Study: Buy ARVIND 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 ARVIND 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 ARVIND 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
11297.62126576945.244585.6820000-3769.37-13205.421.2210.0003810.3
2180485126656151.597381.0427536.23-4906.27-15883.11.51.60.0361432.42
3236109126715556.358577.3739914.16-6779.71-24715.391.271.630.0361873.88
4266645126695754.769383.0344031.01-6680.43-23546.511.41.70.0392116.23
5370996126735357.9410871.5972961.37-7974.14-23792.931.361.880.0442944.41
6347550126685853.9712403.1575536.48-8549.39-25290.71.451.70.042758.33
7340731126695754.7613214.7893562.23-10019.11-28106.261.321.60.0332704.21
8334353126705655.5613676.0584978.54-11124.46-41214.531.231.540.0312653.6
9386357126695754.7615000.3876824.03-11380.17-60925.831.321.60.0343066.32
10488378126695754.7617115.1399141.63-12150.29-54952.711.411.710.0383876.01
Although, strategy looks good but profit factor on day 1 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
atrtrail-15.61304240139607943.1713084.6757254.31-6086.58-12829.42.151.630.0342188.78
atrtrail34.71301352140608042.8613220.8837810.31-6148.76-12829.42.151.610.0362152.52
atrnil38.15327332130438733.0824923.447015.19-8556.03-16388.122.911.440.0312517.94
atrtrail24.19218955144618342.3611908.0431343.46-6113.68-12829.41.951.430.0291520.52
atrnil25.69298558142588440.8517103.4431343.46-8255.26-16388.122.071.430.0332102.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.63. 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 43.17%, which is not acceptable. Avoid this strategy. Average return per trade is 1.09%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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.
ARVIND Performance, Profit Factor:1.63

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018609 Jan 2018 (-1.17%), 03 Apr 2018 (4.0%), 09 May 2018 (-2.99%), 07 Jun 2018 (-0.07%), 10 Jul 2018 (-0.91%), 23 Aug 2018 (-2.75%)
20171209 Feb 2017 (-1.59%), 03 Mar 2017 (2.96%), 05 Apr 2017 (-2.29%), 25 Apr 2017 (-2.43%), 05 Jun 2017 (-2.86%), 06 Jul 2017 (-0.33%), 07 Aug 2017 (-2.39%), 08 Aug 2017 (-2.57%), 01 Sep 2017 (8.05%), 10 Oct 2017 (-2.79%), 11 Oct 2017 (1.07%), 20 Dec 2017 (-2.83%)
2016712 Apr 2016 (-3.01%), 10 May 2016 (3.18%), 22 Jun 2016 (-2.95%), 28 Jun 2016 (2.34%), 09 Aug 2016 (-3.04%), 25 Oct 2016 (-0.34%), 30 Dec 2016 (3.07%)
2015816 Jan 2015 (-1.24%), 03 Mar 2015 (-3.68%), 04 Mar 2015 (-3.13%), 08 Apr 2015 (-2.55%), 04 May 2015 (-4.0%), 30 Jul 2015 (-3.88%), 10 Nov 2015 (5.02%), 18 Dec 2015 (8.2%)
2014924 Feb 2014 (3.54%), 26 Mar 2014 (6.24%), 04 Jun 2014 (-0.28%), 23 Jul 2014 (-4.27%), 07 Aug 2014 (-5.19%), 20 Aug 2014 (28.63%), 27 Oct 2014 (0.76%), 20 Nov 2014 (-3.63%), 04 Dec 2014 (-3.54%)
2013807 May 2013 (-4.11%), 16 May 2013 (-4.02%), 30 May 2013 (1.06%), 23 Jul 2013 (-4.21%), 04 Oct 2013 (12.11%), 08 Nov 2013 (7.6%), 03 Dec 2013 (-3.62%), 24 Dec 2013 (-2.74%)
2012610 Feb 2012 (-4.05%), 21 Mar 2012 (-5.44%), 26 Oct 2012 (-1.7%), 29 Nov 2012 (0.76%), 18 Dec 2012 (-3.41%), 27 Dec 2012 (0.75%)
2011424 May 2011 (-4.49%), 04 Jul 2011 (1.96%), 30 Aug 2011 (19.19%), 14 Oct 2011 (-1.85%)
2010919 Mar 2010 (-3.89%), 22 Apr 2010 (-0.47%), 16 Jul 2010 (-3.32%), 04 Aug 2010 (13.54%), 07 Sep 2010 (-1.23%), 05 Oct 2010 (-3.0%), 13 Oct 2010 (-4.35%), 14 Oct 2010 (28.05%), 16 Dec 2010 (8.06%)
2009503 Feb 2009 (0.49%), 20 May 2009 (11.36%), 25 Aug 2009 (9.51%), 13 Nov 2009 (-1.81%), 02 Dec 2009 (-4.97%)
2007903 May 2007 (-4.0%), 16 May 2007 (-0.63%), 04 Jun 2007 (-2.73%), 02 Jul 2007 (4.31%), 27 Aug 2007 (13.92%), 26 Sep 2007 (-0.37%), 24 Oct 2007 (-4.51%), 30 Nov 2007 (1.13%), 27 Dec 2007 (-0.5%)
2006331 Mar 2006 (6.74%), 09 May 2006 (-4.8%), 06 Oct 2006 (-3.62%)
2005631 Jan 2005 (2.05%), 28 Feb 2005 (0.14%), 21 Apr 2005 (1.88%), 18 Jul 2005 (-1.66%), 31 Aug 2005 (1.68%), 04 Oct 2005 (-3.48%)
2004806 May 2004 (0.69%), 07 Jun 2004 (-4.38%), 28 Jun 2004 (-3.68%), 12 Jul 2004 (0.88%), 30 Aug 2004 (-0.83%), 05 Oct 2004 (-2.16%), 05 Nov 2004 (2.16%), 23 Dec 2004 (4.96%)
20031013 Jan 2003 (5.81%), 03 Apr 2003 (9.35%), 02 Jul 2003 (2.97%), 29 Jul 2003 (-4.13%), 19 Aug 2003 (-5.25%), 29 Aug 2003 (9.83%), 01 Oct 2003 (10.1%), 10 Nov 2003 (-1.69%), 29 Dec 2003 (-3.64%), 30 Dec 2003 (-0.79%)
2002821 Jan 2002 (12.15%), 08 Apr 2002 (-6.41%), 29 Apr 2002 (0.31%), 05 Jun 2002 (12.71%), 05 Jul 2002 (0.8%), 07 Aug 2002 (-6.34%), 13 Sep 2002 (-4.99%), 31 Oct 2002 (-3.57%)
2001231 Jan 2001 (7.17%), 19 Nov 2001 (17.23%)
1999422 Jan 1999 (-5.26%), 04 Jun 1999 (3.45%), 30 Jun 1999 (16.68%), 18 Aug 1999 (-5.4%)
1998227 Oct 1998 (-4.91%), 22 Dec 1998 (24.81%)
1997311 Feb 1997 (0.39%), 28 Feb 1997 (7.42%), 15 Apr 1997 (-3.15%)
1996802 Feb 1996 (4.6%), 08 Apr 1996 (-2.2%), 05 Jun 1996 (3.04%), 23 Aug 1996 (1.26%), 20 Sep 1996 (-3.35%), 23 Oct 1996 (-3.52%), 09 Dec 1996 (-3.09%), 10 Dec 1996 (0.49%)
1995214 Sep 1995 (9.23%), 11 Dec 1995 (0.72%)



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