Study: Buy AJANTPHARM 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 AJANTPHARM 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 AJANTPHARM 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
1-61645.4954262848.153960.1814980.54-5878.93-47586.210.670.63-0.032-1141.58
2-16929.25542727506012.0121186.44-6639.02-56551.720.910.91-0.007-313.5
371078.2854302455.568457.6139552.24-7610.42-36065.571.111.390.0251316.26
41446045427275011526.6329766.54-6170.94-33278.691.871.870.0532677.84
518832354312357.4111838.2633091.44-7767.96-29508.21.522.050.0633487.46
618153354332161.1111472.5340058.06-9383.81-25645.671.221.920.0573361.73
715549554312357.4111434.2739406.78-8650.77-26246.071.321.780.0512879.53
815569554312357.411240843220.34-9954.47-25443.791.251.680.0472883.24
912758454312357.4111783.1339187.23-10334.47-26557.381.141.540.0392362.67
1016674954312357.4111847.6343291.05-8718.58-185601.361.830.0513087.95
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
AJANTPHARM Performance, X=5, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (2.66%)
2018427 Feb 2018 (-5.44%), 14 Mar 2018 (-0.07%), 28 May 2018 (-11.37%), 22 Oct 2018 (0.52%)
2017507 Feb 2017 (2.15%), 16 May 2017 (2.6%), 05 Jun 2017 (-2.8%), 29 Jun 2017 (-1.99%), 06 Oct 2017 (-0.16%)
2016327 Jan 2016 (5.85%), 28 Nov 2016 (2.86%), 30 Dec 2016 (0.9%)
2015315 Sep 2015 (-3.07%), 02 Dec 2015 (-8.28%), 17 Dec 2015 (1.97%)
2014125 Apr 2014 (7.25%)
2013102 Sep 2013 (16.1%)
2012206 Jan 2012 (1.26%), 22 Nov 2012 (1.36%)
2011113 Oct 2011 (5.26%)
2010120 Dec 2010 (-0.49%)
2009113 Mar 2009 (-1.08%)
2008404 Feb 2008 (-6.23%), 11 Jul 2008 (-1.67%), 31 Oct 2008 (6.21%), 04 Dec 2008 (3.63%)
2007412 Apr 2007 (1.86%), 29 Aug 2007 (6.08%), 26 Oct 2007 (-3.94%), 13 Nov 2007 (4.63%)
2006219 Jun 2006 (5.46%), 01 Dec 2006 (-0.14%)
2005303 Feb 2005 (3.45%), 08 Mar 2005 (8.66%), 07 Nov 2005 (16.55%)
2004229 Mar 2004 (15.67%), 10 Jun 2004 (-2.05%)
2003319 Feb 2003 (-6.56%), 03 Apr 2003 (12.29%), 03 Nov 2003 (15.36%)
2002612 Feb 2002 (10.51%), 21 Mar 2002 (-5.92%), 16 Aug 2002 (-2.85%), 12 Sep 2002 (-0.88%), 08 Oct 2002 (-0.79%), 18 Nov 2002 (1.96%)
2001420 Apr 2001 (2.41%), 24 May 2001 (5.09%), 19 Jul 2001 (-14.75%), 07 Sep 2001 (5.17%)
2000328 Sep 2000 (7.76%), 13 Nov 2000 (-6.02%), 04 Dec 2000 (-2.76%)

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
atrtrail36.5713011856213537.518886.6141251.58-7614.3-20665.552.481.490.0352323.54
atrtrail25.9556052.6656213537.515359.6832215.34-7614.3-20665.552.021.210.0181000.94
atrtrail-17.5751930.6556213537.515163.3950637.68-7614.3-20665.551.991.190.016927.33
atrnil31259798.5455163929.0929799.4254106.26-10692.11-21664.482.791.140.0131087.25
atrnil28.38-9116.8555193634.5519887.9236070.84-10749.65-21664.481.850.98-0.0025-165.76

In the table above, row 1 shows the best exit criterion. Profit factor is 1.49. 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 1.16%, 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.
AJANTPHARM Performance, Profit Factor:1.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Feb 2019 (-1.0%)
2018427 Feb 2018 (-3.65%), 14 Mar 2018 (-1.03%), 28 May 2018 (-3.98%), 22 Oct 2018 (-4.49%)
2017607 Feb 2017 (0.24%), 16 May 2017 (-0.06%), 05 Jun 2017 (-3.52%), 14 Jun 2017 (-3.13%), 29 Jun 2017 (-2.35%), 06 Oct 2017 (-1.32%)
2016327 Jan 2016 (3.79%), 28 Nov 2016 (0.93%), 30 Dec 2016 (-1.15%)
2015315 Sep 2015 (-4.92%), 02 Dec 2015 (-2.88%), 17 Dec 2015 (0.59%)
2014125 Apr 2014 (8.04%)
2013102 Sep 2013 (19.74%)
2012206 Jan 2012 (11.59%), 22 Nov 2012 (4.13%)
2011113 Oct 2011 (10.71%)
2010120 Dec 2010 (1.49%)
2009113 Mar 2009 (1.65%)
2008404 Feb 2008 (-10.33%), 11 Jul 2008 (-8.4%), 31 Oct 2008 (-0.35%), 04 Dec 2008 (-3.19%)
2007412 Apr 2007 (14.75%), 29 Aug 2007 (14.17%), 26 Oct 2007 (-5.86%), 13 Nov 2007 (-1.87%)
2006219 Jun 2006 (-3.47%), 01 Dec 2006 (-4.01%)
2005303 Feb 2005 (-1.8%), 08 Mar 2005 (13.1%), 07 Nov 2005 (15.88%)
2004229 Mar 2004 (20.63%), 10 Jun 2004 (-4.7%)
2003319 Feb 2003 (-5.34%), 03 Apr 2003 (16.13%), 03 Nov 2003 (16.67%)
2002712 Feb 2002 (7.35%), 21 Mar 2002 (-5.86%), 02 Apr 2002 (-5.67%), 16 Aug 2002 (-2.92%), 12 Sep 2002 (-6.48%), 08 Oct 2002 (-6.23%), 18 Nov 2002 (15.45%)
2001420 Apr 2001 (-1.66%), 24 May 2001 (-0.39%), 19 Jul 2001 (-5.97%), 07 Sep 2001 (-5.59%)
2000328 Sep 2000 (1.29%), 13 Nov 2000 (-5.74%), 04 Dec 2000 (-3.92%)



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