Study: Buy BALRAMCHIN when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
119091.95401822454979.1512686.88-3206.03-8263.541.551.270.019477.3
283112.65402218557131.1932190.34-4098.53-10565.341.742.130.0542077.82
352543.27402020508346.3930197.41-5719.23-17183.951.461.460.031313.58
466100.13402218558801.829437.52-7085.52-28690.391.241.520.0341652.5
581810.8440251562.58847.1528679.25-9291.19-29640.210.951.590.0372045.27
631578.444020205010758.4733714.63-9179.55-26998.411.171.170.013789.46
723115.744020205011195.1940251.57-10039.4-27210.161.121.120.0088577.89
845643.954020205012930.7257106.92-10648.53-33139.231.211.210.0151141.1
975448.4340211952.513804.959874.21-11287.08-30704.081.221.350.0231886.21
10-25686.8340172342.514717.6756100.63-11995.1-41206.031.230.91-0.0076-642.17
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=2, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017127 Jan 2017 (-2.07%)
2016211 May 2016 (1.74%), 06 Jun 2016 (2.74%)
2015208 Apr 2015 (-5.28%), 16 Nov 2015 (16.1%)
2014131 Mar 2014 (4.48%)
2013115 Oct 2013 (-0.11%)
2012106 Aug 2012 (-2.1%)
2010307 Sep 2010 (-1.55%), 28 Sep 2010 (-0.38%), 08 Nov 2010 (2.22%)
2009205 May 2009 (-0.45%), 19 May 2009 (2.29%)
2008117 Jun 2008 (-0.67%)
2007301 Jun 2007 (-3.45%), 30 Aug 2007 (-2.44%), 26 Dec 2007 (1.04%)
2006229 Mar 2006 (3.05%), 20 Apr 2006 (-2.37%)
2005201 Feb 2005 (10.06%), 04 Mar 2005 (0.53%)
2004123 Dec 2004 (-1.16%)
2003108 May 2003 (1.03%)
2002405 Mar 2002 (1.66%), 16 Apr 2002 (1.55%), 07 May 2002 (4.06%), 06 Jun 2002 (0.64%)
2000204 Jul 2000 (-0.9%), 11 Dec 2000 (-0.63%)
1999111 Nov 1999 (1.87%)
1998205 May 1998 (-1.8%), 29 Jun 1998 (-5.19%)
1997810 Feb 1997 (0.52%), 01 Mar 1997 (7.21%), 21 Apr 1997 (6.92%), 09 Jun 1997 (1.39%), 23 Jun 1997 (2.4%), 16 Jul 1997 (-4.33%), 05 Aug 1997 (-2.02%), 17 Oct 1997 (4.94%)

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
atrtrail23.9611351846212545.6513451.1223477.12-6758.23-13888.021.991.670.0452467.78
atrtrail-14.8897193.7442192345.2412894.1356655.2-6425.86-13888.022.011.660.0342314.14
atrtrail34.4210110243202346.5112763.2135215.68-6702.7-13888.021.91.660.0392351.21
atrnil25.240393.6746172936.9617364.1123477.12-8786.08-14941.191.981.160.014878.12
atrnil36.9543151.5843123127.9126555.735215.68-8887.64-14941.192.991.160.0131003.53

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 45.65%, which is not acceptable. Avoid this strategy. Average return per trade is 1.23%, which is not very high, don't trade solely on the basis of this study. 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.
BALRAMCHIN Performance, Profit Factor:1.67

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017227 Jan 2017 (5.65%), 02 Feb 2017 (-0.16%)
2016211 May 2016 (-1.02%), 06 Jun 2016 (8.06%)
2015208 Apr 2015 (-4.14%), 16 Nov 2015 (10.7%)
2014231 Mar 2014 (7.53%), 01 Apr 2014 (-3.95%)
2013115 Oct 2013 (6.84%)
2012106 Aug 2012 (2.61%)
2010507 Sep 2010 (-3.08%), 20 Sep 2010 (-3.12%), 28 Sep 2010 (-3.14%), 29 Sep 2010 (1.19%), 08 Nov 2010 (-0.92%)
2009205 May 2009 (4.57%), 19 May 2009 (1.3%)
2008117 Jun 2008 (-6.41%)
2007301 Jun 2007 (-5.35%), 30 Aug 2007 (11.74%), 26 Dec 2007 (2.65%)
2006229 Mar 2006 (2.12%), 20 Apr 2006 (-4.62%)
2005201 Feb 2005 (9.23%), 04 Mar 2005 (-3.25%)
2004123 Dec 2004 (9.16%)
2003208 May 2003 (8.08%), 09 May 2003 (-4.49%)
2002405 Mar 2002 (-2.66%), 16 Apr 2002 (-0.26%), 07 May 2002 (-4.47%), 06 Jun 2002 (11.08%)
2000204 Jul 2000 (-3.0%), 11 Dec 2000 (-2.61%)
1999111 Nov 1999 (11.32%)
1998205 May 1998 (-6.01%), 29 Jun 1998 (-6.94%)
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%)



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