Study: Buy AXISBANK 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 AXISBANK 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 AXISBANK 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
1151147151896258.944264.0916821.91-3683.18-16253.481.161.660.041000.98
2143041150777351.336331.8533504.27-4719.33-21837.561.341.420.027953.61
3207548150836755.337273.3152307.69-5912.49-24634.491.231.520.0331383.65
4259806150836755.337885.9272478.63-5891.42-35538.61.341.660.0361732.04
5385105150925861.339535.9694358.97-8486.27-42217.981.121.780.0412567.37
629661215081695410568.3771111.11-8107.62-36457.871.31.530.0331977.42
724818015078725211453.8159487.18-8961.35-46061.361.281.380.0251654.54
816139015078725212411.1451730.1-11203.87-57397.141.111.20.0151075.93
9280490150826854.6713209.2781345.57-11803.98-63299.241.121.350.0231869.93
10298619150866457.3313273.1288318.04-13169.83-66484.51.011.350.0231990.79
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

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-15.57296553161669540.9913098.3186541.3-5978.26-20919.222.191.520.0281841.95
atrtrail23.98273889170729842.3512007.9633976-6027.39-20919.221.991.460.0341611.11
atrnil25.56297916164709442.6814894.6233976-7922.42-20919.221.881.40.0331816.56
atrtrail34.75227486163679641.112005.1836604.46-6008.97-20919.2221.390.0271395.62
atrnil38.482640801494710231.5423021.840303.93-8019.06-20919.222.871.320.0261772.35

In the table above, row 1 shows the best exit criterion. Profit factor is 1.52. 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 40.99%, which is not acceptable. Avoid this strategy. Average return per trade is 0.92%, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
AXISBANK Performance, Profit Factor:1.52

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019607 Jan 2019 (2.47%), 30 Jan 2019 (3.14%), 06 Mar 2019 (3.32%), 20 May 2019 (1.52%), 01 Jul 2019 (-2.21%), 23 Sep 2019 (-3.37%)
2018717 Jan 2018 (3.53%), 09 Apr 2018 (2.61%), 02 May 2018 (2.51%), 29 May 2018 (-2.52%), 09 Jul 2018 (0.24%), 31 Oct 2018 (3.16%), 19 Dec 2018 (-2.65%)
20171327 Jan 2017 (2.73%), 22 Feb 2017 (-1.98%), 06 Apr 2017 (-1.11%), 26 Apr 2017 (-2.73%), 19 Jun 2017 (-1.94%), 03 Jul 2017 (-2.12%), 13 Jul 2017 (4.17%), 24 Aug 2017 (-1.34%), 14 Sep 2017 (-1.0%), 11 Oct 2017 (0.52%), 31 Oct 2017 (0.22%), 27 Nov 2017 (-2.0%), 19 Dec 2017 (0.19%)
2016722 Jan 2016 (-3.64%), 02 Mar 2016 (6.03%), 20 Apr 2016 (1.76%), 10 May 2016 (-0.5%), 26 May 2016 (1.85%), 04 Jul 2016 (2.75%), 08 Aug 2016 (1.54%)
2015602 Jan 2015 (-1.4%), 19 Jan 2015 (13.37%), 28 Feb 2015 (2.1%), 09 Apr 2015 (-3.25%), 29 Apr 2015 (-0.58%), 22 Jun 2015 (-2.53%)
2014618 Feb 2014 (19.17%), 25 Apr 2014 (25.32%), 18 Jul 2014 (-1.24%), 20 Aug 2014 (-0.27%), 16 Oct 2014 (19.36%), 03 Dec 2014 (-2.05%)
2013803 Jan 2013 (-1.81%), 15 Jan 2013 (-1.84%), 29 Jan 2013 (0.15%), 16 Apr 2013 (7.78%), 16 May 2013 (-2.38%), 01 Jul 2013 (-3.02%), 10 Sep 2013 (7.8%), 29 Nov 2013 (9.09%)
2012814 Mar 2012 (-3.78%), 16 Apr 2012 (-2.44%), 02 Jul 2012 (1.69%), 20 Jul 2012 (-2.5%), 02 Aug 2012 (0.95%), 17 Sep 2012 (-1.47%), 18 Oct 2012 (-0.13%), 26 Nov 2012 (5.64%)
2011614 Feb 2011 (-0.03%), 01 Mar 2011 (-0.95%), 23 Mar 2011 (5.4%), 25 Jul 2011 (-2.4%), 12 Oct 2011 (-1.36%), 05 Dec 2011 (-2.91%)
20101018 Feb 2010 (-2.6%), 26 Mar 2010 (-2.35%), 21 Apr 2010 (0.74%), 13 May 2010 (-2.9%), 04 Jun 2010 (-3.35%), 22 Jun 2010 (-0.54%), 09 Jul 2010 (5.16%), 19 Aug 2010 (-0.79%), 02 Sep 2010 (8.39%), 03 Nov 2010 (-0.67%)
2009826 Jun 2009 (0.88%), 20 Jul 2009 (2.03%), 25 Aug 2009 (-2.31%), 07 Sep 2009 (-3.53%), 30 Sep 2009 (-0.57%), 10 Nov 2009 (-3.04%), 01 Dec 2009 (-2.11%), 31 Dec 2009 (8.91%)
2008702 Jan 2008 (-1.68%), 29 Feb 2008 (-6.64%), 17 Jun 2008 (-6.15%), 01 Sep 2008 (-0.6%), 24 Sep 2008 (-4.27%), 01 Oct 2008 (-6.89%), 04 Nov 2008 (-10.46%)
20071103 Jan 2007 (-3.77%), 12 Jan 2007 (2.72%), 01 Feb 2007 (3.57%), 09 Apr 2007 (-6.61%), 03 May 2007 (6.13%), 18 Jun 2007 (-3.41%), 19 Jun 2007 (-2.4%), 06 Jul 2007 (1.49%), 29 Aug 2007 (4.36%), 15 Oct 2007 (3.66%), 14 Dec 2007 (-3.64%)
2006816 Jan 2006 (8.57%), 03 Mar 2006 (-3.68%), 26 Apr 2006 (-4.57%), 24 Jul 2006 (10.65%), 28 Aug 2006 (-2.61%), 27 Sep 2006 (2.86%), 31 Oct 2006 (-0.78%), 14 Nov 2006 (-0.74%)
2005903 Jan 2005 (-5.08%), 10 Jan 2005 (-4.99%), 18 Jan 2005 (7.69%), 09 Mar 2005 (-0.8%), 22 Apr 2005 (-0.66%), 05 May 2005 (-4.22%), 31 May 2005 (-3.67%), 29 Jul 2005 (1.88%), 06 Sep 2005 (1.74%)
2004920 Jan 2004 (-6.3%), 21 Jan 2004 (-6.87%), 26 Mar 2004 (15.82%), 15 Jul 2004 (-4.96%), 01 Sep 2004 (0.12%), 01 Oct 2004 (16.35%), 09 Nov 2004 (-3.66%), 29 Nov 2004 (-4.12%), 30 Nov 2004 (9.19%)
2003916 Jan 2003 (-4.09%), 19 Feb 2003 (-3.79%), 26 May 2003 (-0.47%), 12 Jun 2003 (-5.33%), 03 Jul 2003 (-4.93%), 04 Jul 2003 (12.0%), 29 Sep 2003 (14.01%), 19 Nov 2003 (-4.47%), 20 Nov 2003 (43.27%)
2002604 Jan 2002 (8.37%), 02 May 2002 (0.93%), 05 Jun 2002 (3.3%), 09 Jul 2002 (-2.12%), 24 Oct 2002 (-3.5%), 11 Nov 2002 (3.05%)
2001218 Jan 2001 (9.86%), 07 Aug 2001 (-4.6%)
2000728 Jan 2000 (40.01%), 29 Mar 2000 (7.34%), 03 May 2000 (-7.37%), 06 Sep 2000 (-1.32%), 18 Oct 2000 (-0.48%), 11 Dec 2000 (-4.16%), 12 Dec 2000 (-3.65%)
1999803 Mar 1999 (-5.2%), 04 Mar 1999 (-4.84%), 16 Apr 1999 (-4.95%), 02 Jun 1999 (0.55%), 23 Jun 1999 (-5.94%), 24 Jun 1999 (4.52%), 19 Aug 1999 (-0.77%), 07 Oct 1999 (-5.54%)



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