Study: Buy SBIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy SBIN when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy SBIN 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
125908.2715123803123.466971.49-3857.74-6461.380.813.240.111727.22
221073.94158753.335300.6610677.48-3047.33-7521.451.741.990.061404.93
341383.041596605622.5413192.25-1536.63-2847.533.665.490.112758.87
458341.5615123805458.1820439.27-2385.53-4679.382.299.150.153889.44
580267.315123807177.2522264.72-1953.25-4795.563.6714.70.165351.15
648000.451511473.336400.8719477.28-5602.28-10550.231.143.140.0963200.03
769611.571511473.339595.3528423.51-8984.33-15211.21.072.940.0864640.77
81064051511473.3312837.8749391.66-8703-15042.911.484.060.17093.64
91651591511473.3316673.1450737.77-4561.31-9893.993.6610.050.1611010.62
102034051513286.6716246.5658089.57-3900.29-5502.274.1727.080.1913560.31

From the table above, we see that best results are achieved by holding positions for 10 trading days. Profit factor is 27.08. Strategy is very good and impressively bullish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 6.78%, which is very good.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SBIN Performance, X=10, Profit Factor:27.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2014124 Mar 2014 (22809.46)
2013116 Apr 2013 (2812.51)
2012103 Feb 2012 (29850.46)
2011215 Feb 2011 (-2298.3), 05 Apr 2011 (4641.93)
2009116 Apr 2009 (16718.88)
2006114 Aug 2006 (11612.83)
2004117 Nov 2004 (25019.47)
2002309 Jan 2002 (5571.85), 22 Oct 2002 (8383.49), 11 Nov 2002 (14100.11)
2000221 Jun 2000 (6480.25), 14 Dec 2000 (-5502.27)
1998118 Mar 1998 (5114.45)
1996122 Jan 1996 (58089.57)

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-1102034051513286.6716246.5658089.57-3900.29-5502.274.1727.080.1913560.31
200nil33.5566111.9422101245.4510046.6111903.51-2862.85-3840.183.512.920.0993005.09
200trail-14.3868194.3524101441.6710459.6528360.92-2600.16-3840.184.022.870.0692841.43
atrnil39.5395000.01178947.0618817.8231362.6-6171.39-9090.83.052.710.0915588.24
200nil22.6147206.9723121152.176595.27935.68-2903.22-3840.182.272.480.0912052.48
atrnil26.2469768.89179852.9412999.4320908.4-5903.25-9090.82.22.480.0894104.05
atrtrail-15.960366.9521101147.6210437.4731616.44-4000.71-7043.052.612.370.0622874.62
200trail32.8848531.9124101441.678493.4111903.51-2600.16-3840.183.272.330.0732022.16
200trail22.4236713.8824111345.836538.427935.68-2708.37-3840.182.412.040.071529.74
atrtrail23.9545762.621101147.628977.0416633.15-4000.71-7043.052.242.040.0632179.17
atrtrail34.5736913.621101147.628092.1418118.48-4000.71-7043.052.021.840.0511757.79

In the table above, row 1 shows the best exit criterion. Profit factor is 27.08. Strategy is very good and impressively bullish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 6.78%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.