Study: Buy AXISBANK 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 AXISBANK 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 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
148987.1254332161.113760.5210678.41-3576.67-9954.751.051.650.044907.17
230905.4454292553.75429.3116663.47-5061.78-21196.731.071.240.018572.32
371611.1954342062.966255.4820893.22-7053.75-21996.230.891.510.0351326.13
472739.2354312357.418461.1522709.01-8241.58-22814.071.031.380.0281347.02
579403.1654302455.5610165.1428380.93-9397.96-26059.61.081.350.0271470.43
681987.1754302455.5610991.8732328.85-10323.7-36771.521.061.330.0261518.28
713842154312357.4112309.8432433.22-10573.21-48791.391.161.570.0372563.36
822728654342062.9614309.6487116.56-12962.08-55049.671.11.880.0454209
929392354322259.2618073.96106135-12929.25-58427.151.42.030.0525443.02
1028429854302455.5619923.5182822.09-13058.62-65745.031.531.910.0515264.78
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
AXISBANK Performance, X=9, Profit Factor:2.03

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Aug 2019 (-2.15%)
2018313 Mar 2018 (-4.55%), 28 Mar 2018 (7.49%), 30 Apr 2018 (6.69%)
2017304 Jul 2017 (0.41%), 23 Aug 2017 (-1.95%), 13 Sep 2017 (2.53%)
2016508 Feb 2016 (-3.93%), 20 Oct 2016 (-11.71%), 08 Nov 2016 (-4.09%), 09 Dec 2016 (-1.94%), 30 Dec 2016 (1.17%)
2015411 Sep 2015 (5.29%), 14 Oct 2015 (-2.54%), 16 Nov 2015 (-2.55%), 22 Dec 2015 (-2.29%)
2014112 Feb 2014 (10.46%)
2013315 Apr 2013 (15.34%), 28 Jun 2013 (-2.83%), 06 Sep 2013 (15.74%)
2012204 Jan 2012 (10.27%), 24 May 2012 (2.26%)
2011512 Jan 2011 (-1.23%), 26 May 2011 (1.68%), 05 Sep 2011 (1.7%), 11 Oct 2011 (11.0%), 02 Dec 2011 (-10.13%)
2010307 Jun 2010 (-0.27%), 03 Dec 2010 (-6.88%), 21 Dec 2010 (3.74%)
2009209 Feb 2009 (-11.78%), 16 Mar 2009 (25.84%)
2008528 Mar 2008 (-3.62%), 18 Jun 2008 (-20.87%), 09 Jul 2008 (9.86%), 05 Nov 2008 (-29.21%), 03 Dec 2008 (14.73%)
2007214 Mar 2007 (4.77%), 25 Apr 2007 (11.94%)
2006227 Apr 2006 (7.53%), 20 Jun 2006 (2.64%)
2004208 Jun 2004 (3.7%), 31 Aug 2004 (1.14%)
2003201 Apr 2003 (7.27%), 26 Sep 2003 (16.89%)
2002204 Jun 2002 (13.09%), 24 Sep 2002 (1.83%)
2001423 Mar 2001 (9.5%), 13 Jul 2001 (-12.74%), 06 Aug 2001 (-1.94%), 27 Sep 2001 (-3.0%)
1999317 Apr 1999 (1.15%), 03 May 1999 (8.46%), 24 Nov 1999 (53.07%)

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-16.0515495261223936.0718657.3191135.47-6551.52-19580.612.851.610.0312540.19
atrtrail35.210446561223936.0716362.4750858.16-6551.52-19580.612.51.410.0251712.54
atrnil39.431282456018423029137.0550858.16-9433.86-24278.053.091.320.0252137.41
atrnil26.0310403261233837.719759.6648556.1-9222.11-22547.342.141.30.0241705.44
atrtrail24.3869232.1961223936.0714760.9748556.1-6551.52-19580.612.251.270.0191134.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.61. 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 36.07%, which is not acceptable. Avoid this strategy. Average return per trade is 1.27%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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:1.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Aug 2019 (-1.7%)
2018313 Mar 2018 (-2.24%), 28 Mar 2018 (-2.92%), 30 Apr 2018 (3.79%)
2017304 Jul 2017 (-1.03%), 23 Aug 2017 (-0.52%), 13 Sep 2017 (3.05%)
2016808 Feb 2016 (-3.86%), 20 Oct 2016 (-2.69%), 21 Oct 2016 (-2.14%), 08 Nov 2016 (-2.71%), 09 Nov 2016 (0.77%), 09 Dec 2016 (-2.79%), 14 Dec 2016 (-0.55%), 30 Dec 2016 (-0.72%)
2015511 Sep 2015 (5.57%), 14 Oct 2015 (3.17%), 16 Nov 2015 (-2.9%), 27 Nov 2015 (-2.39%), 22 Dec 2015 (0.51%)
2014212 Feb 2014 (-2.71%), 17 Feb 2014 (24.52%)
2013315 Apr 2013 (13.54%), 28 Jun 2013 (-1.29%), 06 Sep 2013 (13.0%)
2012204 Jan 2012 (21.9%), 24 May 2012 (-0.32%)
2011612 Jan 2011 (-3.25%), 20 Jan 2011 (-0.59%), 26 May 2011 (3.2%), 05 Sep 2011 (-1.08%), 11 Oct 2011 (2.44%), 02 Dec 2011 (-0.39%)
2010307 Jun 2010 (0.37%), 03 Dec 2010 (-3.8%), 21 Dec 2010 (0.62%)
2009209 Feb 2009 (-1.51%), 16 Mar 2009 (-2.5%)
2008628 Mar 2008 (-8.98%), 08 Apr 2008 (18.52%), 18 Jun 2008 (-6.64%), 09 Jul 2008 (-6.39%), 05 Nov 2008 (-9.79%), 03 Dec 2008 (16.38%)
2007214 Mar 2007 (-7.55%), 25 Apr 2007 (-4.75%)
2006227 Apr 2006 (-4.78%), 20 Jun 2006 (1.37%)
2004208 Jun 2004 (-3.63%), 31 Aug 2004 (1.13%)
2003201 Apr 2003 (5.8%), 26 Sep 2003 (17.11%)
2002204 Jun 2002 (-5.14%), 24 Sep 2002 (2.89%)
2001423 Mar 2001 (-8.28%), 13 Jul 2001 (-4.31%), 06 Aug 2001 (-1.07%), 27 Sep 2001 (-6.86%)
1999317 Apr 1999 (-2.3%), 30 Apr 1999 (-0.71%), 24 Nov 1999 (45.57%)



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