Study: Buy BEL 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 BEL 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 BEL 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
1243360118714760.175619.0620000-3310.5-14189.841.72.560.072062.37
2336066118694958.477449.0233953.49-3630.95-16637.172.052.890.0692848.02
3499399118665255.9311593.764480.27-5111.26-18053.12.272.880.0664232.19
4628846118665255.9314023.8661395.35-5706.33-20744.192.463.120.0745329.2
5691347118694958.4714962.2180974.84-6960.1-28837.212.153.030.0725858.88
6666104118685057.6315003.2674930.52-7082.35-27610.622.122.880.0735644.95
7790421118734561.8615637.5772798.74-7802.71-27209.323.250.0836698.48
8692018118724661.0215564.494654.09-9317.8-38584.071.672.610.0675864.56
9671036118714760.1715349.8771540.88-8910.74-32920.351.722.60.0715686.75
10720932118694958.4717104.5177672.96-9373.05-38938.051.822.570.076109.6

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 3.25. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.86%, which is good. Average return per trade is 3.35%, which is very good. Sharpe Ratio is 0.083, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
BEL Performance, X=7, Profit Factor:3.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Apr 2019 (-7.49%), 23 Sep 2019 (-6.27%)
2018119 Dec 2018 (1.5%)
2017809 Jan 2017 (3.97%), 09 Mar 2017 (2.61%), 05 Apr 2017 (6.04%), 05 Jul 2017 (2.15%), 18 Aug 2017 (5.12%), 12 Oct 2017 (3.34%), 24 Nov 2017 (-1.38%), 22 Dec 2017 (-3.98%)
2016613 Apr 2016 (1.55%), 27 May 2016 (2.9%), 05 Aug 2016 (-1.5%), 19 Sep 2016 (3.67%), 18 Oct 2016 (-1.74%), 28 Nov 2016 (5.3%)
2015507 Jan 2015 (2.52%), 03 Feb 2015 (2.41%), 01 Apr 2015 (-4.85%), 19 Jun 2015 (-1.16%), 21 Dec 2015 (9.0%)
2014514 May 2014 (22.95%), 24 Jun 2014 (8.12%), 18 Aug 2014 (14.31%), 27 Oct 2014 (8.56%), 25 Nov 2014 (28.5%)
2013505 Mar 2013 (-5.21%), 03 Apr 2013 (-4.59%), 03 Jun 2013 (3.44%), 12 Aug 2013 (-1.11%), 31 Dec 2013 (-1.69%)
2012607 Feb 2012 (2.27%), 28 Feb 2012 (-1.59%), 13 Mar 2012 (-2.8%), 19 Apr 2012 (-4.51%), 08 Aug 2012 (-1.44%), 01 Oct 2012 (0.1%)
2011107 Dec 2011 (-3.73%)
2010713 Jan 2010 (-0.94%), 16 Feb 2010 (-3.43%), 08 Mar 2010 (0.9%), 06 Jul 2010 (-0.56%), 03 Sep 2010 (4.75%), 04 Oct 2010 (1.89%), 22 Dec 2010 (0.01%)
2009930 Jan 2009 (8.16%), 30 Mar 2009 (7.52%), 04 May 2009 (1.04%), 18 May 2009 (20.09%), 20 Jul 2009 (-6.25%), 04 Aug 2009 (-1.91%), 22 Sep 2009 (13.87%), 05 Nov 2009 (-1.33%), 24 Nov 2009 (9.89%)
2008315 May 2008 (-9.27%), 17 Jun 2008 (-9.95%), 09 Jul 2008 (-3.71%)
20071024 Jan 2007 (9.66%), 23 Mar 2007 (2.15%), 28 May 2007 (3.38%), 22 Jun 2007 (1.38%), 27 Aug 2007 (2.9%), 11 Oct 2007 (-6.63%), 25 Oct 2007 (-4.37%), 14 Nov 2007 (-6.17%), 07 Dec 2007 (-0.92%), 24 Dec 2007 (12.06%)
2006516 Jan 2006 (18.43%), 03 May 2006 (-4.28%), 27 Jul 2006 (-7.98%), 10 Aug 2006 (5.55%), 03 Oct 2006 (-1.01%)
2005707 Apr 2005 (4.71%), 06 May 2005 (2.08%), 06 Jul 2005 (0.29%), 03 Aug 2005 (-1.84%), 06 Sep 2005 (3.61%), 27 Sep 2005 (8.7%), 08 Nov 2005 (7.24%)
2004508 Mar 2004 (-10.52%), 26 Aug 2004 (3.24%), 15 Sep 2004 (4.43%), 04 Oct 2004 (-1.43%), 02 Nov 2004 (1.68%)
2003710 Jan 2003 (-0.48%), 03 Apr 2003 (13.68%), 13 Jun 2003 (4.65%), 31 Jul 2003 (2.87%), 30 Sep 2003 (3.57%), 31 Oct 2003 (-4.04%), 27 Nov 2003 (5.73%)
2002709 Jan 2002 (32.13%), 05 Feb 2002 (4.6%), 02 Apr 2002 (10.38%), 24 Apr 2002 (24.11%), 12 Jun 2002 (-4.2%), 23 Jul 2002 (-13.6%), 07 Aug 2002 (-0.89%)
2001505 Feb 2001 (3.35%), 03 Jul 2001 (4.33%), 16 Aug 2001 (5.04%), 24 Sep 2001 (3.41%), 22 Nov 2001 (5.28%)
2000403 Jan 2000 (19.28%), 27 Jan 2000 (18.31%), 29 May 2000 (0.42%), 19 Jun 2000 (-1.03%)
1999611 Feb 1999 (15.81%), 06 Jul 1999 (4.32%), 23 Jul 1999 (4.33%), 18 Aug 1999 (14.0%), 07 Oct 1999 (36.4%), 03 Dec 1999 (-0.29%)
1998427 Feb 1998 (-0.21%), 21 May 1998 (23.68%), 31 Oct 1998 (-13.27%), 30 Dec 1998 (11.11%)

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
nilnil-17790421118734561.8615637.5772798.74-7802.71-27209.323.250.0836698.48
atrnil38.7782180129537641.0926556.9847901.34-8228.16-15167.173.232.250.0716063.41
atrnil25.27634215139697049.6417346.3631934.23-8038.34-14307.132.162.130.0724562.7
atrtrail24.08357998139647546.0412757.4230592.56-6113.03-13577.242.091.780.052575.52
atrtrail34.71348047138607843.4813484.9245888.84-5910.87-13577.242.281.750.0412522.08
atrtrail-15.24264247137607743.812036.5364919.34-5947.34-13577.242.021.580.0321928.81

In the table above, row 1 shows the best exit criterion. Profit factor is 3.25. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.86%, which is good. Average return per trade is 3.35%, which is very good. Sharpe Ratio is 0.083, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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