Study: Buy BEL 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 BEL 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 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
1-75910.3371294240.853163.3810236.49-3991.63-11472.870.790.55-0.051-1069.16
2-11342771195226.767322.7319698.34-4856.9-18454.981.510.55-0.048-1597.56
3-20783571195226.767957.1932160.22-6904.26-28418.081.150.42-0.065-2927.25
4-11423771254635.218583.8340187.92-7148.54-30508.471.20.65-0.031-1608.97
5-17687671254635.219652.8636446.06-9091.25-31412.431.060.58-0.044-2491.21
6-22626471234832.3910830.5331797.58-9903.45-36930.461.090.52-0.052-3186.81
7-12855771284339.4411086.2851235.96-10208.67-32579.191.090.71-0.026-1810.66
8-37914.0371314043.6612952.3153932.58-10985.89-38235.291.180.91-0.0068-534
9-55221.171314043.6615038.8469302.33-13035.63-45701.361.150.89-0.0085-777.76
10-37976.8571323945.0716041.8852134.83-14136.34-50226.241.130.93-0.0058-534.89
Although, strategy looks good but profit factor on day 3 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
atrnil26.222046.5781265532.119014.2139356.92-8587.69-23286.722.211.050.0041272.18
atrnil39.51-25055.0179176221.5230095.259035.38-8656.02-23286.723.480.95-0.0039-317.15
atrtrail24.77-79235.4281255630.8612953.1739356.92-7197.58-18306.991.80.8-0.018-978.22
atrtrail35.32-16015981235828.411078.6241366.05-7154.61-18306.991.550.61-0.04-1977.27
atrtrail-15.59-21538981235828.48677.3326085.7-7154.61-18306.991.210.48-0.065-2659.12

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 32.1%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, 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.
BEL Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019321 Feb 2019 (7.45%), 15 May 2019 (6.19%), 09 Aug 2019 (-4.67%)
20181030 Jan 2018 (-2.41%), 26 Feb 2018 (-3.43%), 03 Apr 2018 (-3.0%), 08 May 2018 (-2.68%), 28 May 2018 (-3.64%), 06 Jun 2018 (-3.89%), 06 Jul 2018 (-4.05%), 23 Jul 2018 (9.49%), 01 Oct 2018 (-5.82%), 18 Dec 2018 (8.17%)
2017221 Jun 2017 (-2.28%), 22 Jun 2017 (-2.35%)
2016408 Feb 2016 (-3.63%), 04 Mar 2016 (-4.07%), 02 Sep 2016 (-1.81%), 16 Sep 2016 (3.71%)
2015306 May 2015 (-4.72%), 11 May 2015 (9.62%), 10 Sep 2015 (-4.24%)
2014401 Jan 2014 (-2.32%), 21 Jan 2014 (-2.26%), 12 Feb 2014 (-2.59%), 11 Aug 2014 (8.96%)
2013302 Apr 2013 (7.03%), 08 Aug 2013 (-3.63%), 10 Oct 2013 (-2.99%)
20121104 Jan 2012 (6.84%), 20 Apr 2012 (-2.85%), 31 May 2012 (-3.05%), 07 Aug 2012 (-4.13%), 29 Aug 2012 (-2.91%), 21 Sep 2012 (-2.68%), 24 Sep 2012 (-2.88%), 28 Sep 2012 (6.38%), 22 Nov 2012 (-2.71%), 23 Nov 2012 (5.6%), 19 Dec 2012 (5.93%)
2011524 Feb 2011 (-3.2%), 22 Mar 2011 (5.23%), 09 Jun 2011 (-2.39%), 05 Sep 2011 (-3.49%), 11 Oct 2011 (-3.35%)
2010311 May 2010 (-3.09%), 09 Nov 2010 (-2.64%), 22 Nov 2010 (5.31%)
2008918 Feb 2008 (-7.35%), 12 Mar 2008 (-6.7%), 04 Apr 2008 (14.51%), 16 Jun 2008 (-5.39%), 10 Jul 2008 (-5.97%), 01 Sep 2008 (7.7%), 30 Sep 2008 (-4.65%), 04 Nov 2008 (14.98%), 02 Dec 2008 (13.79%)
2007124 Aug 2007 (8.51%)
2006319 Jun 2006 (18.65%), 17 Nov 2006 (-3.0%), 20 Nov 2006 (6.3%)
2005131 Jan 2005 (-5.3%)
2004511 Feb 2004 (-5.3%), 05 Mar 2004 (-4.39%), 30 Mar 2004 (9.02%), 27 May 2004 (-5.92%), 10 Jun 2004 (-6.06%)
2002107 Oct 2002 (-6.13%)
2001227 Mar 2001 (-8.91%), 25 Sep 2001 (11.26%)
2000330 Mar 2000 (-11.64%), 16 Aug 2000 (10.72%), 20 Oct 2000 (-5.55%)
1999205 May 1999 (19.68%), 06 Dec 1999 (16.13%)
1998509 Jul 1998 (-7.71%), 11 Aug 1998 (-6.42%), 30 Oct 1998 (-5.49%), 08 Dec 1998 (-4.46%), 09 Dec 1998 (-4.89%)
1997109 Oct 1997 (-5.12%)



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