Study: Sell FEDERALBNK when there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell FEDERALBNK when there is Dead Cross (50 DMA < 200 DMA)" 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
19722.11610662.52640.547108.48-2780.54-9592.330.951.580.034607.63
210947.88167943.754173.5410158.55-2029.65-4316.552.061.60.035684.24
333650.611610662.56305.9216228.07-4901.44-9770.561.292.140.0642103.16
47793.151610662.56528.4115614.04-9581.83-18201.830.681.140.011487.07
5-4468.94169756.256506.5420789.47-9003.97-18495.410.720.93-0.006-279.31
612076.881688508556.5319035.09-7046.92-17730.51.211.210.016754.81
7-18755.78167943.758841.2421754.39-8960.5-21236.870.990.77-0.022-1172.24
8-21052.041688508866.918859.65-11498.41-23803.970.770.77-0.023-1315.75
9-8547.58169756.258482.6218859.65-12127.31-26689.060.70.9-0.0092-534.22
1012433.55169756.2510943.6122543.86-12294.14-31616.270.891.140.012777.1

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.14. 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 62.5%, which is good. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.064, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
FEDERALBNK Performance, X=3, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019111 Sep 2019 (0.23%)
2018111 Jan 2018 (8.11%)
2015211 May 2015 (-1.33%), 01 Sep 2015 (2.62%)
2013111 May 2013 (-4.89%)
2011222 Feb 2011 (6.1%), 16 Sep 2011 (-1.43%)
2008101 Feb 2008 (1.88%)
2006106 Jul 2006 (-1.79%)
2004230 Aug 2004 (-2.99%), 30 Nov 2004 (0.84%)
2002119 Sep 2002 (4.33%)
2001121 Aug 2001 (-2.28%)
1998129 Jul 1998 (2.13%)
1996101 Aug 1996 (0.77%)
1995124 Nov 1995 (4.5%)

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-1333650.611610662.56305.9216228.07-4901.44-9770.561.292.140.0642103.16
atrtrail36.1152156.771881044.4415236.5438072.09-6973.55-33114.552.181.750.042897.6
atrtrail25.8946636.931881044.4414546.5625381.39-6973.55-33114.552.091.670.042590.94
atrtrail-17.7241477.551881044.4413901.6337691.31-6973.55-33114.551.991.590.0342304.31
atrnil39.8345952.671871138.8924141.138072.09-11185-42139.852.161.370.0272552.93
atrnil28.17-10376.561871138.8916094.0725381.39-11185-42139.851.440.92-0.0077-576.48

In the table above, row 1 shows the best exit criterion. Profit factor is 2.14. 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 62.5%, which is good. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.064, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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