
2015303 Aug 2015 (8.88%), 21 Sep 2015 (-4.5%), 27 Nov 2015 (2.85%)
2012609 Feb 2012 (-1.38%), 14 Mar 2012 (-2.66%), 04 Apr 2012 (-0.94%), 24 Sep 2012 (-0.78%), 15 Oct 2012 (-2.2%), 01 Nov 2012 (8.09%)
2011215 Feb 2011 (1.7%), 31 Mar 2011 (-0.95%)
2009123 Mar 2009 (-3.44%)
2008220 Oct 2008 (-3.27%), 17 Nov 2008 (0.54%)
2006319 Apr 2006 (0.12%), 03 May 2006 (4.86%), 14 Aug 2006 (0.75%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play