Study: Buy FEDERALBNK when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when above 200 SMA and near 50 SMA and above 50 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
148875.2368353351.474471.5927596.57-3261.53-11339.931.371.450.025718.75
262782.2368373154.415411.2336866.95-4433.34-15402.071.221.460.024923.27
388881.9868363252.946652.2931630.9-4706.26-19017.431.411.590.0331307.09
418754868422661.768417.4633819.74-6384.03-22503.961.322.130.0562758.07
516519268412760.299035.7934939.32-7602.78-30322.241.191.80.0452429.3
614858768422661.769055.3339830.82-8912.95-27892.231.021.640.0382185.11
711055368383055.8810382.6734431.07-9466.28-33808.771.11.390.0251625.78
881829.1668402858.8210158.8541789.69-11590.17-32646.590.881.250.0181203.37
962999.8468422661.7610382.2441335.45-14348.24-43608.30.721.170.012926.47
1011458968422661.7612220.5743733.91-15333.66-53642.060.81.290.021685.13
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
FEDERALBNK Performance, X=4, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019317 Jan 2019 (0.0%), 07 Mar 2019 (3.52%), 11 Jul 2019 (-1.62%)
2018105 Jan 2018 (1.69%)
2017628 Jun 2017 (0.27%), 12 Jul 2017 (-1.48%), 26 Jul 2017 (0.09%), 11 Sep 2017 (2.08%), 29 Sep 2017 (4.44%), 03 Nov 2017 (-1.12%)
2015206 Jan 2015 (2.85%), 04 May 2015 (-3.81%)
2014814 Jan 2014 (3.19%), 03 Mar 2014 (5.78%), 10 Jul 2014 (5.35%), 24 Jul 2014 (-3.07%), 21 Aug 2014 (-0.37%), 16 Sep 2014 (5.03%), 08 Oct 2014 (13.65%), 15 Dec 2014 (3.96%)
2013221 Jan 2013 (1.34%), 04 Feb 2013 (1.62%)
2012429 May 2012 (-1.68%), 14 Jun 2012 (1.83%), 13 Aug 2012 (2.52%), 19 Nov 2012 (1.26%)
2011315 Feb 2011 (-5.77%), 24 Jun 2011 (3.88%), 26 Jul 2011 (-6.92%)
2010605 Feb 2010 (0.28%), 19 Feb 2010 (-1.65%), 19 Mar 2010 (0.33%), 04 Aug 2010 (-3.16%), 25 Aug 2010 (-1.05%), 26 Nov 2010 (5.31%)
2009521 Jul 2009 (3.4%), 08 Oct 2009 (4.57%), 09 Nov 2009 (-2.91%), 25 Nov 2009 (0.02%), 23 Dec 2009 (-2.93%)
2007305 Jan 2007 (7.72%), 15 Feb 2007 (-3.08%), 27 Aug 2007 (7.46%)
2006716 Jan 2006 (10.03%), 01 Feb 2006 (-1.19%), 16 Feb 2006 (-3.81%), 09 Mar 2006 (0.08%), 12 Sep 2006 (12.04%), 20 Nov 2006 (2.02%), 18 Dec 2006 (3.38%)
2005430 Aug 2005 (1.65%), 21 Sep 2005 (0.43%), 10 Oct 2005 (-2.02%), 29 Nov 2005 (0.42%)
2004322 Jan 2004 (16.91%), 11 Mar 2004 (14.58%), 10 Jun 2004 (-9.23%)
2003425 Feb 2003 (11.41%), 11 Mar 2003 (-1.61%), 25 Apr 2003 (2.3%), 05 Sep 2003 (1.91%)
2002307 May 2002 (-2.12%), 26 Jun 2002 (1.62%), 15 Jul 2002 (-11.25%)
1999206 Sep 1999 (-1.75%), 09 Nov 1999 (-2.81%)
1998121 May 1998 (4.54%)
1996118 Jun 1996 (-6.6%)

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
50trail32.2777118.41105366934.297268.611625.3-2674.66-3965.742.721.420.03734.46
50nil21.9878077.34107456242.065949.557930.33-3058.91-3965.741.941.410.033729.69
50nil32.6177535.9597316631.968904.9811895.49-3007.86-3965.742.961.390.029799.34
50trail21.8662623.92111456640.545594.737785.38-2865.74-3965.741.951.330.027564.18
atrnil39.8610425258184031.0323832.1251913.59-8118.15-15804.342.941.320.0241797.45
atrtrail25.361160.877324541.569756.634609.06-5578.9-15804.341.751.240.018794.3
atrtrail36.0153428.1576324442.119498.6334698.55-5693.82-15804.341.671.210.014703
atrnil27.6551461.463243938.115346.8934609.06-8124.72-15804.341.891.160.014816.85
50trail-13.1225850.2104327230.776614.926042.92-2580.92-3965.742.561.140.0092248.56
atrtrail-16.422507.5176324442.117907.3630574.86-5693.82-15804.341.391.010.0007832.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. 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 34.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019417 Jan 2019 (-1.11%), 23 Jan 2019 (-1.2%), 07 Mar 2019 (4.85%), 11 Jul 2019 (-1.24%)
2018105 Jan 2018 (0.32%)
2017728 Jun 2017 (1.79%), 10 Jul 2017 (-0.61%), 26 Jul 2017 (-1.49%), 31 Jul 2017 (-1.64%), 11 Sep 2017 (5.29%), 29 Sep 2017 (3.94%), 03 Nov 2017 (-1.12%)
2015306 Jan 2015 (0.6%), 04 May 2015 (-1.74%), 11 May 2015 (-1.29%)
20141014 Jan 2014 (0.67%), 03 Mar 2014 (3.6%), 10 Jul 2014 (-1.67%), 24 Jul 2014 (-1.42%), 21 Aug 2014 (-1.07%), 16 Sep 2014 (-1.78%), 25 Sep 2014 (-1.12%), 08 Oct 2014 (4.05%), 15 Dec 2014 (-1.2%), 18 Dec 2014 (4.98%)
2013521 Jan 2013 (-0.95%), 23 Jan 2013 (-1.22%), 28 Jan 2013 (3.58%), 31 Jan 2013 (-0.69%), 05 Feb 2013 (0.16%)
2012829 May 2012 (-1.29%), 31 May 2012 (-1.22%), 06 Jun 2012 (-1.15%), 07 Jun 2012 (3.26%), 14 Jun 2012 (-1.77%), 13 Aug 2012 (3.28%), 19 Nov 2012 (-0.25%), 23 Nov 2012 (3.85%)
2011315 Feb 2011 (-1.51%), 24 Jun 2011 (3.07%), 26 Jul 2011 (-1.57%)
20101105 Feb 2010 (-1.34%), 16 Feb 2010 (-1.33%), 19 Mar 2010 (-1.32%), 26 Mar 2010 (4.28%), 04 Aug 2010 (-1.21%), 17 Aug 2010 (3.61%), 25 Aug 2010 (-0.83%), 30 Aug 2010 (-1.77%), 03 Sep 2010 (5.43%), 26 Nov 2010 (-1.68%), 30 Nov 2010 (3.1%)
2009821 Jul 2009 (-0.67%), 03 Aug 2009 (-1.03%), 08 Oct 2009 (-1.17%), 09 Nov 2009 (-1.52%), 25 Nov 2009 (-1.91%), 01 Dec 2009 (-0.8%), 04 Dec 2009 (0.16%), 23 Dec 2009 (-1.47%)
2007505 Jan 2007 (0.98%), 15 Feb 2007 (3.77%), 20 Feb 2007 (-1.04%), 27 Aug 2007 (-1.45%), 29 Aug 2007 (5.73%)
20061216 Jan 2006 (4.78%), 01 Feb 2006 (-1.66%), 16 Feb 2006 (-1.18%), 09 Mar 2006 (-0.37%), 16 Mar 2006 (-1.85%), 12 Sep 2006 (4.87%), 20 Nov 2006 (4.95%), 27 Nov 2006 (-1.92%), 29 Nov 2006 (-0.68%), 18 Dec 2006 (-1.38%), 21 Dec 2006 (3.05%), 27 Dec 2006 (5.3%)
2005930 Aug 2005 (-1.39%), 01 Sep 2005 (-1.44%), 06 Sep 2005 (5.41%), 21 Sep 2005 (-1.19%), 26 Sep 2005 (-1.37%), 30 Sep 2005 (5.81%), 10 Oct 2005 (-1.45%), 11 Oct 2005 (-1.53%), 29 Nov 2005 (-1.23%)
2004322 Jan 2004 (3.93%), 11 Mar 2004 (-1.96%), 10 Jun 2004 (-1.9%)
2003625 Feb 2003 (-1.07%), 07 Mar 2003 (-1.98%), 11 Mar 2003 (-1.67%), 25 Apr 2003 (-1.78%), 29 Apr 2003 (5.2%), 05 Sep 2003 (3.21%)
2002307 May 2002 (-1.14%), 26 Jun 2002 (5.05%), 15 Jul 2002 (-1.96%)
1999406 Sep 1999 (-1.53%), 09 Nov 1999 (-0.24%), 11 Nov 1999 (-1.55%), 12 Nov 1999 (-1.46%)
1998221 May 1998 (4.92%), 29 May 1998 (-1.58%)
1996118 Jun 1996 (-1.98%)



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