Study: Buy FEDERALBNK when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy FEDERALBNK when RSI is below 50 and there is Bullish Crossover in MACD" 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
117333.5974363848.653147.2710136.99-2525.47-9819.051.251.180.013234.24
22218.8474353947.34712.7618964.08-4172.51-16684.361.131.010.00129.98
34268.21743737506121.4331938.07-6006.08-25632.691.021.020.001457.68
4-28485.5574314341.899036.4233944.95-7177.09-31855.121.260.91-0.0074-384.94
55907574363848.6511138.4437214.48-8997.61-32505.221.241.170.012798.31
639993.6374334144.5912143.4950027.86-8798.57-36905.871.381.110.008540.45
747000.8574334144.5913587.6152482.27-9790-42497.671.391.120.0083635.15
845194.5474314341.8915054.1572907.8-9801.95-40260.951.541.110.0074610.74
928148.2174344045.9515096.2266666.67-12128.08-33461.541.241.060.0044380.38
10-19273.1474363848.6513775.1246908.08-13557.3-45384.621.020.96-0.0031-260.45

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.18. 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 48.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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-1117333.5974363848.653147.2710136.99-2525.47-9819.051.251.180.013234.24
atrtrail-15.9542767.3384265830.9515203.860639.78-6078.13-13906.892.51.120.0085509.13
atrtrail35.3240750.9484265830.9515126.2537541.48-6078.13-13906.892.491.120.0087485.13
atrnil39.3549079.9683226126.5126761.5347829.55-8847.11-22246.973.021.090.0075591.32
atrnil27.2330103.1383295434.9417609.8431886.37-8899.67-22246.971.981.060.0056362.69
atrtrail24.8219830.1484275732.1413734.0625998.3-6157.71-13906.892.231.060.0047236.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.18. 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 48.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.12%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Feb 2019 (-0.31%), 20 Aug 2019 (-3.01%)
2018516 Feb 2018 (-2.6%), 27 Mar 2018 (-1.87%), 30 May 2018 (-1.51%), 03 Jul 2018 (0.24%), 09 Oct 2018 (4.03%)
2017330 Aug 2017 (-0.32%), 28 Nov 2017 (-0.62%), 18 Dec 2017 (1.34%)
2016305 Feb 2016 (0.66%), 08 Dec 2016 (1.28%), 30 Dec 2016 (-1.2%)
2015429 Apr 2015 (0.5%), 18 Aug 2015 (-0.22%), 16 Nov 2015 (0.09%), 22 Dec 2015 (0.62%)
2014226 Feb 2014 (2.26%), 20 Aug 2014 (3.85%)
2013511 Mar 2013 (-0.79%), 01 Apr 2013 (0.76%), 22 Apr 2013 (-2.98%), 11 Jul 2013 (-1.22%), 05 Aug 2013 (-4.91%)
2012305 Jan 2012 (0.74%), 15 May 2012 (-2.23%), 07 Aug 2012 (1.77%)
2011203 Mar 2011 (2.63%), 30 Aug 2011 (-1.24%)
2010131 Dec 2010 (1.74%)
2009310 Feb 2009 (-0.59%), 16 Mar 2009 (0.08%), 31 Aug 2009 (1.37%)
2008622 Feb 2008 (0.46%), 02 Apr 2008 (1.59%), 18 Jun 2008 (-3.46%), 03 Jul 2008 (-0.27%), 18 Jul 2008 (1.55%), 05 Nov 2008 (-2.47%)
2007216 Mar 2007 (-0.12%), 12 Dec 2007 (-0.95%)
2006121 Jun 2006 (3.53%)
2005122 Apr 2005 (-0.03%)
2004427 May 2004 (-1.41%), 30 Jun 2004 (0.3%), 20 Jul 2004 (-0.43%), 20 Dec 2004 (-0.44%)
2002331 May 2002 (0.5%), 07 Aug 2002 (-1.57%), 29 Oct 2002 (-1.85%)
2001213 Jul 2001 (1.16%), 28 Sep 2001 (-2.57%)
1999324 Feb 1999 (-0.14%), 20 Apr 1999 (1.72%), 06 Oct 1999 (5.07%)
1998626 Feb 1998 (0.64%), 26 Jun 1998 (0.22%), 07 Sep 1998 (0.0%), 26 Oct 1998 (-0.56%), 10 Nov 1998 (-0.63%), 03 Dec 1998 (4.01%)
1997517 Apr 1997 (3.71%), 11 Jun 1997 (-0.06%), 02 Jul 1997 (-2.45%), 26 Sep 1997 (-1.52%), 26 Nov 1997 (2.13%)
1996418 Jul 1996 (0.98%), 27 Aug 1996 (-1.08%), 15 Oct 1996 (1.02%), 20 Dec 1996 (2.79%)
1995410 May 1995 (-0.36%), 25 Sep 1995 (0.38%), 31 Oct 1995 (0.0%), 14 Dec 1995 (0.93%)



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