Study: Buy FEDERALBNK when there is Bullish Crossover in MACD

home > technical-strategy > federalbnk > 29

In this study, we evaluate the performance of strategy "Buy FEDERALBNK when there is Bullish Crossover in MACD" 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
1145456182899348.94572.8531914.89-2812.13-11098.781.631.560.031799.21
2221948182948851.655913.7229610.39-3794.79-16684.361.561.660.0351219.5
33077301821008254.957296.8347965.37-5145.77-25632.691.421.730.0391690.82
4264506182948851.658445.2767878.79-6015.33-31855.121.41.50.0281453.33
5420282182968652.7510613.4189350.65-6960.52-32505.221.521.70.0362309.24
6375066182929050.5511986.66112554-8085.64-36905.871.481.520.0292060.8
7295103182869647.2513283.2392813.85-8825.57-42497.671.511.350.0211621.44
8332442182859746.714886.06116364-9617.24-40260.951.551.360.0211826.61
9290532182879547.814914.21138355-10600.04-37314.251.411.290.0181596.33
10355886181978453.5914281.87144242-12255.42-45384.621.171.350.0211966.22

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 1.73. 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 54.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, which is low, don't trade solely on the basis of this study.

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
nilnil-133077301821008254.957296.8347965.37-5145.77-25632.691.421.730.0391690.82
atrtrail-15.793346212016813333.8315894.1597715.04-5610.38-13906.892.831.450.0231664.78
atrtrail35.132564372016813333.8314744.3849722.73-5610.38-13906.892.631.340.0221275.81
atrnil38.193530731965813829.5925273.4949722.73-8063.69-22246.973.131.320.0241801.39
atrtrail24.541642142087213634.6213134.1833148.49-5745.93-15737.632.291.210.016789.49
atrnil26.331871122047512936.7616555.1433148.49-8174.6-22246.972.031.180.015917.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 54.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.039, 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, X=3, Profit Factor:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Feb 2019 (4.9%), 08 May 2019 (-2.13%), 01 Jul 2019 (-0.18%), 20 Aug 2019 (-4.78%), 01 Nov 2019 (-1.8%)
2018916 Feb 2018 (-4.37%), 27 Mar 2018 (0.72%), 02 May 2018 (2.22%), 30 May 2018 (-5.69%), 03 Jul 2018 (-2.16%), 17 Jul 2018 (-2.89%), 09 Oct 2018 (4.24%), 29 Nov 2018 (-0.35%), 13 Dec 2018 (3.13%)
2017824 Mar 2017 (1.45%), 13 Apr 2017 (-1.03%), 16 Jun 2017 (-3.47%), 20 Jul 2017 (0.29%), 30 Aug 2017 (2.76%), 06 Oct 2017 (-0.47%), 28 Nov 2017 (-4.07%), 18 Dec 2017 (-0.18%)
2016905 Feb 2016 (-1.31%), 21 Apr 2016 (5.1%), 07 Jun 2016 (3.18%), 04 Jul 2016 (0.25%), 25 Jul 2016 (-1.97%), 22 Aug 2016 (0.45%), 25 Oct 2016 (0.92%), 08 Dec 2016 (0.92%), 30 Dec 2016 (-1.65%)
2015712 Jan 2015 (-3.47%), 23 Feb 2015 (-2.73%), 29 Apr 2015 (3.02%), 18 Jun 2015 (1.24%), 18 Aug 2015 (-0.67%), 16 Nov 2015 (0.35%), 21 Dec 2015 (-0.18%)
20141122 Jan 2014 (-4.71%), 26 Feb 2014 (6.06%), 10 Apr 2014 (-7.53%), 13 May 2014 (4.58%), 06 Jun 2014 (-0.32%), 30 Jun 2014 (-1.68%), 19 Aug 2014 (1.91%), 22 Sep 2014 (-4.83%), 09 Oct 2014 (5.42%), 28 Nov 2014 (-1.28%), 23 Dec 2014 (1.94%)
2013706 Feb 2013 (0.53%), 11 Mar 2013 (-1.13%), 01 Apr 2013 (-2.04%), 22 Apr 2013 (-0.47%), 11 Jul 2013 (-3.79%), 05 Aug 2013 (-10.8%), 23 Dec 2013 (0.84%)
2012604 Jan 2012 (0.4%), 14 Mar 2012 (-3.66%), 03 Apr 2012 (-2.21%), 15 May 2012 (-3.43%), 07 Aug 2012 (1.46%), 30 Nov 2012 (-0.08%)
2011911 Feb 2011 (4.54%), 03 Mar 2011 (4.37%), 16 May 2011 (-1.61%), 31 May 2011 (0.17%), 30 Jun 2011 (1.04%), 18 Jul 2011 (-1.19%), 30 Aug 2011 (0.65%), 11 Oct 2011 (4.94%), 02 Dec 2011 (-0.39%)
2010807 Jan 2010 (0.53%), 26 Feb 2010 (3.29%), 30 Mar 2010 (-0.67%), 06 May 2010 (-5.28%), 06 Jul 2010 (4.5%), 18 Aug 2010 (2.07%), 02 Sep 2010 (3.32%), 31 Dec 2010 (-4.0%)
2009710 Feb 2009 (0.62%), 16 Mar 2009 (8.6%), 18 May 2009 (12.47%), 21 Jul 2009 (3.34%), 31 Aug 2009 (1.6%), 17 Oct 2009 (-0.99%), 20 Nov 2009 (2.38%)
2008722 Feb 2008 (-1.14%), 02 Apr 2008 (2.03%), 18 Jun 2008 (-12.82%), 03 Jul 2008 (-5.86%), 18 Jul 2008 (15.97%), 04 Sep 2008 (-1.41%), 05 Nov 2008 (5.12%)
20071006 Feb 2007 (-5.28%), 16 Mar 2007 (5.58%), 20 Jun 2007 (1.23%), 13 Jul 2007 (1.38%), 30 Jul 2007 (4.06%), 31 Aug 2007 (0.1%), 26 Sep 2007 (1.82%), 15 Oct 2007 (-4.74%), 29 Oct 2007 (2.27%), 12 Dec 2007 (-1.19%)
20061019 Jan 2006 (-0.97%), 24 Mar 2006 (4.04%), 03 May 2006 (-1.25%), 21 Jun 2006 (2.34%), 31 Aug 2006 (3.4%), 15 Sep 2006 (-3.19%), 06 Oct 2006 (-3.25%), 30 Oct 2006 (-1.21%), 01 Dec 2006 (2.21%), 22 Dec 2006 (-1.47%)
2005808 Mar 2005 (8.12%), 21 Apr 2005 (-4.08%), 05 May 2005 (-0.66%), 06 Jul 2005 (13.2%), 08 Aug 2005 (1.87%), 12 Sep 2005 (3.85%), 28 Sep 2005 (0.03%), 09 Nov 2005 (-1.56%)
2004811 Feb 2004 (0.49%), 09 Mar 2004 (0.05%), 15 Apr 2004 (-0.58%), 27 May 2004 (-5.37%), 29 Jun 2004 (-1.17%), 20 Jul 2004 (2.3%), 02 Nov 2004 (14.44%), 20 Dec 2004 (1.18%)
2003813 Jan 2003 (5.37%), 21 Feb 2003 (-5.85%), 28 Mar 2003 (1.67%), 05 May 2003 (2.83%), 17 Jul 2003 (-0.32%), 29 Sep 2003 (0.09%), 29 Oct 2003 (4.6%), 02 Dec 2003 (5.45%)
2002616 Jan 2002 (4.46%), 05 Mar 2002 (12.46%), 31 May 2002 (1.1%), 07 Aug 2002 (0.57%), 28 Oct 2002 (-1.09%), 22 Nov 2002 (4.0%)
2001313 Jul 2001 (1.74%), 28 Sep 2001 (-2.57%), 06 Dec 2001 (5.67%)
2000120 Jan 2000 (23.98%)
1999824 Feb 1999 (1.56%), 20 Apr 1999 (-2.03%), 09 Jul 1999 (7.64%), 09 Aug 1999 (-2.81%), 24 Aug 1999 (-3.88%), 06 Oct 1999 (6.16%), 02 Dec 1999 (5.37%), 16 Dec 1999 (6.29%)
1998725 Feb 1998 (6.18%), 26 May 1998 (-1.87%), 26 Jun 1998 (-2.04%), 07 Sep 1998 (0.16%), 26 Oct 1998 (-3.36%), 10 Nov 1998 (-3.46%), 03 Dec 1998 (3.26%)
1997828 Feb 1997 (11.83%), 17 Apr 1997 (2.45%), 08 May 1997 (0.58%), 11 Jun 1997 (-0.12%), 02 Jul 1997 (-0.3%), 23 Jul 1997 (2.09%), 26 Sep 1997 (-3.59%), 26 Nov 1997 (-1.74%)
1996619 Apr 1996 (6.35%), 13 Jun 1996 (1.65%), 18 Jul 1996 (-3.12%), 27 Aug 1996 (-1.97%), 15 Oct 1996 (2.08%), 20 Dec 1996 (7.91%)
1995606 Apr 1995 (-1.38%), 10 May 1995 (4.15%), 14 Jul 1995 (0.7%), 25 Sep 1995 (0.64%), 31 Oct 1995 (-0.43%), 14 Dec 1995 (-4.21%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play