Study: Buy FEDERALBNK 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 FEDERALBNK 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 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. 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
122279.031710758.824230.9911569.15-2861.55-7108.481.482.110.0571310.53
21895.78178947.065874.289191.29-5010.94-10526.321.171.040.0038111.52
3-6868.58179852.946393.4918217.21-8051.25-125000.790.89-0.01-404.03
4-6953.62178947.067905.2317231.09-7799.5-15824.41.010.9-0.0093-409.04
5-35113.12178947.066631.8218139.35-9796.41-24808.580.680.6-0.04-2065.48
6-40238.53178947.068657.9918762.16-12166.94-29504.850.710.63-0.038-2366.97
7-75175.54178947.067570.1715725.96-15081.88-33282.290.50.45-0.066-4422.09
8-70640.531771041.189843.9818750-13954.84-27657.380.710.49-0.059-4155.33
9-49985.95178947.0612051.5128457.45-16266.45-30956.520.740.66-0.036-2940.35
10-32078.93178947.0615297.1533377.66-17161.79-40020.420.890.79-0.02-1887

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.11. 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 58.82%, which is not acceptable. Avoid this strategy. Average return per trade is 0.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study.
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.
FEDERALBNK Performance, X=1, Profit Factor:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Sep 2019 (0.0%)
2015111 May 2015 (-3.55%)
2013201 Nov 2013 (0.66%), 10 Dec 2013 (0.37%)
2012101 Feb 2012 (-0.4%)
2011225 Mar 2011 (2.7%), 09 Nov 2011 (-0.2%)
2009109 Apr 2009 (4.69%)
2006110 Aug 2006 (2.24%)
2005119 Jul 2005 (0.16%)
2004209 Sep 2004 (1.83%), 05 Oct 2004 (-0.56%)
2002123 Dec 2002 (1.59%)
2001111 Dec 2001 (1.14%)
1999119 Jul 1999 (-1.94%)
1998124 Mar 1998 (5.78%)
1997114 Aug 1997 (-3.37%)

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
atrtrail-15.1481835.7322101245.4514563.1382416.43-5316.3-8363.812.742.280.0423719.81
nilnil-1122279.031710758.824230.9911569.15-2861.55-7108.481.482.110.0571310.53
atrtrail23.7756224.322211115010514.6916268.92-5403.38-8363.811.951.950.0592555.65
atrnil24.8569774.662010105014762.8121523.04-7785.35-9918.361.91.90.0633488.73
200trail31.4225917.172691734.627744.8311986.42-2575.66-3877.933.011.590.039996.81
atrtrail34.7335062.3322101245.459885.7924403.38-5316.3-8363.811.861.550.0351593.74
atrnil3842522.021861233.3322429.5732284.56-7671.28-9918.362.921.460.0342362.33
200nil31.5220116.525817328667.4511986.42-2895.48-3997.162.991.410.03804.66
200trail-12.4217505.652671926.929121.5541721.15-2439.22-3877.933.741.380.016673.29
200trail21.337642.5127101737.0452347990.95-2629.26-3877.931.991.170.015283.06
200nil21.421841.842691734.625775.137990.95-2949.08-3997.161.961.040.003570.84

In the table above, row 1 shows the best exit criterion. Profit factor is 2.28. 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 45.45%, which is not acceptable. Avoid this strategy. Average return per trade is 1.86%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:2.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Sep 2019 (-3.81%)
2015111 May 2015 (-3.53%)
2013301 Nov 2013 (-1.78%), 10 Dec 2013 (-3.06%), 20 Dec 2013 (4.98%)
2012101 Feb 2012 (0.45%)
2011225 Mar 2011 (5.56%), 09 Nov 2011 (-3.19%)
2009109 Apr 2009 (-0.75%)
2006110 Aug 2006 (8.67%)
2005219 Jul 2005 (-3.17%), 01 Aug 2005 (4.14%)
2004309 Sep 2004 (1.32%), 20 Sep 2004 (4.03%), 05 Oct 2004 (-2.88%)
2002123 Dec 2002 (-2.05%)
2001111 Dec 2001 (-2.18%)
1999219 Jul 1999 (-1.32%), 27 Jul 1999 (0.53%)
1998224 Mar 1998 (1.93%), 31 Mar 1998 (41.21%)
1997114 Aug 1997 (-4.18%)



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