Study: Buy ASHOKLEY 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 ASHOKLEY 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 ASHOKLEY 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
1154086142746852.115161.929296.88-3351.39-15976.331.541.680.0371085.11
2135543142697348.597701.9645703.12-5423.18-21214.951.421.340.022954.53
385026.87141667546.819030.2848226.95-6812.96-32149.531.331.170.011603.03
4293047141736851.7710991.7268085.11-7490.42-45327.11.471.580.0322078.35
5304455141816057.4510746.0347943.26-9432.89-49532.711.141.540.0322159.25
6354462141766553.913082.3956737.59-9843.07-60841.121.331.550.0332513.92
7398959141776454.6113955.3558439.72-10556.3-71962.621.321.590.0342829.49
8380108141776454.6114634.3662739.73-11667.77-81588.791.251.510.0292695.8
9425911141806156.7414926.383835.62-12593.33-88598.131.191.550.0313020.65
10474990141816057.4516169.7269589.04-13912.62-84953.271.161.570.0333368.72

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.68. 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 52.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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-11154086142746852.115161.929296.88-3351.39-15976.331.541.680.0371085.11
atrnil25.45351923154639140.9117719.9432123.14-8400.37-16730.792.111.460.0352285.21
atrnil37.93379187143459831.4726973.9948184.7-8516.76-16730.793.171.450.0312651.66
atrtrail24.02199985155659041.9412477.7930426.42-6789.68-16730.791.841.330.0241290.23
atrtrail34.72195192152638941.4512585.3735516.88-6715.57-16730.791.871.330.0221284.16
atrtrail-15.28161042152638941.4512043.355157.37-6715.57-16730.791.791.270.0171059.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.68. 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 52.11%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, 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.
ASHOKLEY Performance, X=1, Profit Factor:1.68

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019610 Apr 2019 (3.22%), 21 May 2019 (-0.45%), 02 Jul 2019 (2.79%), 23 Sep 2019 (0.67%), 10 Oct 2019 (-0.29%), 13 Nov 2019 (-1.99%)
2018405 Feb 2018 (-1.89%), 26 Feb 2018 (0.66%), 19 Apr 2018 (2.95%), 16 Oct 2018 (-5.18%)
2017921 Apr 2017 (2.35%), 11 May 2017 (-0.98%), 26 May 2017 (0.22%), 03 Jul 2017 (-0.95%), 01 Aug 2017 (-1.53%), 31 Aug 2017 (5.37%), 03 Oct 2017 (0.04%), 27 Nov 2017 (-1.78%), 19 Dec 2017 (-0.3%)
2016529 Jan 2016 (2.12%), 17 Feb 2016 (-0.22%), 02 Mar 2016 (0.86%), 27 May 2016 (-0.7%), 21 Jul 2016 (-0.15%)
20151018 Feb 2015 (1.3%), 03 Mar 2015 (-2.7%), 01 Apr 2015 (-0.41%), 11 May 2015 (-3.16%), 27 May 2015 (-0.7%), 19 Jun 2015 (0.86%), 17 Aug 2015 (6.16%), 23 Sep 2015 (0.55%), 18 Nov 2015 (1.53%), 29 Dec 2015 (-0.28%)
2014613 May 2014 (0.2%), 25 Jun 2014 (-0.39%), 01 Aug 2014 (3.39%), 18 Aug 2014 (7.39%), 01 Oct 2014 (1.07%), 30 Dec 2014 (-0.1%)
2013416 May 2013 (-0.64%), 03 Nov 2013 (2.22%), 29 Nov 2013 (-0.3%), 26 Dec 2013 (-2.36%)
2012515 Feb 2012 (2.39%), 26 Mar 2012 (0.52%), 20 Apr 2012 (1.44%), 05 Jul 2012 (-0.58%), 05 Nov 2012 (0.62%)
2011804 Jan 2011 (-3.03%), 03 Mar 2011 (1.13%), 20 May 2011 (-2.25%), 22 Jul 2011 (2.13%), 12 Aug 2011 (-3.44%), 28 Sep 2011 (-3.0%), 25 Oct 2011 (1.18%), 05 Dec 2011 (1.51%)
2010904 Jan 2010 (-1.24%), 02 Mar 2010 (1.25%), 30 Apr 2010 (1.17%), 14 Jun 2010 (-0.24%), 29 Jun 2010 (-0.16%), 30 Aug 2010 (1.94%), 15 Sep 2010 (-1.9%), 05 Oct 2010 (-0.07%), 26 Oct 2010 (-1.34%)
2009819 Jan 2009 (-1.32%), 06 Feb 2009 (2.01%), 18 May 2009 (14.65%), 09 Jul 2009 (-7.99%), 24 Aug 2009 (3.83%), 23 Sep 2009 (-0.23%), 15 Oct 2009 (-1.24%), 30 Oct 2009 (0.98%)
2008307 Jan 2008 (-4.08%), 31 Mar 2008 (-0.99%), 29 Aug 2008 (0.89%)
2007429 Aug 2007 (0.8%), 21 Sep 2007 (4.88%), 30 Oct 2007 (-2.19%), 15 Nov 2007 (0.61%)
2006902 Feb 2006 (1.16%), 03 Mar 2006 (6.12%), 07 Apr 2006 (-0.69%), 25 Apr 2006 (1.57%), 28 Jul 2006 (0.0%), 29 Sep 2006 (0.55%), 13 Nov 2006 (-2.46%), 07 Dec 2006 (-0.89%), 26 Dec 2006 (1.47%)
2005731 Jan 2005 (-1.86%), 08 Jun 2005 (-0.95%), 04 Jul 2005 (0.79%), 02 Sep 2005 (-0.51%), 04 Oct 2005 (-0.68%), 26 Oct 2005 (-3.72%), 16 Dec 2005 (-1.2%)
2004213 Jan 2004 (3.7%), 30 Mar 2004 (2.7%)
20031209 Jan 2003 (-1.89%), 07 Feb 2003 (1.83%), 19 Mar 2003 (2.29%), 04 Apr 2003 (1.38%), 05 May 2003 (4.32%), 13 Jun 2003 (3.3%), 31 Jul 2003 (4.06%), 08 Sep 2003 (-2.62%), 24 Sep 2003 (-0.2%), 05 Nov 2003 (-1.54%), 28 Nov 2003 (10.14%), 18 Dec 2003 (-1.1%)
2002816 Jan 2002 (-1.35%), 11 Feb 2002 (4.68%), 08 Apr 2002 (1.28%), 13 May 2002 (3.58%), 06 Jun 2002 (-1.26%), 27 Jun 2002 (0.96%), 07 Aug 2002 (-3.24%), 25 Nov 2002 (-0.84%)
2001508 Jan 2001 (0.87%), 22 Jan 2001 (-2.97%), 17 Apr 2001 (4.12%), 30 Jul 2001 (2.49%), 22 Oct 2001 (1.43%)
2000506 Jan 2000 (6.95%), 23 Feb 2000 (-5.14%), 29 May 2000 (1.88%), 12 Jul 2000 (-4.06%), 28 Nov 2000 (1.34%)
1999811 Feb 1999 (-0.23%), 23 Mar 1999 (0.24%), 06 May 1999 (0.55%), 21 Jun 1999 (4.74%), 06 Jul 1999 (6.93%), 28 Jul 1999 (-2.6%), 05 Oct 1999 (-4.84%), 25 Nov 1999 (-2.04%)
1998123 Dec 1998 (6.38%)
1996317 Apr 1996 (1.21%), 13 Jun 1996 (2.81%), 11 Jul 1996 (-2.3%)
1995118 Jul 1995 (3.33%)



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