Study: Buy ALBK 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 ALBK 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 ALBK 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
1-48731.5860233738.333927.9712755.72-3758.78-8514.411.050.65-0.042-812.19
2-49202.8660204033.336682.6622864.02-4571.4-10773.681.460.73-0.03-820.05
3-64497.9960233738.337522.2123482.32-6419.16-14818.451.170.73-0.031-1074.97
4-119933602733456771.9126551.03-9174.99-24501.420.740.6-0.049-1998.89
5-149722602139359182.7530353.57-8783.58-23823.111.050.56-0.057-2495.36
6-11985360253541.678119.1128158.84-9223.72-27350.430.880.63-0.043-1997.54
7-98014.08603030508256.4531046.93-11523.59-31954.350.720.72-0.031-1633.57
8-62924.0360293148.3310575.7442117.93-11923.24-34664.760.890.83-0.018-1048.73
9-91885.26027334512127.4951744.89-12706.89-39888.160.950.78-0.023-1531.42
10-65615.160283246.6713362.7547653.43-13742.88-46039.140.970.85-0.015-1093.59
Although, strategy looks good but profit factor on day 5 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
atrtrail35.546465.7570224831.4315385.6343647.76-6917.04-14516.862.221.020.001792.37
atrtrail24.96-23486.5770234732.8613375.8529098.51-7045.34-14516.861.90.93-0.0075-335.52
atrnil38.41-62652.3570155521.4328661.8343647.76-8956-15753.933.20.87-0.014-895.03
atrnil26.07-73078.2970205028.5718760.3629098.51-8965.71-15753.932.090.84-0.02-1043.98
atrtrail-15.87-87660.8170224831.4311107.1533223.78-6917.04-14516.861.610.74-0.03-1252.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 31.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.046%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0017, 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.
ALBK Performance, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Feb 2019 (14.98%), 21 May 2019 (1.08%)
2018825 Jan 2018 (-3.62%), 28 Feb 2018 (-4.94%), 13 Mar 2018 (0.85%), 28 May 2018 (-5.07%), 11 Jul 2018 (-4.5%), 23 Jul 2018 (7.07%), 17 Sep 2018 (-3.86%), 12 Oct 2018 (0.53%)
2017303 Jan 2017 (3.53%), 15 Jun 2017 (-4.05%), 28 Aug 2017 (-1.58%)
2016529 Jan 2016 (-4.82%), 22 Feb 2016 (20.27%), 30 May 2016 (-3.09%), 15 Nov 2016 (-4.51%), 30 Nov 2016 (-4.11%)
2015719 Feb 2015 (-2.14%), 28 Feb 2015 (-2.64%), 01 Apr 2015 (1.31%), 23 Jun 2015 (-3.54%), 06 Jul 2015 (-0.13%), 10 Nov 2015 (-2.97%), 21 Dec 2015 (-2.38%)
2014519 Feb 2014 (11.58%), 01 Aug 2014 (-2.31%), 03 Sep 2014 (-3.73%), 10 Sep 2014 (3.14%), 17 Oct 2014 (14.79%)
2013822 Feb 2013 (-4.1%), 06 Mar 2013 (-3.16%), 02 Apr 2013 (-4.28%), 17 May 2013 (-2.16%), 28 May 2013 (-3.1%), 04 Jun 2013 (-2.94%), 09 Jul 2013 (-3.73%), 08 Aug 2013 (-1.91%)
2012404 Jan 2012 (-3.17%), 29 May 2012 (-4.52%), 06 Jun 2012 (1.38%), 05 Sep 2012 (8.62%)
2011820 Jan 2011 (-0.46%), 04 Feb 2011 (-4.22%), 14 Feb 2011 (-0.77%), 27 May 2011 (-0.61%), 07 Sep 2011 (-4.16%), 20 Sep 2011 (-3.0%), 12 Oct 2011 (-4.15%), 31 Oct 2011 (-4.43%)
2010124 Dec 2010 (3.09%)
2009213 Feb 2009 (-3.07%), 17 Mar 2009 (-4.68%)
2008719 Feb 2008 (-7.26%), 29 Feb 2008 (-6.3%), 03 Mar 2008 (-6.76%), 02 Apr 2008 (-6.4%), 07 Jul 2008 (21.82%), 05 Nov 2008 (-5.4%), 03 Dec 2008 (-0.44%)
2007309 Jan 2007 (-0.82%), 15 Mar 2007 (0.57%), 09 Apr 2007 (11.8%)
2006221 Jun 2006 (-3.58%), 24 Jul 2006 (16.62%)
2005309 May 2005 (3.51%), 07 Nov 2005 (0.07%), 13 Dec 2005 (10.31%)
2004130 Jun 2004 (-2.44%)
2003128 Mar 2003 (12.32%)



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