Study: Sell FEDERALBNK when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50 and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell FEDERALBNK when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50 and ADX is Trending" 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
13965.02128466.671430.134081.63-1869.01-3242.240.771.530.036330.42
25487.81127558.333584.5510054.35-3920.81-8899.940.911.280.02457.32
35712.64125741.677530.1315393.76-4562.57-11517.681.651.180.014476.05
417435.12128466.675186.714383.36-6014.61-10191.550.861.720.0451452.93
526715.68127558.337510.3311144.63-5171.33-8423.911.452.030.0662226.31
65487.85127558.336647.599863.34-8209.05-19253.440.811.130.011457.32
715830.04127558.336260.3211712.51-5598.43-15962.671.121.570.0351319.17
824949.37128466.676831.812883.76-7426.25-20333.990.921.840.0492079.11
99095.83128466.676441.7516858.92-10609.53-18206.520.611.210.016757.99
102699.9125741.6710156.8521153.5-6869.19-16257.371.481.060.0045224.99
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
FEDERALBNK Performance, X=5, Profit Factor:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (4.69%)
2017206 Dec 2017 (2.73%), 20 Dec 2017 (-0.55%)
2014113 Feb 2014 (4.41%)
2012225 Jul 2012 (-1.13%), 12 Sep 2012 (-3.95%)
2011117 Jan 2011 (-3.08%)
2005124 Oct 2005 (4.31%)
2004109 Aug 2004 (5.57%)
1999214 Sep 1999 (4.32%), 30 Sep 1999 (-4.21%)
1995122 Nov 1995 (0.25%)

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
200nil32.4436277.091871138.899515.9411959.24-2757.68-3828.613.452.20.0692015.39
200trail32.3926773.41871138.897953.0511895.12-2627.08-3828.613.031.930.0561487.41
200trail-13.8919565.131871138.896923.2919687.67-2627.08-3828.612.641.680.0381086.95
200trail21.8918804.591981142.116157.077972.83-2768.36-3978.422.221.620.046989.72
200nil21.9517368.061981142.116157.077972.83-2898.95-3978.422.121.540.042914.11
atrtrail251910.43157846.677368.6615202.79-6208.77-10120.061.191.040.0034127.36
atrtrail35.33-5781.5157846.676269.8122804.19-6208.77-10120.061.010.88-0.01-385.43
atrtrail-15.4-11545.65157846.675446.3617040.04-6208.77-10120.060.880.77-0.023-769.71
atrnil26.85-36551.811331023.0812933.6115202.79-7535.26-10465.861.720.51-0.066-2811.68
atrnil37.67-58099.81121118.3322804.1922804.19-7354.91-10465.863.10.28-0.12-4841.65

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 38.89%, which is not acceptable. Avoid this strategy. Average return per trade is 1.01%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.069, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FEDERALBNK Performance, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (4.86%)
2017306 Dec 2017 (-1.14%), 11 Dec 2017 (3.5%), 18 Dec 2017 (-1.8%)
2014213 Feb 2014 (4.17%), 25 Feb 2014 (-1.53%)
2012325 Jul 2012 (-1.21%), 03 Aug 2012 (-1.05%), 12 Sep 2012 (-1.64%)
2011117 Jan 2011 (-1.61%)
2005224 Oct 2005 (-1.27%), 25 Oct 2005 (5.29%)
2004109 Aug 2004 (5.95%)
1999314 Sep 1999 (-1.91%), 16 Sep 1999 (3.56%), 30 Sep 1999 (5.98%)
1995222 Nov 1995 (-1.0%), 23 Nov 1995 (-1.0%)



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