Study: Buy AUROPHARMA when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > auropharma > 64

In this study, we evaluate the performance of strategy "Buy AUROPHARMA 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 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
150216.6170403057.144166.1214449.15-3880.94-15657.231.071.430.028717.38
246401.6370363451.436251.3626363.64-5254.34-17063.571.191.260.018662.88
333878.1670343648.577385.9218072.29-6034.53-16883.121.221.160.012483.97
417432.4270343648.577920.6328554.22-6996.36-18149.351.131.070.0057249.03
524131.5570333747.149990.8546024.1-8258.55-25779.221.211.080.0059344.74
61011.1470343648.5711752.1955542.17-11071.2-52662.341.0610.0001914.44
7-23921.2270363451.4312195.1230659.57-13616.05-57615.060.90.95-0.0041-341.73
810433.3670403057.1413172.8448072.29-17216.01-61506.280.771.020.0016149.05
944134.1670383254.2914972.7745787.23-16400.97-63571.430.911.080.0063630.49
101135677042286014769.7747018.56-18098.69-70649.350.821.220.0161622.39

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.43. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.36%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.028, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrtrail25.0323742878364246.1515814.1631352.43-7901.94-25808.5421.720.0473043.95
atrtrail36.4422224578364246.1515392.4143271.46-7901.94-25808.541.951.670.0412849.3
atrtrail-17.3820709278364246.1514971.4949656.32-7901.94-25808.541.891.620.0372655.02
nilnil-1150216.6170403057.144166.1214449.15-3880.94-15657.231.071.430.028717.38
atrnil39.8520280178275134.6226267.4747028.65-9929.82-29118.012.651.40.0292600.01
atrnil26.4516981578344443.5917894.9531352.43-9968.49-29118.011.81.390.032177.11

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 46.15%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.047, 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:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Jan 2019 (-2.81%), 05 Mar 2019 (5.65%), 13 Jun 2019 (-3.65%), 26 Jun 2019 (-3.96%)
2018223 Feb 2018 (0.54%), 31 Jul 2018 (6.07%)
2017502 Jan 2017 (6.33%), 27 Feb 2017 (-3.1%), 10 May 2017 (-2.05%), 01 Jun 2017 (8.49%), 15 Dec 2017 (0.74%)
2016301 Mar 2016 (3.97%), 30 Jun 2016 (5.64%), 28 Nov 2016 (-2.77%)
2015102 Mar 2015 (9.09%)
2013314 Mar 2013 (-4.44%), 02 Apr 2013 (-2.47%), 27 Jun 2013 (10.24%)
2012107 Jun 2012 (-4.83%)
2011815 Feb 2011 (-3.29%), 10 Mar 2011 (-6.5%), 11 May 2011 (-2.16%), 03 Jun 2011 (-1.72%), 27 Jun 2011 (-2.77%), 06 Sep 2011 (-1.99%), 11 Oct 2011 (-0.01%), 30 Nov 2011 (-0.48%)
2010205 Feb 2010 (7.93%), 14 Jun 2010 (6.14%)
2009120 Feb 2009 (14.42%)
2008408 Feb 2008 (-9.91%), 27 Mar 2008 (14.21%), 23 Jul 2008 (11.69%), 10 Nov 2008 (-12.9%)
2007422 Mar 2007 (8.17%), 27 Aug 2007 (-4.7%), 01 Oct 2007 (-3.63%), 05 Dec 2007 (7.06%)
2006221 Jun 2006 (15.68%), 31 Oct 2006 (-2.89%)
2005604 Jan 2005 (-2.83%), 28 Jan 2005 (-4.04%), 31 Jan 2005 (-1.14%), 13 Apr 2005 (-3.8%), 25 Apr 2005 (7.93%), 08 Nov 2005 (9.83%)
2004718 Feb 2004 (-5.57%), 26 Mar 2004 (9.94%), 14 Jun 2004 (-4.29%), 07 Jul 2004 (-3.95%), 19 Jul 2004 (-3.89%), 20 Jul 2004 (8.19%), 17 Dec 2004 (-0.88%)
2003325 Mar 2003 (-3.11%), 26 Mar 2003 (-3.28%), 04 Apr 2003 (1.14%)
2002403 Jun 2002 (6.87%), 06 Aug 2002 (2.74%), 09 Oct 2002 (3.85%), 23 Dec 2002 (4.08%)
2001731 Jan 2001 (-5.01%), 08 Feb 2001 (-3.18%), 27 Feb 2001 (-3.46%), 28 Mar 2001 (-7.13%), 19 Apr 2001 (-2.41%), 10 Jul 2001 (10.73%), 20 Aug 2001 (9.88%)
2000328 Mar 2000 (-12.77%), 24 Aug 2000 (15.09%), 26 Oct 2000 (13.59%)
1999108 Jul 1999 (5.82%)
1998220 Feb 1998 (7.16%), 17 Nov 1998 (-5.2%)
1997230 Sep 1997 (-3.57%), 10 Oct 1997 (7.09%)
1996322 Jul 1996 (8.56%), 21 Aug 1996 (-3.43%), 03 Oct 1996 (10.1%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play