Study: Buy YESBANK 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 YESBANK 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 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. 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
1-8846.971981142.112634.125498.61-2719.99-14711.250.970.7-0.029-465.63
2-272191991047.374201.596370.84-6503.34-31894.630.650.58-0.042-1432.58
3-45058.21991047.374832.497486.19-8855.06-35217.830.550.49-0.057-2371.48
4-63675.521991047.375715.5912393.44-11511.58-53819.660.50.45-0.063-3351.34
5-52523.651910952.635165.4813640.11-11575.38-50820.670.450.5-0.052-2764.4
6-43836.011991047.377272.9113926.1-10929.22-42917.930.670.6-0.045-2307.16
7-61500.211910952.636636.4118695.72-14207.15-49766.970.470.52-0.058-3236.85
8-91467.841991047.377185.418813.48-15613.65-58439.720.460.41-0.071-4814.1
9-84501.21991047.377429.2220697.78-15136.42-59250.250.490.44-0.063-4447.43
10-1108851981142.119028.5821404.39-16646.67-80081.050.540.39-0.068-5836.04

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.7. This strategy is not profitable and we advice you not to use it.

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-12.93-3353.472762122.228727.9938377.04-2653.4-3939.93.290.94-0.0041-124.2
nilnil-11-8846.971981142.112634.125498.61-2719.99-14711.250.970.7-0.029-465.63
50trail22.04-16427.922882028.574873.747526.28-2770.89-3939.91.760.7-0.041-586.71
50nil22.11-23628.332762122.226202.287526.28-2897.24-3939.92.140.61-0.059-875.12
atrtrail-15-45815.252261627.277703.8225027.06-5752.38-16519.811.340.5-0.068-2082.51
atrtrail34.41-47505.442261627.277422.1217228.98-5752.38-16519.811.290.48-0.076-2159.34
50trail32.37-31065.022762122.224109.410665.49-2653.4-3939.91.550.44-0.092-1150.56
atrtrail24.09-53947.412261627.276348.4611485.99-5752.38-16519.811.10.41-0.097-2452.15
atrnil37.15-87378.8203171515432.6217228.98-7863.33-16519.811.960.35-0.13-4368.94
atrnil26.15-83429.13204162010946.6912921.53-7950.99-16519.811.380.34-0.13-4171.46
50nil33.08-47547.98262247.6910974.3811283.26-2895.7-3939.93.790.32-0.13-1828.77

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 22.22%, which is not acceptable. Avoid this strategy. Average return per trade is -0.062%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
YESBANK Performance, Profit Factor:0.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018129 Jun 2018 (-1.21%)
2017205 Jul 2017 (19.19%), 05 Oct 2017 (2.18%)
2016528 Sep 2016 (-1.51%), 03 Oct 2016 (-0.94%), 06 Oct 2016 (-1.24%), 18 Oct 2016 (0.15%), 26 Oct 2016 (-1.05%)
2015520 Mar 2015 (-1.65%), 29 Apr 2015 (0.74%), 14 May 2015 (2.21%), 30 Jun 2015 (1.72%), 03 Aug 2015 (-1.11%)
2014317 Jul 2014 (-1.38%), 12 Aug 2014 (-1.06%), 13 Aug 2014 (-1.14%)
2013112 Jul 2013 (-1.32%)
2012308 Jun 2012 (-1.4%), 13 Jun 2012 (-1.97%), 22 Jun 2012 (-1.65%)
2010304 Mar 2010 (-1.87%), 11 Mar 2010 (-0.53%), 18 Mar 2010 (-1.12%)
2008429 Jan 2008 (-1.16%), 30 Jan 2008 (-1.13%), 07 Feb 2008 (-1.7%), 29 Feb 2008 (-1.72%)



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