Study: Buy FEDERALBNK when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when there is bullish divergence in RSI and ADX is Trending" 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
1-10323.07251312525606.0617080.75-6933.49-48393.190.810.88-0.0073-412.92
251918.6925169649504.4319953.42-11128.02-57088.850.851.520.0282076.75
376846.61251696411047.329192.55-11101.13-55198.4911.770.043073.86
4106584251696412021.5228908.19-9528.97-41965.971.262.240.0594263.35
51038032513125215417.3829503.11-8051.94-31947.071.912.070.0574152.11
6142541251696415347.3340916.15-11446.24-46124.761.342.380.0645701.65
7134979251786814701.7646774.19-14368.88-44801.511.022.170.065399.15
8142423251786815756.3264143.92-15679.29-43856.3312.140.0545696.92
9180754251696418706.6778411.91-13172.52-49149.341.422.520.0627230.16
101687312515106019275.4175310.17-12040-38563.331.62.40.0626749.25
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=9, Profit Factor:2.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020220 Mar 2020 (-24.57%), 08 Apr 2020 (10.16%)
2019201 Aug 2019 (-4.69%), 22 Aug 2019 (0.75%)
2018220 Feb 2018 (-0.22%), 04 Oct 2018 (15.36%)
2016220 Jan 2016 (-3.46%), 04 Feb 2016 (1.44%)
2015226 Aug 2015 (-4.2%), 04 Nov 2015 (0.63%)
2013208 Aug 2013 (-10.19%), 30 Aug 2013 (17.39%)
2011209 Feb 2011 (5.35%), 16 Aug 2011 (-8.35%)
2008325 Mar 2008 (2.83%), 24 Jun 2008 (-2.26%), 31 Oct 2008 (12.66%)
1998103 Nov 1998 (8.88%)
1997230 Sep 1997 (6.62%), 24 Nov 1997 (1.98%)
1996310 Jan 1996 (0.84%), 09 Oct 1996 (22.19%), 17 Dec 1996 (39.21%)
1995229 Nov 1995 (-1.33%), 19 Dec 1995 (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
atrnil312.5319367434112332.3538136.3788636.67-9818.54-20647.553.881.860.0465696.29
atrtrail24.8310217236162044.4415994.6139602.93-7687.11-20647.552.081.660.042838.1
atrnil27.5911280334132138.2424536.5559091.11-9817.72-20647.552.51.550.0363317.73
atrtrail-15.8383643.7736162044.4414836.6263649.23-7687.11-20647.551.931.540.032323.44
atrtrail35.5658288.8336162044.4413251.9444744.64-7687.11-20647.551.721.380.0251619.13

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 32.35%, which is not acceptable. Avoid this strategy. Average return per trade is 2.85%, which is very good. Sharpe Ratio is 0.046, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
FEDERALBNK Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020220 Mar 2020 (-10.32%), 26 Mar 2020 (44.32%)
2019401 Aug 2019 (-3.73%), 05 Aug 2019 (-3.89%), 14 Aug 2019 (-3.99%), 22 Aug 2019 (11.4%)
2018220 Feb 2018 (-3.63%), 04 Oct 2018 (13.12%)
2016320 Jan 2016 (-3.72%), 29 Jan 2016 (-3.68%), 11 Feb 2016 (-4.21%)
2015326 Aug 2015 (-3.98%), 04 Nov 2015 (-3.57%), 09 Nov 2015 (-3.52%)
2013408 Aug 2013 (-5.2%), 20 Aug 2013 (-6.26%), 23 Aug 2013 (-7.0%), 30 Aug 2013 (-8.11%)
2011409 Feb 2011 (13.24%), 16 Aug 2011 (-3.91%), 17 Aug 2011 (-4.25%), 22 Aug 2011 (-4.22%)
2008325 Mar 2008 (22.46%), 24 Jun 2008 (-6.08%), 31 Oct 2008 (29.7%)
1998103 Nov 1998 (-6.31%)
1997230 Sep 1997 (10.85%), 24 Nov 1997 (13.11%)
1996310 Jan 1996 (11.72%), 09 Oct 1996 (17.45%), 17 Dec 1996 (22.37%)
1995329 Nov 1995 (-4.66%), 12 Dec 1995 (-4.48%), 19 Dec 1995 (-4.17%)



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