Study: Buy BALRAMCHIN 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 BALRAMCHIN 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 BALRAMCHIN 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
113673.2111486343.245393.5221032.29-3892.32-19323.671.391.060.0042123.18
2156290111575451.357347.6844272.7-4861.62-23840.351.511.60.0341408.02
3272781111654658.568805.8858791.06-6513.06-27804.621.351.910.0472457.49
4295395111634856.769904.6271598.12-6845.75-31454.641.451.90.0442661.22
5387423111674460.3611545.2282638.7-8775.16-35319.381.3220.0483490.3
6324746111595253.1513390.782583.49-8948.18-45947.41.51.70.0382925.64
7392692111644757.6613531.887054.93-10071.13-32635.531.341.830.0443537.76
8450316111615054.9515089.4583742.75-9402.82-33139.231.61.960.0474056.9
9427406111585352.2516196.5778608.89-9660.28-30704.081.681.830.0443850.5
10364526111565550.4517023.3971134.02-10705.15-41206.031.591.620.0353284.02
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
BALRAMCHIN Performance, X=5, Profit Factor:2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018212 Jul 2018 (-9.1%), 29 Aug 2018 (0.88%)
2017527 Jan 2017 (6.25%), 05 Apr 2017 (-0.42%), 11 May 2017 (-3.43%), 01 Sep 2017 (-0.63%), 23 Nov 2017 (-3.57%)
2016705 Jan 2016 (12.25%), 01 Mar 2016 (16.46%), 11 May 2016 (2.22%), 06 Jun 2016 (6.9%), 29 Jun 2016 (6.38%), 23 Nov 2016 (1.83%), 30 Dec 2016 (7.47%)
2015319 Feb 2015 (-1.31%), 08 Apr 2015 (-7.04%), 16 Nov 2015 (4.13%)
2014231 Mar 2014 (1.79%), 26 Dec 2014 (2.74%)
2013507 Mar 2013 (-2.43%), 04 Apr 2013 (0.52%), 03 May 2013 (2.08%), 15 Oct 2013 (3.98%), 20 Nov 2013 (-3.27%)
2012404 Apr 2012 (3.06%), 08 Jun 2012 (-4.14%), 06 Aug 2012 (4.9%), 11 Oct 2012 (2.62%)
2010504 Jan 2010 (2.04%), 02 Aug 2010 (0.95%), 07 Sep 2010 (-1.49%), 28 Sep 2010 (0.7%), 08 Nov 2010 (-8.58%)
20091016 Jan 2009 (-2.96%), 24 Mar 2009 (8.87%), 05 May 2009 (2.06%), 19 May 2009 (2.71%), 02 Jun 2009 (9.17%), 29 Jun 2009 (-8.52%), 24 Jul 2009 (10.0%), 03 Sep 2009 (-1.68%), 07 Oct 2009 (2.72%), 09 Dec 2009 (-1.7%)
2008212 Mar 2008 (-17.66%), 17 Jun 2008 (-6.98%)
2007912 Jan 2007 (-5.02%), 11 May 2007 (5.81%), 01 Jun 2007 (-2.8%), 29 Jun 2007 (-1.38%), 30 Aug 2007 (3.5%), 24 Oct 2007 (1.33%), 07 Nov 2007 (8.47%), 30 Nov 2007 (6.24%), 26 Dec 2007 (0.65%)
2006407 Mar 2006 (-7.09%), 29 Mar 2006 (4.28%), 20 Apr 2006 (-2.67%), 28 Sep 2006 (-1.14%)
2005501 Feb 2005 (10.04%), 04 Mar 2005 (-1.72%), 20 Sep 2005 (-4.58%), 07 Nov 2005 (-0.28%), 26 Nov 2005 (-5.69%)
2004509 Feb 2004 (2.83%), 01 Apr 2004 (19.74%), 06 Oct 2004 (-5.79%), 04 Nov 2004 (3.54%), 23 Dec 2004 (0.01%)
2003717 Mar 2003 (-1.37%), 08 May 2003 (1.17%), 15 Jul 2003 (-3.6%), 26 Aug 2003 (-7.96%), 03 Oct 2003 (1.5%), 25 Oct 2003 (2.1%), 24 Nov 2003 (18.55%)
2002706 Feb 2002 (2.63%), 04 Mar 2002 (3.62%), 16 Apr 2002 (10.04%), 07 May 2002 (-1.91%), 06 Jun 2002 (7.91%), 02 Jul 2002 (8.14%), 13 Aug 2002 (-5.03%)
2001202 Jan 2001 (-2.32%), 02 Nov 2001 (0.65%)
2000404 Jul 2000 (12.46%), 11 Aug 2000 (0.95%), 26 Oct 2000 (2.27%), 11 Dec 2000 (-2.5%)
1999720 Mar 1999 (-6.35%), 05 May 1999 (10.47%), 08 Jul 1999 (0.54%), 15 Sep 1999 (-4.66%), 07 Oct 1999 (24.09%), 11 Nov 1999 (3.02%), 24 Dec 1999 (-0.37%)
1998602 Mar 1998 (12.7%), 05 May 1998 (-14.82%), 29 Jun 1998 (-11.2%), 21 Aug 1998 (0.41%), 02 Dec 1998 (3.27%), 28 Dec 1998 (2.74%)
1997810 Feb 1997 (1.36%), 01 Mar 1997 (-2.97%), 21 Apr 1997 (14.34%), 09 Jun 1997 (-3.5%), 23 Jun 1997 (4.15%), 16 Jul 1997 (-1.42%), 05 Aug 1997 (1.27%), 17 Oct 1997 (0.74%)
1996212 Feb 1996 (41.32%), 10 Apr 1996 (2.27%)

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
atrtrail24.45325787130646649.2312637.1827547.35-7318.08-20525.151.731.670.0462506.05
atrnil25.77396160126576945.2417955.5632666.44-9091.4-20525.151.981.630.0473144.13
atrtrail-15.75276098122576546.7212953.4576060.6-7111.52-20525.151.821.60.0322263.1
atrnil38.36401855116397733.6228018.8448999.66-8972.46-20525.153.121.580.043464.27
atrtrail35.15230178124586646.7712075.635215.68-7124.34-20525.151.691.490.0321856.28

In the table above, row 1 shows the best exit criterion. Profit factor is 1.67. 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 49.23%, which is not acceptable. Avoid this strategy. Average return per trade is 1.25%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.046, 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.
BALRAMCHIN Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018412 Jul 2018 (-4.52%), 25 Jul 2018 (9.28%), 29 Aug 2018 (-0.99%), 07 Sep 2018 (-2.43%)
2017627 Jan 2017 (5.65%), 02 Feb 2017 (-0.16%), 05 Apr 2017 (6.94%), 11 May 2017 (-3.14%), 01 Sep 2017 (-1.35%), 23 Nov 2017 (-1.79%)
2016705 Jan 2016 (1.04%), 01 Mar 2016 (10.99%), 11 May 2016 (-1.02%), 06 Jun 2016 (8.06%), 29 Jun 2016 (9.06%), 23 Nov 2016 (-2.88%), 30 Dec 2016 (5.68%)
2015419 Feb 2015 (8.17%), 20 Feb 2015 (-3.97%), 08 Apr 2015 (-4.14%), 16 Nov 2015 (10.7%)
2014331 Mar 2014 (7.53%), 01 Apr 2014 (-3.95%), 26 Dec 2014 (9.08%)
2013607 Mar 2013 (-3.93%), 04 Apr 2013 (8.45%), 03 May 2013 (0.72%), 15 Oct 2013 (6.84%), 20 Nov 2013 (-4.25%), 21 Nov 2013 (9.65%)
2012504 Apr 2012 (-4.49%), 12 Apr 2012 (-3.09%), 08 Jun 2012 (-4.67%), 06 Aug 2012 (2.61%), 11 Oct 2012 (7.34%)
2010704 Jan 2010 (-1.15%), 02 Aug 2010 (-2.17%), 07 Sep 2010 (-3.08%), 20 Sep 2010 (-3.12%), 28 Sep 2010 (-3.14%), 29 Sep 2010 (1.19%), 08 Nov 2010 (-0.92%)
20091016 Jan 2009 (-6.0%), 24 Mar 2009 (0.96%), 05 May 2009 (4.57%), 19 May 2009 (1.3%), 02 Jun 2009 (13.77%), 29 Jun 2009 (-5.84%), 24 Jul 2009 (10.66%), 03 Sep 2009 (-2.86%), 07 Oct 2009 (-2.88%), 09 Dec 2009 (0.11%)
2008212 Mar 2008 (-10.26%), 17 Jun 2008 (-6.41%)
2007912 Jan 2007 (-4.77%), 11 May 2007 (2.64%), 01 Jun 2007 (-5.35%), 29 Jun 2007 (-5.22%), 30 Aug 2007 (11.74%), 24 Oct 2007 (2.83%), 07 Nov 2007 (0.8%), 30 Nov 2007 (2.57%), 26 Dec 2007 (2.65%)
2006507 Mar 2006 (-3.82%), 08 Mar 2006 (8.88%), 29 Mar 2006 (2.12%), 20 Apr 2006 (-4.62%), 28 Sep 2006 (8.22%)
2005801 Feb 2005 (9.23%), 04 Mar 2005 (-3.25%), 20 Sep 2005 (-3.46%), 21 Sep 2005 (-4.08%), 28 Sep 2005 (-4.84%), 07 Nov 2005 (-1.88%), 26 Nov 2005 (-3.28%), 07 Dec 2005 (7.24%)
2004609 Feb 2004 (12.89%), 01 Apr 2004 (6.68%), 06 Oct 2004 (-3.34%), 07 Oct 2004 (-3.64%), 04 Nov 2004 (7.03%), 23 Dec 2004 (9.16%)
2003817 Mar 2003 (-4.58%), 08 May 2003 (8.08%), 09 May 2003 (-4.49%), 15 Jul 2003 (-3.93%), 26 Aug 2003 (-6.55%), 03 Oct 2003 (0.32%), 25 Oct 2003 (9.05%), 24 Nov 2003 (0.88%)
2002706 Feb 2002 (1.2%), 04 Mar 2002 (8.22%), 16 Apr 2002 (-0.26%), 07 May 2002 (-4.47%), 06 Jun 2002 (11.08%), 02 Jul 2002 (8.36%), 13 Aug 2002 (-4.92%)
2001302 Jan 2001 (5.22%), 03 Jan 2001 (-2.79%), 02 Nov 2001 (-3.0%)
2000504 Jan 2000 (-4.8%), 04 Jul 2000 (-3.0%), 11 Aug 2000 (0.1%), 26 Oct 2000 (6.44%), 11 Dec 2000 (-2.61%)
1999720 Mar 1999 (-4.93%), 05 May 1999 (8.58%), 08 Jul 1999 (-0.49%), 15 Sep 1999 (-3.92%), 07 Oct 1999 (6.19%), 11 Nov 1999 (11.32%), 24 Dec 1999 (-5.24%)
1998602 Mar 1998 (-3.54%), 05 May 1998 (-6.01%), 29 Jun 1998 (-6.94%), 21 Aug 1998 (8.94%), 02 Dec 1998 (0.95%), 28 Dec 1998 (6.18%)
1997910 Feb 1997 (1.88%), 01 Mar 1997 (6.63%), 03 Mar 1997 (-3.38%), 21 Apr 1997 (10.39%), 09 Jun 1997 (-2.37%), 20 Jun 1997 (-3.84%), 16 Jul 1997 (-3.92%), 05 Aug 1997 (-1.36%), 17 Oct 1997 (8.52%)
1996312 Feb 1996 (9.95%), 13 Feb 1996 (9.8%), 10 Apr 1996 (1.09%)



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