Study: Buy ADANIPORTS 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 ADANIPORTS 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 ADANIPORTS 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
1-1665.4841192246.344289.412062.12-3780.18-13065.251.130.98-0.0023-40.62
2-24895.541172441.465381.5617304.38-4849.25-10276.071.110.79-0.029-607.21
3-780.1341192246.346407.0517727.84-5568.82-12819.721.150.99-0.00079-19.03
4-16167.6941192246.347275.7118189.73-7018.46-22979.961.040.9-0.013-394.33
5-62662.9541162539.029376.722140.82-8507.6-26750.121.10.71-0.04-1528.36
6-80401.8441132831.7113145.9527518.96-8974.97-34909.61.460.68-0.045-1961.02
7-92646.0841162539.0212013.8337550.87-11394.7-30452.531.050.67-0.045-2259.66
8-23773.1741192246.3411742.6736487-11222-27205.951.050.9-0.012-579.83
941759.2841202148.7813162.1532630.41-10546.84-28888.891.251.190.021018.52
1081094.341231856.113015.1137180.91-12125.18-37547.571.071.370.0351977.91
Although, strategy looks good but profit factor on day 7 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
atrnil311.0913654143152834.8827473.9350280.78-9841.72-18654.242.791.50.0493175.37
atrtrail-16.9385236.844172738.6416550.6676129.35-7263.86-18654.242.281.430.0321937.2
atrnil26.9899720.8443192444.1917988.0233520.52-10085.48-18654.241.781.410.0462319.09
atrtrail35.9349877.144172738.6414470.6750280.78-7263.86-18654.241.991.250.0231133.57
atrtrail24.9341232.0944172738.6413962.1433520.52-7263.86-18654.241.921.210.022937.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 34.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.59%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPORTS Performance, Profit Factor:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Feb 2019 (-4.12%), 05 Mar 2019 (10.98%), 26 Aug 2019 (9.73%)
2018627 Feb 2018 (-2.96%), 03 Apr 2018 (10.85%), 13 Jun 2018 (-2.7%), 29 Jun 2018 (-2.67%), 02 Jul 2018 (8.53%), 15 Oct 2018 (-4.85%)
2017113 Dec 2017 (-2.74%)
2016204 Feb 2016 (-4.3%), 17 Feb 2016 (-5.53%)
2015401 Apr 2015 (-3.52%), 22 Jun 2015 (11.05%), 07 Oct 2015 (-3.84%), 23 Nov 2015 (-2.99%)
2014204 Feb 2014 (10.94%), 27 Oct 2014 (11.14%)
2013302 Jul 2013 (-3.71%), 02 Sep 2013 (-5.6%), 03 Sep 2013 (18.64%)
2012304 Jan 2012 (15.73%), 02 Apr 2012 (-4.75%), 28 May 2012 (-3.83%)
2011503 Jan 2011 (-4.09%), 31 Jan 2011 (-3.8%), 24 Mar 2011 (12.05%), 23 Aug 2011 (13.33%), 07 Dec 2011 (-5.64%)
2010401 Jun 2010 (12.61%), 09 Nov 2010 (-3.47%), 30 Nov 2010 (-5.78%), 13 Dec 2010 (-5.4%)
2009418 Mar 2009 (-5.3%), 21 Jul 2009 (-5.31%), 04 Sep 2009 (-4.42%), 10 Nov 2009 (12.83%)
2008618 Feb 2008 (-9.33%), 28 Mar 2008 (25.14%), 09 Jul 2008 (-9.13%), 16 Oct 2008 (-8.92%), 05 Nov 2008 (-9.08%), 04 Dec 2008 (22.51%)



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