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

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In this study, we evaluate the performance of strategy "Sell FEDERALBNK when near 200 SMA and below 200 SMA and RSI is below 50" 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
1-5577.7629161355.172227.098447.07-3170.1-12191.960.70.86-0.0099-192.34
2-49971.8129131644.833970.2910054.35-6349.1-19977.990.630.51-0.051-1723.17
3-59420.6529111837.935555.2115393.76-6696-307650.830.51-0.047-2048.99
4-29352.8229141548.285925.6114383.36-7487.42-31040.180.790.74-0.022-1012.17
5-38510.3229141548.288154.5626684.46-10178.27-24821.130.80.75-0.024-1327.94
6-56263.8129141548.287216.5319903.28-10486.35-28052.330.690.64-0.035-1940.13
7-97705.6529151451.725743.5211712.51-13132.75-39353.10.440.47-0.053-3369.16
8-10230929171258.626461.2117745.16-17679.1-58490.570.370.52-0.045-3527.89
9-91478.6929141548.288335.4329219.48-13878.31-38274.930.60.56-0.044-3154.44
10-97500.7129121741.389941.9330553.7-12753.17-40431.270.780.55-0.045-3362.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. 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 55.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.096%, we advise you not to use this strategy.

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
200nil33.119536.4940112927.59340.3511959.24-2869.22-3861.193.261.230.018488.41
200nil22.2611801.1843152834.886236.897972.83-2919.72-3978.422.141.140.013274.45
200trail22.026097.9145153033.335805.617972.83-2699.54-3978.422.151.080.0068135.51
200trail32.6-510.642123028.576576.811895.12-2647.74-3861.192.480.99-0.00054-12.16
nilnil-11-5577.7629161355.172227.098447.07-3170.1-12191.960.70.86-0.0099-192.34
200trail-13.43-13873.1142123028.575463.2619687.67-2647.74-3861.192.060.83-0.015-330.31
atrtrail25.18-29663.2434132138.248309.1130516.83-6556.27-12270.811.270.78-0.02-872.45
atrtrail35.5-44382.9234132138.247176.8222804.19-6556.27-12270.811.090.68-0.033-1305.38
atrnil26.83-60512.163082226.6714991.1630516.83-8201.88-12814.731.830.66-0.039-2017.07
atrnil39.63-72611.83052516.6725034.5545775.24-7911.38-12814.733.160.63-0.038-2420.39
atrtrail-15.65-60505.7334132138.245936.6117040.04-6556.27-12270.810.910.56-0.051-1779.58

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 27.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019108 Feb 2019 (4.86%)
2017406 Dec 2017 (-1.14%), 11 Dec 2017 (3.5%), 18 Dec 2017 (-1.8%), 27 Dec 2017 (-1.29%)
2015426 Mar 2015 (5.1%), 04 Jun 2015 (-1.5%), 21 Jul 2015 (-1.72%), 23 Jul 2015 (4.44%)
2014304 Feb 2014 (-1.1%), 13 Feb 2014 (4.17%), 25 Feb 2014 (-1.53%)
2013105 Apr 2013 (4.97%)
2012325 Jul 2012 (-1.21%), 03 Aug 2012 (-1.05%), 31 Aug 2012 (-1.3%)
2011217 Jan 2011 (-1.61%), 01 Aug 2011 (3.56%)
2007208 Mar 2007 (-1.13%), 04 Apr 2007 (-1.93%)
2006403 Feb 2006 (-1.15%), 17 Feb 2006 (-1.85%), 23 Feb 2006 (-1.54%), 11 Sep 2006 (-1.16%)
2005424 Oct 2005 (-1.27%), 25 Oct 2005 (5.29%), 23 Nov 2005 (-1.93%), 24 Nov 2005 (-1.54%)
2004109 Aug 2004 (5.95%)
2002322 Aug 2002 (-1.27%), 28 Aug 2002 (-1.58%), 04 Sep 2002 (-1.76%)
1999514 Sep 1999 (-1.91%), 16 Sep 1999 (3.56%), 30 Sep 1999 (5.98%), 15 Oct 1999 (-1.03%), 18 Oct 1999 (-1.92%)
1998109 Jun 1998 (-1.38%)
1995222 Nov 1995 (-1.0%), 23 Nov 1995 (-1.0%)



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