Study: Buy ASHOKLEY 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 ASHOKLEY 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 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
166036.5144212347.737053.629296.88-3569.09-10369.141.981.80.0421500.83
235751.5244172738.6413079.445703.12-6911.05-21214.951.891.190.013812.53
3-615.0344172738.6415143.6248226.95-9557.65-32149.531.581-0.00019-13.98
410280944202445.4517245.1868085.11-10087.26-45327.11.711.420.0252336.58
520734.3844202445.4516035.3147943.26-12498.82-49532.711.281.070.0052471.24
6-18976.7644162836.3621372.4556737.59-12890.57-60841.121.660.95-0.0042-431.29
722792.8744182640.9121509.6558439.72-14014.64-71962.621.531.060.0046518.02
854416.9544202445.4522413.2557142.86-16410.34-81588.791.371.140.00981236.75
973571.74422225021033.8253515.63-17689.65-88598.131.191.190.0131672.08
101454854422225023995.8264843.75-17382.85-84953.271.381.380.0253306.48

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.8. 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 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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-1166036.5144212347.737053.629296.88-3569.09-10369.141.981.80.0421500.83
atrnil36.2899176.2847133427.6630105.8345639.63-8594.1-16730.793.51.340.0242110.13
atrtrail-14.775264.9947173036.1717765.7955157.37-7558.45-16730.792.351.330.021601.38
atrnil24.5383357.3649183136.7319268.8830426.42-8499.43-16730.792.271.320.0251701.17
atrtrail34.1354421.6547173036.1716539.7231620.41-7558.45-16730.792.191.240.0171157.91
atrtrail23.2935948.7149183136.7314943.4430426.42-7517.2-16730.791.991.150.012733.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.8. 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 47.73%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:1.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Sep 2019 (0.67%)
2018116 Oct 2018 (-5.18%)
2017321 Apr 2017 (2.35%), 01 Aug 2017 (-1.53%), 27 Nov 2017 (-1.78%)
2016121 Jul 2016 (-0.15%)
2015219 Feb 2015 (-2.71%), 17 Aug 2015 (6.16%)
2014213 May 2014 (0.2%), 25 Jun 2014 (-0.39%)
2013103 Nov 2013 (2.22%)
2012105 Jul 2012 (-0.58%)
2011304 Jan 2011 (-3.03%), 03 Mar 2011 (1.13%), 20 May 2011 (-2.25%)
2009118 May 2009 (14.65%)
2007230 Oct 2007 (-2.19%), 15 Nov 2007 (0.61%)
2006703 Feb 2006 (0.57%), 03 Mar 2006 (6.12%), 07 Apr 2006 (-0.69%), 25 Apr 2006 (1.57%), 28 Jul 2006 (0.0%), 07 Dec 2006 (-0.89%), 26 Dec 2006 (1.47%)
2005331 Jan 2005 (-1.86%), 08 Jun 2005 (-0.95%), 16 Dec 2005 (-1.2%)
2004130 Mar 2004 (2.7%)
2003509 Jan 2003 (-1.89%), 31 Jul 2003 (4.06%), 08 Sep 2003 (-2.62%), 24 Sep 2003 (-0.2%), 05 Nov 2003 (-1.54%)
2002113 May 2002 (3.58%)
2001217 Apr 2001 (4.12%), 30 Jul 2001 (2.49%)
2000317 Jan 2000 (-1.65%), 23 Feb 2000 (-5.14%), 28 Nov 2000 (1.34%)
1999321 Jun 1999 (4.74%), 06 Jul 1999 (6.93%), 28 Jul 1999 (-2.6%)
1998123 Dec 1998 (6.38%)



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