Study: Buy BALRAMCHIN 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 BALRAMCHIN 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 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
134925.5374363848.655403.4523981.37-4199.96-15973.841.291.220.015471.97
2-56478.274344045.956257.9420694.44-6731.21-26996.730.930.79-0.019-763.22
343401.274383651.358393.7330033-7654.46-28584.771.11.160.012586.5
429675.0374353947.310611.3737832.31-8762.12-29425.51.211.090.0066401.01
57077.1274413355.419205.8940374.04-11223.17-27386.540.821.020.001595.64
61114037437375012655.7147964.8-9644.82-31893.691.311.310.0221505.44
71240997437375013557.0746094.61-10203.05-30829.421.331.330.0231677.01
858824.2374353947.314586.1237888.2-11581.79-36306.731.261.130.01794.92
916204974383651.3515676.1450240.62-12045.68-37715.181.31.370.0262189.85
1022801774423256.7615506.9156314.7-13227.29-37558.691.171.540.0373081.31
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
atrnil310.9155042582305236.5937612.4233028-11114.37-302903.381.950.0436712.5
atrnil28.3333438182364643.923860.22155352-11404.07-302902.091.640.0364077.81
atrtrail36.0419872084364842.8617920.3857761.19-9300.28-36797.031.931.450.0292365.72
atrtrail25.311119584364842.8615489.1238507.46-9300.28-36797.031.671.250.0191323.75
atrtrail-16.810172184354941.6715691.6563736.83-9132.39-36797.031.721.230.0161210.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.95. 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 36.59%, which is not acceptable. Avoid this strategy. Average return per trade is 3.36%, which is very good. Sharpe Ratio is 0.043, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BALRAMCHIN Performance, Profit Factor:1.95

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018404 Jan 2018 (-3.57%), 08 Feb 2018 (-5.83%), 22 Mar 2018 (-7.77%), 04 Apr 2018 (-7.27%)
2017222 Jun 2017 (-3.16%), 13 Oct 2017 (10.07%)
2016114 Sep 2016 (12.63%)
2015507 Apr 2015 (-4.18%), 18 May 2015 (-4.0%), 10 Jun 2015 (-5.07%), 19 Jun 2015 (-4.74%), 07 Sep 2015 (21.0%)
2014328 Aug 2014 (-5.05%), 07 Oct 2014 (-5.56%), 29 Dec 2014 (-4.43%)
2013424 Jan 2013 (12.16%), 03 Apr 2013 (12.79%), 05 Jul 2013 (-3.77%), 14 Aug 2013 (-4.83%)
2012425 May 2012 (-5.02%), 21 Jun 2012 (11.55%), 03 Dec 2012 (-3.48%), 31 Dec 2012 (-4.61%)
2011715 Feb 2011 (-5.78%), 04 Mar 2011 (-5.11%), 02 Jun 2011 (-3.96%), 24 Jun 2011 (11.39%), 30 Aug 2011 (-4.79%), 12 Oct 2011 (13.84%), 26 Dec 2011 (-7.08%)
2010317 Feb 2010 (-4.25%), 29 Mar 2010 (-4.77%), 17 May 2010 (-5.66%)
2009123 Mar 2009 (19.0%)
2008505 Feb 2008 (-12.8%), 01 Apr 2008 (28.88%), 16 Jun 2008 (-6.77%), 17 Jul 2008 (22.49%), 03 Nov 2008 (-15.14%)
2007411 Jan 2007 (12.97%), 27 Feb 2007 (-5.94%), 28 Feb 2007 (-6.71%), 29 Aug 2007 (17.96%)
2006419 Jun 2006 (-12.74%), 03 Aug 2006 (22.83%), 05 Sep 2006 (-5.81%), 05 Dec 2006 (-4.73%)
2005113 Apr 2005 (116.51%)
2004210 Jun 2004 (-7.32%), 28 Jun 2004 (18.72%)
2003107 Feb 2003 (10.16%)
2002407 Jun 2002 (16.32%), 06 Sep 2002 (-3.47%), 12 Sep 2002 (-3.32%), 11 Nov 2002 (-4.36%)
2001519 Apr 2001 (14.95%), 14 Aug 2001 (-3.46%), 11 Sep 2001 (-3.48%), 19 Sep 2001 (-3.91%), 05 Nov 2001 (-3.26%)
2000711 Feb 2000 (-6.6%), 14 Feb 2000 (-7.28%), 25 Feb 2000 (-7.05%), 15 Mar 2000 (-6.85%), 18 May 2000 (-4.16%), 26 May 2000 (10.89%), 08 Dec 2000 (-2.36%)
1999319 Feb 1999 (15.92%), 19 Mar 1999 (-5.11%), 12 Aug 1999 (10.24%)
1998427 Feb 1998 (10.03%), 26 Jun 1998 (-7.28%), 20 Aug 1998 (13.28%), 30 Oct 1998 (16.04%)
1997316 Oct 1997 (12.14%), 08 Dec 1997 (-4.03%), 11 Dec 1997 (13.59%)
1996429 May 1996 (27.47%), 14 Aug 1996 (-5.35%), 16 Aug 1996 (-5.89%), 10 Dec 1996 (13.58%)
1995129 Nov 1995 (14.77%)



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