Study: Sell YESBANK when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell YESBANK when near 200 SMA and below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell YESBANK 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. buy 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
Although, strategy looks good but profit factor on day 4 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

In the table above, row 1 shows the best exit criterion. Profit factor is 1.57. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 32%, which is not acceptable. Avoid this strategy. Average return per trade is 1.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
YESBANK Performance, Profit Factor:1.57

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018509 Feb 2018 (-3.46%), 23 Feb 2018 (10.26%), 24 May 2018 (-3.35%), 15 Jun 2018 (-2.77%), 04 Sep 2018 (-3.88%)
2017130 Oct 2017 (-4.49%)
2016302 Feb 2016 (11.16%), 02 Mar 2016 (-3.96%), 28 Dec 2016 (-2.81%)
2015227 Jul 2015 (-2.82%), 14 Aug 2015 (8.56%)
2013121 Jun 2013 (-3.49%)
2012319 Jan 2012 (-3.56%), 31 Aug 2012 (-2.96%), 11 Sep 2012 (-2.65%)
2011404 Aug 2011 (11.26%), 09 Sep 2011 (12.27%), 17 Oct 2011 (-3.94%), 02 Dec 2011 (11.29%)
2010115 Dec 2010 (-5.2%)
2008104 Mar 2008 (24.15%)
2006423 May 2006 (24.08%), 19 Jun 2006 (-9.18%), 03 Jul 2006 (-7.05%), 11 Jul 2006 (-6.46%)

View performance of other stocks for this trading system.

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