Study: Buy FEDERALBNK when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when below 200 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
1-26193.64111575451.354824.0936597.25-5577.16-27861.310.860.91-0.0065-235.98
2140488111605154.057541.2868896.77-6117.43-34587.461.231.450.0241265.66
3204538111624955.868820.8676960.57-6986.84-28316.831.261.60.0311842.69
4264420111585352.2511578.5857022.6-7681.85-39933.991.511.650.0362382.16
5249332111565550.4513393.4477536.55-9103.66-35878.081.471.50.0292246.23
6307606111565550.4514863.6188125.83-9541.02-38838.91.561.590.0332771.22
7319714111605154.0514539.9291315.91-10836.89-48598.461.341.580.0322880.31
8353093111555649.5517560.8892113.42-10942.06-57882.521.61.580.0323181.02
9256612111516045.9518395.2287992.91-11359.06-51146.591.621.380.0242311.82
10117143111516045.9517958.3567744.79-13312.22-57590.711.351.150.0111055.34
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil38.942620901754612926.2931523.33137530-9209.18-27925.63.421.220.0151497.65
atrtrail-15.171272492127313934.4315337.4575260.72-7139.46-16378.062.151.130.0087600.23
atrtrail34.593789.042127313934.4314879.0954260.2-7139.46-16378.062.081.090.0071442.4
atrnil25.8719957.061825612630.7720815.3591686.49-9092.88-27925.62.291.020.0015109.65
atrtrail23.974915.032127313934.4313661.6438896.09-7139.46-16378.061.9110.0004123.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 26.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (-3.38%), 13 Feb 2019 (-3.34%), 30 Jul 2019 (-3.54%), 02 Aug 2019 (-3.83%), 13 Aug 2019 (-4.06%), 22 Aug 2019 (11.4%)
20181416 Jan 2018 (-3.3%), 18 Jan 2018 (-3.69%), 01 Feb 2018 (-3.47%), 02 Feb 2018 (-3.85%), 22 Feb 2018 (10.7%), 10 May 2018 (-4.04%), 15 May 2018 (-3.99%), 16 May 2018 (-4.22%), 21 May 2018 (-4.21%), 13 Jul 2018 (-3.52%), 16 Jul 2018 (11.72%), 20 Aug 2018 (-3.74%), 04 Sep 2018 (-3.57%), 21 Sep 2018 (-4.0%)
2017204 Dec 2017 (-2.62%), 14 Dec 2017 (-2.73%)
2016612 Jan 2016 (-3.57%), 28 Jan 2016 (-3.8%), 09 Feb 2016 (-3.79%), 12 Feb 2016 (13.29%), 04 Apr 2016 (-4.21%), 07 Apr 2016 (12.84%)
20151224 Mar 2015 (-3.22%), 06 Apr 2015 (-3.33%), 24 Apr 2015 (-2.85%), 27 Apr 2015 (9.07%), 27 Jul 2015 (-3.52%), 12 Aug 2015 (-3.04%), 24 Aug 2015 (-3.78%), 04 Sep 2015 (11.68%), 21 Oct 2015 (-4.12%), 29 Oct 2015 (-3.8%), 10 Nov 2015 (10.45%), 14 Dec 2015 (-3.17%)
2014120 Feb 2014 (9.5%)
20131605 Apr 2013 (-2.77%), 08 Apr 2013 (-3.12%), 15 Apr 2013 (10.69%), 10 Jun 2013 (-3.02%), 11 Jun 2013 (-3.28%), 21 Jun 2013 (-3.22%), 24 Jun 2013 (-3.48%), 16 Jul 2013 (-3.62%), 17 Jul 2013 (-3.91%), 24 Jul 2013 (-4.52%), 07 Aug 2013 (-4.86%), 08 Aug 2013 (-5.2%), 19 Aug 2013 (-6.27%), 22 Aug 2013 (-7.22%), 28 Aug 2013 (-7.92%), 03 Sep 2013 (27.13%)
2012126 Jul 2012 (8.42%)
20111517 Jan 2011 (-3.77%), 27 Jan 2011 (-3.71%), 28 Jan 2011 (-4.06%), 25 Feb 2011 (13.57%), 01 Aug 2011 (-2.83%), 02 Aug 2011 (-3.0%), 04 Aug 2011 (-3.15%), 05 Aug 2011 (-3.41%), 17 Aug 2011 (-4.25%), 23 Aug 2011 (-4.26%), 26 Aug 2011 (14.12%), 04 Oct 2011 (12.84%), 21 Nov 2011 (-3.89%), 23 Nov 2011 (12.23%), 27 Dec 2011 (13.16%)
2009317 Feb 2009 (-5.01%), 25 Feb 2009 (-5.58%), 02 Mar 2009 (17.3%)
20081821 Jan 2008 (-5.39%), 05 Mar 2008 (-4.25%), 07 Mar 2008 (-4.41%), 13 Mar 2008 (-5.28%), 14 Mar 2008 (-5.89%), 17 Mar 2008 (-7.74%), 26 May 2008 (-5.46%), 03 Jun 2008 (-5.41%), 10 Jun 2008 (-5.45%), 12 Jun 2008 (-5.31%), 24 Jun 2008 (-6.08%), 14 Jul 2008 (18.17%), 08 Oct 2008 (-5.96%), 10 Oct 2008 (-6.52%), 17 Oct 2008 (-6.91%), 23 Oct 2008 (-6.88%), 24 Oct 2008 (-8.19%), 27 Oct 2008 (29.17%)
2007105 Mar 2007 (19.27%)
2006422 May 2006 (-6.83%), 07 Jun 2006 (-7.25%), 08 Jun 2006 (28.91%), 11 Sep 2006 (14.01%)
2004817 May 2004 (37.84%), 09 Aug 2004 (-3.8%), 13 Aug 2004 (-3.61%), 20 Aug 2004 (-3.52%), 24 Aug 2004 (10.97%), 25 Oct 2004 (-2.57%), 26 Oct 2004 (10.72%), 29 Nov 2004 (68.76%)
2002424 Sep 2002 (-3.39%), 07 Oct 2002 (-3.38%), 23 Oct 2002 (8.26%), 15 Nov 2002 (9.19%)
2001302 Jul 2001 (-13.96%), 12 Sep 2001 (-3.97%), 17 Sep 2001 (16.65%)
1999901 Feb 1999 (-5.36%), 15 Feb 1999 (-5.22%), 30 Mar 1999 (-6.24%), 07 Apr 1999 (-6.2%), 12 Apr 1999 (-6.3%), 29 Jun 1999 (-4.49%), 14 Sep 1999 (-4.86%), 21 Sep 1999 (13.84%), 25 Nov 1999 (16.06%)
19981327 Jan 1998 (-4.46%), 10 Feb 1998 (11.4%), 08 Jun 1998 (-7.71%), 16 Jun 1998 (-8.3%), 24 Aug 1998 (-4.31%), 01 Sep 1998 (14.17%), 05 Oct 1998 (-4.0%), 12 Oct 1998 (-4.36%), 20 Oct 1998 (14.58%), 31 Oct 1998 (-5.85%), 02 Nov 1998 (-6.17%), 23 Nov 1998 (-5.57%), 27 Nov 1998 (16.31%)
19971531 Jan 1997 (-6.74%), 04 Feb 1997 (-6.81%), 25 Feb 1997 (13.85%), 31 Mar 1997 (-5.06%), 01 Apr 1997 (17.04%), 24 Jun 1997 (11.19%), 21 Aug 1997 (-4.32%), 22 Aug 1997 (-4.64%), 26 Aug 1997 (-4.94%), 12 Sep 1997 (-4.15%), 16 Sep 1997 (-4.3%), 01 Oct 1997 (10.78%), 28 Oct 1997 (-4.59%), 13 Nov 1997 (-4.69%), 09 Dec 1997 (11.58%)
19962209 Jan 1996 (11.96%), 21 May 1996 (-3.04%), 23 May 1996 (-3.27%), 27 May 1996 (-3.31%), 28 May 1996 (10.29%), 03 Jul 1996 (-3.49%), 14 Aug 1996 (-2.29%), 16 Aug 1996 (-2.54%), 19 Aug 1996 (8.15%), 19 Sep 1996 (-2.81%), 23 Sep 1996 (-3.13%), 24 Sep 1996 (-3.67%), 25 Sep 1996 (-4.39%), 27 Sep 1996 (-4.63%), 01 Oct 1996 (-5.08%), 04 Oct 1996 (-5.52%), 07 Oct 1996 (17.69%), 27 Nov 1996 (-5.74%), 04 Dec 1996 (-6.33%), 09 Dec 1996 (-6.65%), 10 Dec 1996 (-7.17%), 12 Dec 1996 (24.11%)
1995222 Nov 1995 (-4.48%), 08 Dec 1995 (-4.79%)



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