Study: Buy ASHOKLEY 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 ASHOKLEY 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 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
153846.3685473855.294333.8716036.31-3943.31-12673.271.11.360.024633.49
248242.2685424349.416723.4932169.58-5445.21-23054.191.231.210.014567.56
3-47801.8585444151.766356.431098.43-7987.4-36945.810.80.85-0.011-562.37
4-55946.6185424349.417706.4627960.06-8828.33-41379.310.870.85-0.012-658.2
5-10114985394645.888531.1325392.3-9431.8-53300.490.90.77-0.019-1189.98
6-6790185414448.2410585.9261626.25-11407.36-65024.630.930.86-0.01-798.84
7-10397485384744.7112259.4673894.44-12124.11-75172.411.010.82-0.014-1223.22
8-15138485394645.8812309.5171611.98-13727.28-82561.580.90.76-0.018-1780.99
9-97361.5885374843.5314762.2580409.36-13407.6-78719.211.10.85-0.011-1145.43
10-10035585394645.8815148.51102924-15024.93-78325.121.010.85-0.011-1180.65

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.36. 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 55.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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-1153846.3685473855.294333.8716036.31-3943.31-12673.271.11.360.024633.49
atrnil27.67-20577.6492316133.718497.0531755.21-9737.48-22653.221.90.97-0.0032-223.67
atrnil310.65-67498.0188216723.8627916.9444636.94-9757.52-22653.222.860.9-0.0092-767.02
atrtrail35.2-87599.0692326034.7810545.0832974.4-7084.03-19633.091.490.79-0.018-952.16
atrtrail24.67-92146.2893326134.4110620.7224423.69-7082.12-19633.091.50.79-0.02-990.82
atrtrail-15.52-96290.4892326034.7810273.4760114.57-7084.03-19633.091.450.77-0.019-1046.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 55.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Feb 2019 (6.3%), 01 Jul 2019 (0.86%), 19 Aug 2019 (-1.01%)
2018606 Jun 2018 (-0.84%), 06 Jul 2018 (-1.06%), 30 Jul 2018 (0.0%), 17 Oct 2018 (-1.57%), 30 Nov 2018 (-4.63%), 14 Dec 2018 (1.87%)
2016428 Jan 2016 (1.64%), 20 Jul 2016 (3.64%), 22 Sep 2016 (-1.55%), 08 Dec 2016 (2.12%)
2015128 Dec 2015 (0.9%)
2014121 Feb 2014 (-1.27%)
2013407 Feb 2013 (-4.44%), 25 Feb 2013 (-2.79%), 12 Apr 2013 (0.68%), 08 Aug 2013 (2.29%)
2012503 Jan 2012 (1.28%), 31 May 2012 (0.2%), 04 Jul 2012 (2.58%), 06 Aug 2012 (0.44%), 07 Sep 2012 (0.47%)
2011703 Jan 2011 (0.97%), 24 Jan 2011 (0.0%), 14 Feb 2011 (-1.44%), 01 Mar 2011 (1.92%), 23 May 2011 (-0.8%), 30 Jun 2011 (-0.31%), 16 Aug 2011 (-6.34%)
2009120 Jan 2009 (-2.67%)
2008506 Feb 2008 (-3.13%), 28 Mar 2008 (2.61%), 18 Jun 2008 (-0.15%), 08 Jul 2008 (1.0%), 03 Nov 2008 (2.16%)
2007513 Mar 2007 (-4.63%), 12 Apr 2007 (1.62%), 29 May 2007 (0.27%), 18 Jun 2007 (-0.4%), 28 Aug 2007 (4.15%)
2006420 Jun 2006 (0.72%), 27 Jul 2006 (3.24%), 06 Dec 2006 (3.57%), 22 Dec 2006 (3.64%)
2005105 Apr 2005 (3.8%)
2004516 Feb 2004 (0.89%), 15 Jun 2004 (0.62%), 27 Jul 2004 (-0.95%), 31 Aug 2004 (0.27%), 16 Nov 2004 (0.27%)
2002415 Jan 2002 (5.27%), 04 Feb 2002 (-3.38%), 08 Aug 2002 (-2.54%), 07 Oct 2002 (-0.66%)
2001211 Jul 2001 (1.06%), 01 Oct 2001 (0.09%)
2000524 Feb 2000 (-5.76%), 16 Mar 2000 (8.02%), 13 Jul 2000 (1.28%), 17 Aug 2000 (-2.42%), 17 Oct 2000 (2.85%)
1999305 May 1999 (6.73%), 06 Oct 1999 (3.56%), 24 Nov 1999 (1.49%)
1998424 Jun 1998 (6.11%), 16 Jul 1998 (-1.24%), 06 Aug 1998 (3.28%), 19 Oct 1998 (1.07%)
1997514 Feb 1997 (-0.76%), 09 Apr 1997 (-1.18%), 19 May 1997 (-1.13%), 13 Jun 1997 (-1.47%), 12 Dec 1997 (2.32%)
1996516 Jan 1996 (0.1%), 10 Jun 1996 (-3.06%), 12 Jul 1996 (-2.28%), 27 Aug 1996 (0.08%), 11 Dec 1996 (-0.64%)
1995509 May 1995 (-5.17%), 05 Jun 1995 (-1.47%), 17 Jul 1995 (1.56%), 18 Sep 1995 (0.0%), 08 Dec 1995 (-1.79%)



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