Study: Sell FEDERALBNK when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell FEDERALBNK when below 200 SMA and near 50 SMA and below 50 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
18279.96352114604355.8910522.74-5942.41-19001.490.731.10.0077236.57
221317.1735231265.715026.2817777.78-7857.28-33289.650.641.230.015609.06
329397.3235221362.866469.6718002.47-8687.34-52162.520.741.260.015839.92
416287.55352114608164.4325579.2-11083.25-46395.810.741.10.0073465.36
522911.435231265.718497.4835035.46-14377.56-38630.890.591.130.0098654.61
642236.97352114609696.6930212.77-11528.1-38837.290.841.260.0181206.77
723561.683521146010557.5429929.08-14153.34-41486.070.751.120.009673.19
832490.043521146012168.239243.5-15931.59-49701.940.761.150.011928.29
9-13532.1335191654.2913856.0839810.87-17299.85-61400.890.80.95-0.004-386.63
10538.834181652.9416162.2844349.88-18148.9-61177.350.8910.0001515.85
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail25.3415672541202148.7814008.927084.56-5878.71-10601.182.382.270.0713822.56
atrnil27.0317985536191752.7817029.7827084.56-8453.59-10604.922.012.250.0794995.96
atrtrail36.2814239940192147.513992.2240626.84-5878.71-10601.182.382.150.0593559.98
atrnil39.318200833132039.3926749.1740626.84-8286.58-10604.923.232.10.0655515.38
atrtrail-16.8511676340192147.512642.9736353.13-5878.71-10601.182.151.950.0522919.09
50trail-12.8543258.4953134024.5310886.728433.48-2456.72-3947.014.431.440.023816.2
50trail31.7429252.2257183931.587517.610851.77-2719.6-3947.012.761.280.021513.2
50nil31.8419394.355163929.09841010851.77-2952.97-3947.012.851.170.014352.62
50trail21.628110.1958203834.485697.47234.52-2785.2-3947.012.051.080.0071139.83
50nil21.681340.1957203735.095599.87234.52-2990.7-3947.011.871.010.001223.51

In the table above, row 1 shows the best exit criterion. Profit factor is 2.27. 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 48.78%, which is not acceptable. Avoid this strategy. Average return per trade is 1.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.071, 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:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019101 Oct 2019 (9.88%)
2018117 Oct 2018 (-4.4%)
2016315 Mar 2016 (-4.13%), 29 Mar 2016 (8.06%), 03 May 2016 (-4.11%)
2015308 Jun 2015 (-3.14%), 21 Sep 2015 (-0.71%), 28 Dec 2015 (5.25%)
2013222 May 2013 (0.18%), 04 Jun 2013 (6.03%)
2012110 Jan 2012 (-0.6%)
2011304 Mar 2011 (-1.43%), 15 Nov 2011 (7.13%), 13 Dec 2011 (8.3%)
2009221 Jan 2009 (1.17%), 26 Mar 2009 (-5.08%)
2008409 May 2008 (-2.19%), 23 May 2008 (9.84%), 01 Oct 2008 (9.91%), 18 Dec 2008 (-5.3%)
2006117 Mar 2006 (5.96%)
2005424 Mar 2005 (-4.69%), 20 Apr 2005 (3.49%), 27 Jun 2005 (-2.5%), 01 Jul 2005 (-2.86%)
2004203 Sep 2004 (-3.41%), 28 Oct 2004 (-3.38%)
2002204 Jan 2002 (-0.11%), 14 Jan 2002 (-3.24%)
1999327 Jan 1999 (10.22%), 03 Mar 1999 (-4.91%), 18 Mar 1999 (13.54%)
1998328 Jan 1998 (8.69%), 29 Jul 1998 (8.66%), 13 Aug 1998 (-1.67%)
1997302 Jan 1997 (0.39%), 21 Apr 1997 (9.94%), 18 Jun 1997 (7.24%)
1996324 May 1996 (6.22%), 29 May 1996 (-1.02%), 12 Jun 1996 (-2.86%)



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