Study: Buy AUROPHARMA 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 AUROPHARMA 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 AUROPHARMA 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
1208839139726751.85834.9121708.49-3153.36-14735.71.851.990.0511502.44
2176815139637645.328253.0731565.87-4514.84-24837.071.831.520.031272.05
3217467139687148.929566.8640679.37-6099.72-20275.161.571.50.031564.51
4257548139746553.2410575.649931.41-8077.63-31498.911.311.490.031852.87
5256328139776255.410715.3848635.24-9173.48-45257.061.171.450.0281844.09
6219881139716851.0812657.6773548.39-9982.55-50434.471.271.320.0211581.88
7429631139756453.9614414.48100844-10178.99-44858.81.421.660.0363090.87
8533160139667347.4818826.7699684.01-9717.9-48587.981.941.750.0393835.68
9551855139697049.6419013.4596305.3-10858.18-45981.171.751.730.0383970.18
10670247139716851.0820331.8297766.75-11372.24-51186.311.791.870.0444821.92

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.99. 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 51.8%, 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 0.051, 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
atrtrail-15.75625284152629040.7918797.69144316-6001.92-16792.653.132.160.0454113.71
nilnil-11208839139726751.85834.9121708.49-3153.36-14735.71.851.990.0511502.44
atrnil38.72655108141538837.5925691.2942789.64-8028.76-16792.653.21.930.0574646.15
atrtrail34.73485808154649041.5616030.9542789.64-6001.92-16792.652.671.90.0483154.6
atrnil25.3496484154708445.4516548.9928526.43-7880.31-16792.652.11.750.0533223.92
atrtrail23.97288939157669142.0412640.4428526.43-5992.64-16792.652.111.530.0361840.37

In the table above, row 1 shows the best exit criterion. Profit factor is 2.16. 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 40.79%, which is not acceptable. Avoid this strategy. Average return per trade is 2.06%, which is very good. Sharpe Ratio is 0.045, 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.
AUROPHARMA Performance, Profit Factor:2.16

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019331 Jan 2019 (-1.2%), 26 Apr 2019 (-2.43%), 30 Apr 2019 (-2.53%)
2018626 Feb 2018 (-1.61%), 02 Apr 2018 (1.58%), 11 Jun 2018 (3.84%), 30 Jul 2018 (0.58%), 31 Oct 2018 (-0.18%), 03 Dec 2018 (-0.6%)
2017508 Feb 2017 (-1.5%), 15 Mar 2017 (1.4%), 02 Jun 2017 (16.53%), 28 Aug 2017 (-1.09%), 06 Oct 2017 (-0.32%)
2016504 May 2016 (-1.89%), 02 Jun 2016 (-2.75%), 01 Jul 2016 (2.88%), 24 Aug 2016 (-1.39%), 20 Sep 2016 (3.65%)
2015805 Jan 2015 (-2.82%), 09 Jan 2015 (-2.15%), 03 Mar 2015 (9.13%), 14 May 2015 (-1.44%), 18 Jun 2015 (3.97%), 30 Sep 2015 (-3.73%), 12 Oct 2015 (5.58%), 17 Dec 2015 (4.43%)
20141122 Jan 2014 (-4.07%), 30 Jan 2014 (6.72%), 05 Mar 2014 (-3.46%), 02 Apr 2014 (-1.41%), 28 Apr 2014 (-3.12%), 14 May 2014 (-3.2%), 27 May 2014 (0.43%), 10 Jun 2014 (-0.42%), 08 Aug 2014 (18.33%), 29 Sep 2014 (1.27%), 03 Nov 2014 (10.06%)
20131203 Jan 2013 (-3.2%), 06 Feb 2013 (-3.6%), 20 Feb 2013 (-3.77%), 03 Apr 2013 (-3.81%), 06 Jun 2013 (-3.85%), 19 Jun 2013 (-4.2%), 28 Jun 2013 (2.2%), 12 Aug 2013 (-0.49%), 23 Sep 2013 (7.95%), 21 Oct 2013 (-2.16%), 01 Nov 2013 (18.34%), 16 Dec 2013 (11.21%)
2012705 Mar 2012 (-6.36%), 16 Apr 2012 (1.18%), 25 May 2012 (-5.37%), 01 Aug 2012 (-3.68%), 23 Aug 2012 (0.01%), 05 Nov 2012 (1.45%), 30 Nov 2012 (1.31%)
2011503 Jan 2011 (-0.92%), 12 May 2011 (-2.26%), 15 Jul 2011 (-1.45%), 12 Oct 2011 (-4.7%), 28 Oct 2011 (-2.88%)
20101004 Feb 2010 (-3.5%), 09 Feb 2010 (-1.72%), 03 Mar 2010 (1.33%), 30 Apr 2010 (-2.21%), 19 Aug 2010 (-2.58%), 07 Sep 2010 (-3.2%), 20 Sep 2010 (-2.9%), 21 Sep 2010 (-3.1%), 06 Oct 2010 (1.93%), 16 Dec 2010 (-2.56%)
2009728 Jan 2009 (-2.58%), 19 Feb 2009 (20.45%), 22 Jul 2009 (16.83%), 21 Aug 2009 (-2.03%), 30 Sep 2009 (4.75%), 23 Nov 2009 (-2.71%), 29 Dec 2009 (-1.19%)
2008212 Jun 2008 (4.6%), 08 Jul 2008 (-4.29%)
2007517 Jan 2007 (-3.05%), 08 Feb 2007 (-2.64%), 14 May 2007 (-3.42%), 04 Jun 2007 (1.59%), 24 Oct 2007 (-3.61%)
2006716 Jan 2006 (12.72%), 20 Mar 2006 (11.47%), 26 Apr 2006 (-3.74%), 27 Jul 2006 (5.75%), 04 Sep 2006 (-3.11%), 30 Oct 2006 (-2.49%), 29 Nov 2006 (9.26%)
2005814 Feb 2005 (-4.47%), 02 Mar 2005 (6.51%), 02 Jun 2005 (7.25%), 06 Jul 2005 (-4.72%), 11 Jul 2005 (7.37%), 31 Aug 2005 (-3.56%), 04 Oct 2005 (-3.74%), 09 Nov 2005 (11.71%)
2004717 Feb 2004 (-5.5%), 01 Mar 2004 (-3.44%), 22 Apr 2004 (-1.65%), 11 Jun 2004 (-5.46%), 13 Sep 2004 (-2.64%), 21 Sep 2004 (2.55%), 17 Nov 2004 (-3.51%)
2003707 Jan 2003 (21.36%), 07 Apr 2003 (-2.21%), 30 Jun 2003 (13.55%), 27 Aug 2003 (11.23%), 01 Oct 2003 (-4.46%), 04 Nov 2003 (-5.97%), 02 Dec 2003 (30.42%)
2002807 Jan 2002 (-3.95%), 06 Feb 2002 (-3.58%), 07 Feb 2002 (-3.81%), 05 Apr 2002 (5.67%), 06 May 2002 (-3.4%), 18 Oct 2002 (-2.26%), 01 Nov 2002 (-1.54%), 24 Dec 2002 (-2.31%)
2001320 Apr 2001 (-8.4%), 27 Sep 2001 (-5.58%), 09 Nov 2001 (26.8%)
2000203 Jan 2000 (1.01%), 27 Oct 2000 (11.11%)
1999815 Feb 1999 (11.3%), 15 Mar 1999 (15.76%), 07 May 1999 (0.64%), 04 Jun 1999 (-5.51%), 07 Jul 1999 (17.45%), 17 Aug 1999 (3.16%), 15 Sep 1999 (-5.03%), 23 Sep 1999 (15.03%)
1998503 Apr 1998 (-1.06%), 11 May 1998 (-6.64%), 12 May 1998 (72.16%), 15 Jul 1998 (30.74%), 09 Sep 1998 (26.73%)
1997812 Feb 1997 (-0.63%), 01 Mar 1997 (4.02%), 21 Apr 1997 (-3.74%), 25 Jun 1997 (-0.95%), 11 Jul 1997 (-4.92%), 23 Jul 1997 (0.82%), 26 Nov 1997 (-0.8%), 15 Dec 1997 (1.61%)
1996304 Oct 1996 (0.09%), 06 Nov 1996 (-2.0%), 12 Dec 1996 (1.94%)



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