Study: Buy BHEL 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 BHEL 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 BHEL 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
158179.2179433654.434319.5722802.3-3543.39-9205.381.221.460.029736.45
279689.1679374246.846966.8123800.38-4240.06-17183.61.641.450.0281008.72
381876.679364345.579730.2345527.83-6242.13-22551.721.561.310.021036.41
412395.9979354444.39714.9630710.17-7446.09-18529.831.31.040.003156.91
5-26310.5979324740.5110419.441919.39-7653.86-28068.971.360.93-0.006-333.05
6-45871.579324740.5110795.2539692.9-8325.94-38827.591.30.88-0.0096-580.65
7-54790.879354444.39754.7541381.96-9004.71-32754.831.080.86-0.011-693.55
8-28849.5479374246.8410378.1538234.17-9829.55-32488.611.060.93-0.0057-365.18
9-53334.9679384148.110906.735163.15-11409.5-51051.690.960.89-0.0095-675.13
102096.5379413851.911473.1841458.73-12323.79-46060.610.9310.0003426.54

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 54.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, which is low, don't trade solely on the basis of this study.

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-1158179.2179433654.434319.5722802.3-3543.39-9205.381.221.460.029736.45
atrnil38.9616073090256527.7828034.7950949.26-8309.84-17777.973.371.30.0211785.89
atrnil26.9366745.5490296132.2219322.0335555.94-8091.69-16508.942.391.140.011741.62
atrtrail24.37-18017.9192286430.4312929.1635555.94-5938.04-16269.312.180.95-0.0038-195.85
atrtrail35.08-25971.9492286430.4312645.0948563.91-5938.04-16269.312.130.93-0.0052-282.3
atrtrail-15.37-10251892286430.439911.2930186.45-5938.04-16269.311.670.73-0.025-1114.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 54.43%, which is not acceptable. Avoid this strategy. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
BHEL Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019319 Feb 2019 (1.13%), 22 May 2019 (1.99%), 27 Aug 2019 (-2.56%)
2018702 Apr 2018 (3.94%), 08 Jun 2018 (-0.13%), 22 Jun 2018 (-2.2%), 10 Jul 2018 (-0.98%), 11 Oct 2018 (0.0%), 28 Nov 2018 (1.79%), 14 Dec 2018 (1.65%)
2017214 Jun 2017 (0.47%), 30 Aug 2017 (0.9%)
2016601 Feb 2016 (-3.89%), 02 Mar 2016 (6.39%), 30 May 2016 (-0.17%), 13 Jun 2016 (0.87%), 05 Dec 2016 (-0.43%), 30 Dec 2016 (1.07%)
2015410 Apr 2015 (3.43%), 15 May 2015 (1.56%), 14 Sep 2015 (-0.63%), 30 Nov 2015 (0.23%)
2014122 Sep 2014 (-2.35%)
2013420 Feb 2013 (-1.78%), 07 Mar 2013 (0.85%), 03 Apr 2013 (-2.54%), 01 Jul 2013 (2.43%)
2012209 Apr 2012 (-2.29%), 14 May 2012 (-0.25%)
20111027 Jan 2011 (-3.67%), 22 Feb 2011 (-1.87%), 23 Mar 2011 (2.71%), 16 May 2011 (0.23%), 10 Jun 2011 (0.03%), 18 Aug 2011 (-4.6%), 29 Sep 2011 (-1.6%), 31 Oct 2011 (0.52%), 01 Dec 2011 (2.24%), 27 Dec 2011 (2.64%)
2010231 May 2010 (-1.66%), 06 Dec 2010 (0.05%)
2009216 Nov 2009 (0.11%), 09 Dec 2009 (2.86%)
2008602 Jan 2008 (-1.92%), 26 Mar 2008 (1.44%), 15 Apr 2008 (-2.86%), 13 Jun 2008 (-1.97%), 31 Oct 2008 (3.87%), 24 Nov 2008 (-1.41%)
2007121 Mar 2007 (5.85%)
2006116 Jun 2006 (3.21%)
2004104 Jun 2004 (-1.78%)
2002310 Jan 2002 (0.89%), 08 Oct 2002 (-1.77%), 13 Nov 2002 (-1.24%)
2001628 Mar 2001 (1.79%), 16 Apr 2001 (11.4%), 03 Jul 2001 (1.79%), 20 Jul 2001 (-1.23%), 17 Aug 2001 (-2.73%), 26 Sep 2001 (-0.08%)
2000303 May 2000 (3.28%), 17 Aug 2000 (1.87%), 18 Oct 2000 (-1.64%)
1999325 Feb 1999 (-1.2%), 23 Mar 1999 (-0.87%), 21 Dec 1999 (3.44%)
1998505 Feb 1998 (0.72%), 29 Jun 1998 (0.02%), 10 Aug 1998 (0.76%), 28 Oct 1998 (-0.99%), 22 Dec 1998 (1.67%)
1997326 Sep 1997 (0.6%), 28 Nov 1997 (4.22%), 16 Dec 1997 (2.34%)
1996128 Aug 1996 (-0.09%)
1995312 Sep 1995 (-4.55%), 29 Sep 1995 (-3.85%), 08 Dec 1995 (3.61%)



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