Study: Buy YESBANK when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy YESBANK when above 200 SMA and RSI is oversold" 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
1-2253.661055504809.5412574.42-5260.27-15281.990.910.91-0.0087-225.37
21618.741064604253.110192.9-5974.97-12144.390.711.070.0068161.87
315381.961064607004.7121576.57-6661.58-15403.271.051.580.041538.2
441890.9410555015341.432150.51-6963.21-19526.992.22.20.084189.09
531419.5410555016266.7832864.97-9982.87-26318.981.631.630.0523141.95
643564.0910555015419.3732864.97-6706.55-13341.422.32.30.0854356.41
783804.0410646016345.2839533.22-3566.92-5700.424.586.870.158380.4
888833.9410828012780.5941581.33-6705.37-8975.141.917.620.148883.39
966254.7810555017469.7445487.02-4218.78-9299.484.144.140.0996625.48
1056424.1810646015567.7145487.02-9245.52-14132.761.682.530.0825642.42
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
YESBANK Performance, X=8, Profit Factor:7.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017218 May 2017 (2.65%), 25 Oct 2017 (-2.22%)
2013119 Mar 2013 (2.45%)
2012209 May 2012 (0.59%), 30 Aug 2012 (0.95%)
2010125 Nov 2010 (1.41%)
2008122 Jan 2008 (20.79%)
2007206 Mar 2007 (2.07%), 22 Aug 2007 (20.2%)
2006107 Jun 2006 (-4.49%)

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
atrnil36.92116864136746.1531555.5954390.66-10352.78-16305.953.052.610.18989.55
atrtrail34.592975.9146842.8625397.7954390.66-7426.35-16305.953.422.560.0826641.14
atrnil25.0883595.75137653.8520873.9436260.44-10420.3-16305.9522.340.0996430.44
atrtrail2475293.23146842.8622450.6736260.44-7426.35-16305.953.022.270.0875378.09
atrtrail-15.6448174.45146842.8617930.8833212.21-7426.35-16305.952.411.810.0593441.03

In the table above, row 1 shows the best exit criterion. Profit factor is 2.61. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 4.49%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
YESBANK Performance, Profit Factor:2.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017218 May 2017 (8.41%), 25 Oct 2017 (-3.8%)
2013219 Mar 2013 (-3.49%), 26 Mar 2013 (10.78%)
2012209 May 2012 (-3.87%), 30 Aug 2012 (8.97%)
2010225 Nov 2010 (-4.61%), 26 Nov 2010 (-4.97%)
2008122 Jan 2008 (27.2%)
2007206 Mar 2007 (22.71%), 22 Aug 2007 (16.6%)
2006207 Jun 2006 (-7.34%), 09 Jun 2006 (-8.15%)



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