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

home > technical-strategy > federalbnk > 1

In this study, we evaluate the performance of strategy "Sell FEDERALBNK 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 FEDERALBNK 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
1-29876.1849252451.022439.488447.07-3785.96-16812.260.640.67-0.027-609.72
2-81364.949232646.944130.9211750.06-6783.69-28679.740.610.54-0.045-1660.51
3-11876149193038.785336.8115393.76-7338.69-307650.730.46-0.055-2423.7
4-11223449222744.95645.8714383.36-8757.14-31415.860.640.53-0.048-2290.48
5-12447149242548.986649.2426684.46-11362.11-28218.230.590.56-0.046-2540.23
6-13729349212842.867362.7421284.54-10425.37-29470.910.710.53-0.051-2801.9
7-16973349242548.987030.5325466.77-13538.63-39353.10.520.5-0.054-3463.94
8-15870949272255.17516.9930619.87-16439.43-58490.570.460.56-0.043-3238.95
9-19277249212842.869816.4429219.48-14247.04-39261.580.690.52-0.053-3934.12
10-21378649183136.7311126.1330553.7-13356.66-46513.930.830.48-0.057-4362.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.67. 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
200nil22.05-9564.5873225130.146219.067972.83-2870.27-3978.422.170.93-0.0064-131.02
200trail21.92-13778.3175225329.3359257972.83-2719.4-3978.422.180.9-0.0094-183.71
200nil32.77-20287.0970155521.439171.6511959.24-2870.21-3861.193.20.87-0.012-289.82
atrtrail25.07-37035.8257203735.099176.6630516.83-5961.32-12270.811.540.83-0.015-649.75
200trail32.49-28082721854256405.7511895.12-2655.29-3861.192.410.8-0.019-390.03
atrnil26.54-77780.775014362814499.4130516.83-7799.24-12814.731.860.72-0.031-1555.62
atrtrail35.39-63056.6357203735.097875.6122804.19-5961.32-12270.811.320.71-0.028-1106.26
atrnil38.45-98162.524994018.3722879.2445775.24-7601.89-12814.733.010.68-0.034-2003.32
nilnil-11-29876.1849252451.022439.488447.07-3785.96-16812.260.640.67-0.027-609.72
200trail-13.12-48598.84721854255265.9219687.67-2655.29-3861.191.980.66-0.034-674.98
atrtrail-15.56-91736.2557203735.096441.6323712.33-5961.32-12270.811.080.58-0.046-1609.41

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 30.14%, which is not acceptable. Avoid this strategy. Average return per trade is -0.066%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FEDERALBNK Performance, Profit Factor:0.935

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (3.24%)
2018229 Nov 2018 (-1.64%), 04 Dec 2018 (3.68%)
2017406 Dec 2017 (-1.14%), 11 Dec 2017 (2.34%), 18 Dec 2017 (-1.8%), 27 Dec 2017 (-1.29%)
2016106 Jun 2016 (-1.01%)
2015626 Mar 2015 (3.4%), 01 Apr 2015 (3.86%), 04 Jun 2015 (3.01%), 09 Jun 2015 (3.23%), 21 Jul 2015 (-1.72%), 23 Jul 2015 (2.96%)
2014304 Feb 2014 (-1.1%), 13 Feb 2014 (2.78%), 25 Feb 2014 (-1.53%)
2013705 Apr 2013 (3.32%), 20 May 2013 (-1.44%), 21 May 2013 (2.77%), 31 Oct 2013 (-1.69%), 12 Dec 2013 (3.07%), 17 Dec 2013 (-1.83%), 19 Dec 2013 (-1.57%)
2012531 Jan 2012 (-1.23%), 25 Jul 2012 (2.42%), 26 Jul 2012 (-1.99%), 03 Aug 2012 (-1.05%), 31 Aug 2012 (-1.3%)
2011517 Jan 2011 (-1.61%), 09 Mar 2011 (2.77%), 23 Mar 2011 (-1.19%), 01 Aug 2011 (2.37%), 11 Nov 2011 (-1.02%)
2007208 Mar 2007 (-1.13%), 04 Apr 2007 (-1.93%)
2006703 Feb 2006 (-1.15%), 17 Feb 2006 (-1.85%), 23 Feb 2006 (-1.54%), 08 Mar 2006 (-1.67%), 17 Mar 2006 (-1.06%), 03 Aug 2006 (-1.72%), 11 Sep 2006 (-1.16%)
2005722 Jul 2005 (-1.13%), 29 Jul 2005 (-1.63%), 03 Aug 2005 (-1.06%), 24 Oct 2005 (-1.27%), 25 Oct 2005 (3.53%), 23 Nov 2005 (-1.93%), 24 Nov 2005 (-1.54%)
2004609 Aug 2004 (3.97%), 06 Sep 2004 (-1.5%), 21 Sep 2004 (-1.71%), 29 Sep 2004 (-1.66%), 06 Oct 2004 (2.99%), 02 Nov 2004 (-1.67%)
2003103 Jan 2003 (3.27%)
2002622 Aug 2002 (-1.27%), 28 Aug 2002 (-1.58%), 04 Sep 2002 (-1.76%), 12 Sep 2002 (-1.15%), 16 Sep 2002 (3.08%), 12 Dec 2002 (-1.5%)
1999514 Sep 1999 (-1.91%), 16 Sep 1999 (2.37%), 30 Sep 1999 (3.99%), 15 Oct 1999 (-1.03%), 18 Oct 1999 (-1.92%)
1998209 Jun 1998 (-1.38%), 29 Jul 1998 (-1.12%)
1996113 Jun 1996 (-1.12%)
1995222 Nov 1995 (-1.0%), 23 Nov 1995 (-1.0%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play