Study: Buy FEDERALBNK when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when above 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
117942.445252055.564798.1827596.57-5100.6-20487.260.941.180.011398.72
243145.6445261957.786630.6536866.95-6802.69-32004.430.971.330.019958.79
3-31126.445222348.898488.7231630.9-9472.97-38319.380.90.86-0.011-691.7
4-30165.4445242153.339678.3933819.74-12497.47-69650.590.770.89-0.0085-670.34
5-29929.9945232251.11973729184.36-11540.04-45798.440.840.88-0.0098-665.11
622760.7645202544.4412316.4837720.67-8942.75-24747.331.381.10.0079505.79
71039.1745222348.8911533.4331150.84-10986.8-44326.241.0510.0003323.09
827710.3945222348.8913116.2531549.15-11341.18-47517.731.161.110.008615.79
988109.0945242153.3313214.7433072.63-10906.89-48226.951.211.380.0261957.98
1010609745242153.3313857.3143733.91-10784.68-47163.121.281.470.032357.71
Although, strategy looks good but profit factor on day 3 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
atrtrail35.4318011772274537.517818.6749788.07-6688.6-22999.682.661.60.0352501.62
atrtrail-16.8611800672274537.515518.2646847.57-6688.6-22999.682.321.390.0251638.97
atrtrail24.697404.8772274537.514755.2634609.06-6688.6-22999.682.211.320.0231352.85
atrnil39.712319660194131.6728202.5251913.59-10064.69-26182.692.81.30.0222053.26
atrnil27.3411640.7462233937.118002.6234609.06-10318.45-26182.691.741.030.0026187.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.035, 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:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019517 Jan 2019 (-1.6%), 30 Apr 2019 (8.45%), 18 Jul 2019 (-3.29%), 22 Jul 2019 (-3.37%), 25 Jul 2019 (-0.27%)
2017509 Aug 2017 (-2.78%), 10 Aug 2017 (-3.09%), 07 Nov 2017 (-2.34%), 14 Nov 2017 (-0.7%), 01 Dec 2017 (-2.51%)
2016421 Nov 2016 (0.94%), 21 Dec 2016 (-3.32%), 23 Dec 2016 (-3.34%), 26 Dec 2016 (10.97%)
2015330 Jan 2015 (-0.62%), 04 Feb 2015 (-2.71%), 05 Feb 2015 (-0.29%)
2014313 Aug 2014 (11.24%), 09 Dec 2014 (-0.52%), 16 Dec 2014 (10.97%)
2013618 Jan 2013 (0.24%), 21 Feb 2013 (-1.46%), 01 Mar 2013 (-1.06%), 13 Mar 2013 (-1.12%), 20 Mar 2013 (-2.35%), 21 Mar 2013 (1.13%)
2012317 May 2012 (0.25%), 23 Jul 2012 (-2.62%), 16 Nov 2012 (-1.68%)
2011305 Jan 2011 (-3.67%), 27 Jul 2011 (-2.52%), 29 Jul 2011 (-2.58%)
2010528 Jun 2010 (10.88%), 06 Aug 2010 (-0.93%), 11 Aug 2010 (9.32%), 09 Dec 2010 (-2.23%), 20 Dec 2010 (-1.54%)
2009606 Jul 2009 (-4.62%), 09 Jul 2009 (6.92%), 11 Aug 2009 (0.94%), 19 Aug 2009 (12.37%), 09 Oct 2009 (12.87%), 03 Nov 2009 (16.62%)
2007612 Feb 2007 (-1.96%), 21 Feb 2007 (-5.8%), 28 Feb 2007 (-4.99%), 21 Aug 2007 (17.16%), 20 Nov 2007 (-7.89%), 27 Nov 2007 (4.59%)
2006112 Dec 2006 (15.47%)
2005224 Aug 2005 (-0.24%), 20 Oct 2005 (-5.07%)
2004322 Jan 2004 (9.42%), 11 May 2004 (-3.83%), 14 May 2004 (-9.35%)
2003314 Feb 2003 (5.7%), 15 Sep 2003 (-2.79%), 18 Sep 2003 (14.22%)
2002730 Apr 2002 (2.63%), 17 May 2002 (-6.27%), 20 May 2002 (-7.47%), 21 May 2002 (24.89%), 18 Jul 2002 (-5.05%), 22 Jul 2002 (-3.68%), 26 Jul 2002 (0.63%)
2000422 Feb 2000 (-4.0%), 28 Feb 2000 (3.38%), 09 Mar 2000 (-11.5%), 13 Mar 2000 (5.21%)
1999106 Sep 1999 (-4.45%)
1998212 May 1998 (-7.03%), 13 May 1998 (23.12%)



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