Study: Buy ASIANPAINT 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 ASIANPAINT 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 ASIANPAINT 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
116988.4654282651.852705.756464.72-2260.48-11482.011.21.290.02314.6
251334.3154292553.74220.5719867.55-2842.49-9043.561.481.720.037950.64
311080154332161.115482.3423977.03-3338.88-10608.521.642.580.0622051.87
411372554302455.567047.722001.76-4071.09-26294.011.732.160.0522106.01
515355754322259.267856.7824492.06-4448.18-17891.711.772.570.0682843.65
617555954342062.967906.2627410.42-4662.68-14211.711.72.880.0753251.09
720830954351964.818708.6526512.7-5078.63-15570.381.713.160.0843857.57
825675354342062.9610540.0627860.7-5080.48-17698.222.073.530.0934754.68
927227154361866.679828.9430140.96-4531.74-15756.142.174.340.15042.05
1030966554351964.8111221.0134386.22-4372.11-9457.062.574.730.115734.54
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ASIANPAINT Performance, X=10, Profit Factor:4.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 May 2019 (4.39%), 15 Jul 2019 (11.83%)
2018516 Feb 2018 (-3.31%), 28 Mar 2018 (3.73%), 28 Sep 2018 (-3.32%), 15 Oct 2018 (-4.32%), 30 Oct 2018 (10.39%)
2017313 Jul 2017 (2.07%), 13 Nov 2017 (-1.57%), 18 Dec 2017 (0.49%)
2016225 Feb 2016 (4.25%), 25 Nov 2016 (-0.39%)
2015218 Mar 2015 (0.92%), 16 Sep 2015 (3.82%)
2014202 Jan 2014 (2.07%), 28 Feb 2014 (4.76%)
2013102 Sep 2013 (4.57%)
2012203 Jan 2012 (3.63%), 02 Aug 2012 (0.75%)
2011215 Feb 2011 (-2.13%), 03 Mar 2011 (1.63%)
2009211 Feb 2009 (-2.12%), 18 Mar 2009 (4.09%)
2008218 Jul 2008 (15.29%), 31 Oct 2008 (1.81%)
2007119 Mar 2007 (7.43%)
2006328 Apr 2006 (0.57%), 02 Jun 2006 (-4.73%), 16 Jun 2006 (1.95%)
2004308 Mar 2004 (-0.18%), 26 May 2004 (-1.07%), 01 Nov 2004 (-2.82%)
2003211 Sep 2003 (-2.55%), 04 Nov 2003 (6.87%)
2002205 Feb 2002 (10.92%), 15 Nov 2002 (-0.24%)
2001303 Apr 2001 (9.0%), 04 Jun 2001 (-2.19%), 04 Jul 2001 (0.04%)
2000406 Jan 2000 (11.4%), 10 Mar 2000 (3.68%), 24 Aug 2000 (-1.93%), 23 Nov 2000 (11.09%)
1999105 May 1999 (13.46%)
1998219 Feb 1998 (3.87%), 29 Jun 1998 (13.85%)
1997412 Feb 1997 (0.2%), 08 Sep 1997 (-4.11%), 16 Oct 1997 (-1.67%), 27 Nov 1997 (0.0%)
1996305 Aug 1996 (-2.88%), 16 Oct 1996 (1.6%), 11 Dec 1996 (2.75%)
1995129 Nov 1995 (17.19%)

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
atrnil311.2922959262253740.3220497.4340552.39-7644.44-14118.972.681.810.0513703.09
atrnil28.291754596231315013529.3527034.92-7869.39-14118.971.721.720.052829.98
atrtrail-17.1312270762263641.9412479.0151561.18-5604.08-14118.972.231.610.0331979.15
atrtrail35.9710808262263641.9411916.4928529.91-5604.08-14118.972.131.540.0331743.25
atrtrail25.1590329.2362273543.5510775.0423717.53-5731.34-14118.971.881.450.031456.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.81. 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 40.32%, which is not acceptable. Avoid this strategy. Average return per trade is 1.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASIANPAINT Performance, Profit Factor:1.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019222 May 2019 (-2.35%), 15 Jul 2019 (6.16%)
2018516 Feb 2018 (-2.02%), 28 Mar 2018 (5.57%), 28 Sep 2018 (-2.91%), 12 Oct 2018 (-3.35%), 30 Oct 2018 (10.65%)
2017313 Jul 2017 (7.07%), 13 Nov 2017 (-2.07%), 18 Dec 2017 (6.23%)
2016225 Feb 2016 (7.78%), 25 Nov 2016 (-3.81%)
2015218 Mar 2015 (-2.55%), 16 Sep 2015 (-3.25%)
2014202 Jan 2014 (-2.27%), 28 Feb 2014 (6.06%)
2013202 Sep 2013 (-4.57%), 05 Sep 2013 (13.89%)
2012203 Jan 2012 (9.6%), 02 Aug 2012 (7.47%)
2011215 Feb 2011 (-3.11%), 03 Mar 2011 (-3.22%)
2009211 Feb 2009 (-5.3%), 18 Mar 2009 (-3.74%)
2008218 Jul 2008 (11.43%), 31 Oct 2008 (-6.29%)
2007119 Mar 2007 (15.54%)
2006528 Apr 2006 (-3.4%), 02 Jun 2006 (-6.21%), 12 Jun 2006 (-7.06%), 16 Jun 2006 (-6.63%), 19 Jun 2006 (20.28%)
2004508 Mar 2004 (-3.85%), 26 May 2004 (-4.15%), 01 Nov 2004 (-2.49%), 02 Nov 2004 (-2.61%), 11 Nov 2004 (7.69%)
2003211 Sep 2003 (-4.6%), 04 Nov 2003 (9.16%)
2002205 Feb 2002 (-2.76%), 15 Nov 2002 (8.17%)
2001403 Apr 2001 (-4.45%), 04 Jun 2001 (-3.02%), 13 Jun 2001 (-3.09%), 04 Jul 2001 (-3.87%)
2000406 Jan 2000 (11.98%), 10 Mar 2000 (-6.57%), 24 Aug 2000 (-5.73%), 23 Nov 2000 (14.26%)
1999105 May 1999 (15.27%)
1998219 Feb 1998 (6.88%), 29 Jun 1998 (17.79%)
1997512 Feb 1997 (7.36%), 08 Sep 1997 (-4.13%), 16 Oct 1997 (8.3%), 27 Nov 1997 (-2.88%), 28 Nov 1997 (9.0%)
1996305 Aug 1996 (-3.0%), 16 Oct 1996 (-3.27%), 11 Dec 1996 (-3.21%)
1995229 Nov 1995 (-3.65%), 30 Nov 1995 (12.61%)



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