Study: Buy ANDHRABANK when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy ANDHRABANK when RSI is above 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 ANDHRABANK 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
199125.7683483557.834513.9532599.12-3358.4-9863.951.341.840.051194.29
241184.0483394446.996713.9655506.61-5015.01-18679.551.341.190.013496.19
355372.4983364743.379425.7964317.18-6041.61-23510.471.561.20.014667.14
490470.9583404348.199808.950220.26-7020.58-21258.51.41.30.0221090.01
512754283414249.412094.6777533.04-8769.98-37790.331.381.350.0241536.65
610131583394446.9913718.2777533.04-9856.75-37413.681.391.230.0171220.67
711301183384545.781653391629.96-11449.84-40677.971.441.220.0161361.58
882802.0283384545.7815902.8181057.27-11588.99-42010.771.371.160.012997.61
991032.5783404348.1915941.881938.33-12712.55-45242.371.251.170.0131096.78
1014564282404248.7817918.1794273.13-13597.25-49371.631.321.260.021776.13

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.84. 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 57.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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-1199125.7683483557.834513.9532599.12-3358.4-9863.951.341.840.051194.29
atrtrail34.3432837.6494336135.1111989.0232435.35-5947.54-12036.072.021.090.008349.34
atrtrail23.8231947.6295346135.7911769.9521702.15-6036.57-12036.071.951.090.0085336.29
atrtrail-14.8630454.2392326034.7812096.7447231.87-5944.03-12036.072.041.090.007331.02
atrnil37.1632795.1587226525.2923866.5635357-7573.37-16527.293.151.070.0064376.96
atrnil25.1611371.8892316133.715356.9423571.34-7617.92-16527.292.021.020.0027123.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 57.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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.
ANDHRABANK Performance, X=1, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018224 Jan 2018 (-4.93%), 31 Aug 2018 (1.77%)
2017320 Mar 2017 (-1.59%), 21 Apr 2017 (1.33%), 25 Oct 2017 (0.29%)
2016331 Mar 2016 (6.12%), 31 May 2016 (-3.28%), 23 Aug 2016 (0.0%)
2015714 May 2015 (-1.19%), 22 Jun 2015 (0.82%), 31 Jul 2015 (2.02%), 17 Aug 2015 (-0.94%), 18 Sep 2015 (3.72%), 10 Nov 2015 (0.96%), 30 Nov 2015 (0.43%)
2014314 May 2014 (-1.57%), 05 Dec 2014 (-1.25%), 29 Dec 2014 (4.74%)
2013301 Jan 2013 (1.27%), 22 Apr 2013 (-1.84%), 24 Dec 2013 (0.56%)
2012313 Mar 2012 (0.33%), 16 Apr 2012 (0.16%), 29 Nov 2012 (1.62%)
2011621 Mar 2011 (1.82%), 11 May 2011 (-1.58%), 27 May 2011 (0.82%), 30 Aug 2011 (1.77%), 13 Oct 2011 (-0.41%), 01 Nov 2011 (-1.87%)
2010906 Jan 2010 (-0.73%), 26 Mar 2010 (3.28%), 03 Jun 2010 (-0.94%), 09 Jul 2010 (0.66%), 02 Aug 2010 (-0.1%), 16 Aug 2010 (0.86%), 13 Sep 2010 (-2.2%), 05 Oct 2010 (0.68%), 22 Oct 2010 (3.13%)
2009705 Jan 2009 (-3.38%), 13 Feb 2009 (-3.05%), 17 Jul 2009 (3.92%), 24 Aug 2009 (-0.45%), 07 Sep 2009 (1.02%), 15 Oct 2009 (3.55%), 11 Nov 2009 (-2.28%)
2008402 Jan 2008 (2.7%), 02 Sep 2008 (1.52%), 19 Sep 2008 (-2.45%), 05 Nov 2008 (-1.9%)
2007301 Feb 2007 (-0.28%), 10 May 2007 (0.81%), 02 Jul 2007 (0.52%)
2006517 Jan 2006 (-1.27%), 04 Apr 2006 (0.86%), 02 May 2006 (1.94%), 28 Sep 2006 (0.26%), 16 Nov 2006 (-3.23%)
2005601 Feb 2005 (0.06%), 23 Feb 2005 (-2.27%), 06 May 2005 (0.93%), 07 Jun 2005 (2.15%), 08 Jul 2005 (-0.45%), 28 Sep 2005 (-2.05%)
2004613 Jan 2004 (5.11%), 16 Feb 2004 (-0.86%), 29 Mar 2004 (4.14%), 31 Aug 2004 (1.49%), 03 Nov 2004 (0.38%), 23 Dec 2004 (-2.55%)
2003910 Jan 2003 (5.59%), 21 Feb 2003 (5.45%), 01 Apr 2003 (2.17%), 05 May 2003 (2.74%), 28 May 2003 (-1.35%), 21 Aug 2003 (0.27%), 03 Oct 2003 (2.02%), 31 Oct 2003 (-2.34%), 02 Dec 2003 (3.24%)
2002308 Apr 2002 (-2.54%), 03 Jun 2002 (16.3%), 29 Oct 2002 (-1.05%)
2001108 Nov 2001 (-0.6%)



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