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

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In this study, we evaluate the performance of strategy "Sell AXISBANK 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 AXISBANK 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
110383.781913668.423240.437799.5-5290.3-15367.680.611.330.035546.51
212374.421912763.164425.6213755.6-5819-16899.660.761.30.032651.29
35487.481910952.634063.4510684.04-3905.22-11020.681.041.160.017288.81
452477.691913668.426613.0615905.69-5582.02-15779.391.182.570.122761.98
574308.241912763.169231.420042.25-5209.79-16162.391.773.040.153910.96
647145.061913668.427491.9513625.56-8375.05-19288.790.891.940.0882481.32
779496.581913668.4210072.1820950.82-8573.63-19881.471.172.550.134184.03
871619.221915478.958625.8917399.67-14442.29-29561.780.62.240.113769.43
947410.771914573.688159.1320333.41-13363.4-312500.611.710.0672495.3
1044696.871911857.8910231.524407.4-8481.2-18872.081.211.660.0672352.47
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
AXISBANK Performance, X=5, Profit Factor:3.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017101 Mar 2017 (0.63%)
2016225 Apr 2016 (-0.4%), 11 Nov 2016 (6.63%)
2014208 Jan 2014 (2.76%), 24 Jan 2014 (6.78%)
2013114 Jun 2013 (2.95%)
2012807 Feb 2012 (-1.44%), 25 Apr 2012 (-0.78%), 07 Jun 2012 (4.17%), 03 Jul 2012 (-2.99%), 20 Jul 2012 (4.19%), 03 Aug 2012 (-2.78%), 27 Aug 2012 (5.92%), 20 Sep 2012 (-8.08%)
2011204 Jul 2011 (5.27%), 26 Jul 2011 (-1.76%)
2010210 Dec 2010 (3.98%), 30 Dec 2010 (2.1%)
2008103 Jun 2008 (10.02%)

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
atrnil27.111126341811761.1113948.4725979.14-5828.45-7164.382.393.760.26257.45
atrnil316.5779873.01146842.8621836.1838968.7-6393.01-8989.763.422.560.125705.22
atrtrail24.730434.162391439.139609.8912979.35-4003.92-7536.862.41.540.0591323.22
atrtrail35.716557.172391439.13806817240.03-4003.92-7536.862.021.30.033719.88
atrtrail-15.915176.822391439.136803.5215268.95-4003.92-7536.861.71.090.012225.08
200nil33.121501.2724618258943.4610888.77-2897.75-3987.943.091.030.003962.55
200trail32.52-199.272962320.698943.4610888.77-2341.74-3873.73.821-0.00047-6.87
200trail22.03-460.8330921305971.137975.88-2581-3873.72.310.99-0.0012-15.36
200nil22.21-4376.662891932.145971.137975.88-3058.78-3953.721.950.92-0.012-156.31
200trail-13.41-6861.792962320.697833.0414057.36-2341.74-3873.73.340.87-0.017-236.61

In the table above, row 1 shows the best exit criterion. Profit factor is 3.76. Strategy is very good and impressively bearish. Percentage of profitable trades is 61.11%, which is good. Average return per trade is 3.13%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AXISBANK Performance, Profit Factor:3.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016325 Apr 2016 (-2.63%), 28 Apr 2016 (-2.87%), 11 Nov 2016 (6.33%)
2014208 Jan 2014 (6.01%), 24 Jan 2014 (5.75%)
2013114 Jun 2013 (6.44%)
2012807 Feb 2012 (-3.58%), 25 Apr 2012 (8.08%), 07 Jun 2012 (6.6%), 03 Jul 2012 (-2.95%), 12 Jul 2012 (5.27%), 30 Jul 2012 (-2.89%), 27 Aug 2012 (5.55%), 20 Sep 2012 (-3.03%)
2011204 Jul 2011 (4.71%), 26 Jul 2011 (-2.44%)
2010110 Dec 2010 (8.99%)
2008103 Jun 2008 (12.99%)



View performance of other stocks for this trading system.