Study: Buy ARVIND when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
150362.0340211952.54941.115545.24-2810.58-5929.921.761.940.0481259.05
210595840211952.58807.6827536.23-4158.08-13477.782.122.340.0612648.95
315105240251562.59922.3139914.16-6467.08-24715.391.532.560.0683776.29
415163340271367.59112.6127038.63-7262.14-18548.391.252.610.0743790.82
522480740271367.511884.7472961.37-7390.82-22580.651.613.340.0775620.18
61793984024166014203.775536.48-10093.14-29679.921.412.110.0524484.96
722233640271367.514920.8693562.23-13886.71-35790.491.072.230.0545558.4
819565640271367.514815.4384978.54-15720.03-46168.770.941.960.0474891.4
91779614026146515776.3576824.03-16587.43-43840.930.951.770.0424449.03
1024668140231757.520812.3699141.63-13647.27-34626.581.532.060.0516167.01

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 3.34. Strategy is very good and impressively bullish. Percentage of profitable trades is 67.5%, which is good. Average return per trade is 2.81%, which is very good. Sharpe Ratio is 0.077, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ARVIND Performance, X=5, Profit Factor:3.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018110 May 2018 (-1.99%)
2016209 Aug 2016 (-0.7%), 30 Dec 2016 (2.25%)
2015308 Apr 2015 (0.2%), 04 May 2015 (-5.75%), 30 Jul 2015 (-3.32%)
2013308 Nov 2013 (10.25%), 03 Dec 2013 (-4.17%), 24 Dec 2013 (2.4%)
2012313 Feb 2012 (-5.63%), 26 Oct 2012 (3.5%), 18 Dec 2012 (3.79%)
2011230 Aug 2011 (8.53%), 14 Oct 2011 (0.19%)
2010516 Jul 2010 (-2.93%), 04 Aug 2010 (7.7%), 07 Sep 2010 (2.66%), 05 Oct 2010 (-4.3%), 16 Dec 2010 (1.09%)
2009120 May 2009 (36.48%)
2007226 Sep 2007 (9.2%), 28 Dec 2007 (-3.07%)
2005231 Jan 2005 (6.99%), 21 Apr 2005 (-0.7%)
2004123 Dec 2004 (2.61%)
2003503 Apr 2003 (8.75%), 02 Jul 2003 (0.46%), 29 Jul 2003 (-3.86%), 01 Oct 2003 (12.73%), 29 Dec 2003 (0.51%)
2002105 Jul 2002 (3.64%)
1999222 Jan 1999 (-11.29%), 30 Jun 1999 (8.49%)
1997211 Feb 1997 (3.22%), 28 Feb 1997 (8.72%)
1996302 Feb 1996 (4.68%), 05 Jun 1996 (5.27%), 23 Aug 1996 (3.05%)
1995214 Sep 1995 (3.08%), 11 Dec 1995 (-0.33%)

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-1522480740271367.511884.7472961.37-7390.82-22580.651.613.340.0775620.18
atrtrail35.0920484644232152.2714610.9637810.31-6247.91-10527.882.342.560.0724655.59
atrtrail-16.320293244232152.2714527.7656108.82-6247.91-10527.882.332.550.0654612.1
atrtrail24.2818013747242351.0613582.731343.46-6341.22-10527.882.142.240.0673832.69
atrnil25.7222392847242351.0617344.9331343.46-8363.07-11513.672.072.160.0724764.42
atrnil38.8212620144152934.0925157.2447015.19-8660.62-11752.552.91.50.0352868.2

In the table above, row 1 shows the best exit criterion. Profit factor is 3.34. Strategy is very good and impressively bullish. Percentage of profitable trades is 67.5%, which is good. Average return per trade is 2.81%, which is very good. Sharpe Ratio is 0.077, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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