Study: Buy FEDERALBNK when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when there is Golden 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: 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
12068.15157846.673179.348418.42-2523.4-4772.731.261.10.008137.88
2-4845.711551033.338885.8828749.22-4927.51-11898.271.80.9-0.0072-323.05
3-2739.191569407921.2921157.44-5585.22-16802.911.420.95-0.0044-182.61
4-9681.32158753.336054.2317797.14-8302.16-18982.740.730.83-0.016-645.42
5-152133158753.334596.129000-26985.98-1286980.170.19-0.064-10142.2
6-2013341569403977.937626.59-25022.36-1271200.160.11-0.087-13422.25
7-1807961551033.336969.9811294.02-21564.61-1275740.320.16-0.077-12053.08
8-1806441551033.338627.2516179.22-22378.04-1270390.390.19-0.077-12042.94
9-1733011541126.6717804.9945675.17-22229.22-1277350.80.29-0.068-11553.43
10-11072815694018294.9384878.66-24499.69-1204870.750.5-0.039-7381.84

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.1. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.069%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.008, 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-112068.15157846.673179.348418.42-2523.4-4772.731.261.10.008137.88
atrtrail34.5-30206.081631318.7513552.337048.98-5451-8840.342.490.57-0.037-1887.88
atrnil37.12-56201.011621412.528539.1237048.98-8091.38-13715.63.530.5-0.058-3512.56
atrtrail24.5-42555.741631318.759435.7524699.32-5451-8840.341.730.4-0.07-2659.73
atrnil27.06-75227.091621412.519026.0824699.32-8091.38-13715.62.350.34-0.1-4701.69
atrtrail-14.62-52999.691631318.755954.4314255.37-5451-8840.341.090.25-0.12-3312.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.069%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.008, 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=1, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jan 2019 (-0.21%)
2016107 Jul 2016 (1.58%)
2015107 Jul 2015 (-1.95%)
2013126 Dec 2013 (0.3%)
2012113 Mar 2012 (0.72%)
2011102 May 2011 (-0.62%)
2009126 May 2009 (4.21%)
2006114 Sep 2006 (0.12%)
2005117 Aug 2005 (-1.24%)
2004118 Nov 2004 (-0.76%)
2003128 Jan 2003 (-0.87%)
2002120 Feb 2002 (2.92%)
1999110 Aug 1999 (-2.39%)
1998121 Apr 1998 (1.27%)
1996114 Jun 1996 (-2.05%)



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