Study: Buy ARVIND 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 ARVIND 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 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
1-38215.6494425244.684005.3416250-3970-127491.010.81-0.015-406.55
211914.5294435145.746424.0338732.39-5182.72-16768.461.241.050.0032126.75
3-30519.1794445046.817818.8622584.75-7490.98-27353.461.040.92-0.0068-324.67
4-58911.2894435145.748733.6723287.67-8518.8-30652.791.030.86-0.012-626.72
5-21460.7394435145.7411114.2748087.43-9791.65-42021.281.140.96-0.0033-228.31
661365.794425244.6813516.8971830.99-9737.38-32446.811.391.120.008652.83
7-17310.8894435145.7414986.6954644.81-12975.27-1319121.160.97-0.0017-184.16
8-84689.9994405442.5516150.7647188.94-13531.86-1356111.190.88-0.0081-900.96
9-61994.3994385640.4318772.4158986.18-13845.46-1354861.360.92-0.0057-659.51
10-13486594395541.4917147.3665990.78-14611.13-1359871.170.83-0.012-1434.74
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
atrnil39.67157342102287427.4533312.6777577.75-10478.55-26536.73.181.20.0151542.57
atrtrail-16.1897140.31105386736.1917290.95116369-8356.95-22650.12.071.170.0098925.15
atrnil27.3635318.93104356933.6521767.9951718.5-10529.86-26536.72.071.050.0043339.61
atrtrail35.67-8898.72105386736.1914500.4548882.3-8356.95-22650.11.740.98-0.0012-84.75
atrtrail25.23-35183.17106396736.7913454.6832588.2-8356.95-22650.11.610.94-0.0054-331.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 27.45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.77%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 May 2019 (-4.87%), 12 Jun 2019 (-4.35%), 02 Jul 2019 (-5.74%), 12 Jul 2019 (-6.24%), 05 Aug 2019 (-6.73%)
2018521 Feb 2018 (-4.0%), 27 Mar 2018 (-3.19%), 12 Oct 2018 (-5.25%), 16 Nov 2018 (-4.21%), 17 Dec 2018 (-13.27%)
2017206 Jun 2017 (-2.91%), 07 Jul 2017 (-2.36%)
2016403 Mar 2016 (16.38%), 10 Aug 2016 (9.41%), 09 Dec 2016 (-4.07%), 20 Dec 2016 (-3.7%)
2015607 Apr 2015 (-4.05%), 13 May 2015 (-4.51%), 01 Jun 2015 (-4.36%), 02 Jun 2015 (-4.64%), 18 Jun 2015 (13.79%), 09 Sep 2015 (15.92%)
2014228 Oct 2014 (-4.03%), 23 Dec 2014 (13.13%)
2013506 Mar 2013 (-4.84%), 01 Apr 2013 (-4.42%), 15 Jul 2013 (-4.23%), 24 Jul 2013 (-4.4%), 20 Aug 2013 (15.9%)
2012703 Jan 2012 (18.95%), 03 Apr 2012 (-5.14%), 28 May 2012 (-4.72%), 07 Jun 2012 (-4.6%), 27 Jun 2012 (12.22%), 16 Aug 2012 (-3.46%), 06 Sep 2012 (15.37%)
2011603 Mar 2011 (-5.87%), 09 Mar 2011 (-5.76%), 23 Mar 2011 (15.7%), 29 Aug 2011 (18.49%), 07 Dec 2011 (-5.16%), 08 Dec 2011 (-5.64%)
2010618 Feb 2010 (-4.27%), 03 Mar 2010 (-3.98%), 18 Mar 2010 (-3.92%), 31 Mar 2010 (11.63%), 04 Jun 2010 (-4.49%), 11 Jun 2010 (12.4%)
2009219 Mar 2009 (23.66%), 21 Jul 2009 (23.97%)
2008406 Feb 2008 (-11.33%), 28 Mar 2008 (24.44%), 09 Jul 2008 (-9.49%), 31 Oct 2008 (38.79%)
2007221 Mar 2007 (-5.33%), 25 Jun 2007 (-2.97%)
2006402 Feb 2006 (-3.85%), 19 Jun 2006 (-9.03%), 27 Jul 2006 (21.42%), 28 Nov 2006 (-4.6%)
2005204 Apr 2005 (-4.29%), 09 Nov 2005 (-5.34%)
2004216 Feb 2004 (-6.67%), 08 Mar 2004 (-6.01%)
2003214 Jan 2003 (10.09%), 19 Feb 2003 (-3.81%)
2002210 Oct 2002 (-4.01%), 01 Nov 2002 (12.44%)
2001725 Jan 2001 (-6.69%), 01 Feb 2001 (-6.92%), 22 Mar 2001 (-8.44%), 18 Apr 2001 (-7.36%), 11 Jul 2001 (-5.77%), 06 Aug 2001 (16.14%), 01 Oct 2001 (21.11%)
2000418 Feb 2000 (-7.75%), 10 May 2000 (-7.28%), 18 Aug 2000 (-6.44%), 26 Oct 2000 (18.2%)
1999718 Mar 1999 (-6.8%), 20 Apr 1999 (-6.24%), 29 Apr 1999 (17.18%), 17 Aug 1999 (-5.67%), 06 Oct 1999 (-4.89%), 27 Oct 1999 (-4.59%), 25 Nov 1999 (13.65%)
1998612 Feb 1998 (-5.35%), 25 May 1998 (-6.19%), 29 Jun 1998 (-8.34%), 29 Jul 1998 (-5.33%), 20 Aug 1998 (-4.87%), 06 Nov 1998 (16.58%)
1997519 May 1997 (-3.05%), 04 Jun 1997 (-2.37%), 12 Sep 1997 (-4.57%), 04 Nov 1997 (-3.64%), 23 Dec 1997 (8.89%)
1996223 Sep 1996 (-3.8%), 24 Oct 1996 (-3.91%)
1995303 Apr 1995 (-3.25%), 09 May 1995 (10.52%), 08 Dec 1995 (-4.1%)



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