Study: Buy BIOCON 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 BIOCON 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 BIOCON 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
1-21559.75108495945.373507.1515531-3278.13-14304.791.070.89-0.011-199.63
2-89223.64108426638.894643.1434376.92-4306.6-20222.371.080.69-0.033-826.14
3-108908108505846.34182.3716513.2-5483.21-22413.790.760.66-0.042-1008.41
4-83050.64108466242.595486.2237630.45-5409.94-24895.261.010.75-0.026-768.99
5-103265108466242.596004.0225168.82-6120.15-22462.130.980.73-0.032-956.15
6-27925.08108505846.37416.7723204.42-6875.23-24137.931.080.93-0.0073-258.57
7-11665.87108535549.078028.6631168.83-7948.82-28794.711.010.97-0.0027-108.02
851405.271085454508637.239982.02-7685.25-30732.391.121.120.011475.97
953862.14107545350.478911.3245794.97-8063.19-30744.441.111.130.011503.38
1087229.41107555251.49846.4249048.5-8737-33406.511.131.190.016815.23
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
atrnil37.524520.3311629872520280.6141510.89-6478.36-12973.443.131.040.0045211.38
atrnil25.63-3632.9122408232.7913216.9627673.93-6491.6-12973.442.040.99-0.00079-29.78
atrtrail24.39-6132.99124398531.4510894.0627673.93-5070.6-10878.442.150.99-0.0015-49.46
atrtrail34.93-32149.57121378430.5810540.1534018.4-5025.42-10878.442.10.92-0.0075-265.7
atrtrail-15.71-60209.9912036843010053.4855969-5025.42-10878.4420.86-0.014-501.75

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0045, 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.
BIOCON Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019608 Jan 2019 (7.3%), 12 Mar 2019 (-2.19%), 10 Apr 2019 (-2.1%), 25 Apr 2019 (-1.86%), 29 Aug 2019 (-4.29%), 03 Oct 2019 (-3.52%)
20181022 Jan 2018 (-3.22%), 28 Feb 2018 (-3.86%), 03 Apr 2018 (10.01%), 25 May 2018 (-3.11%), 22 Jun 2018 (-3.24%), 22 Oct 2018 (-4.1%), 31 Oct 2018 (-4.58%), 09 Nov 2018 (-3.92%), 04 Dec 2018 (-3.2%), 11 Dec 2018 (-3.21%)
20171006 Jan 2017 (7.39%), 25 Jan 2017 (8.22%), 17 Feb 2017 (-2.58%), 17 Mar 2017 (-2.65%), 26 Apr 2017 (-3.17%), 04 Jul 2017 (-2.8%), 12 Jul 2017 (11.72%), 06 Oct 2017 (8.78%), 03 Nov 2017 (-3.69%), 20 Nov 2017 (13.23%)
2016722 Feb 2016 (-3.34%), 29 Mar 2016 (8.24%), 27 May 2016 (7.16%), 22 Jul 2016 (9.65%), 29 Aug 2016 (8.65%), 23 Sep 2016 (-2.55%), 29 Nov 2016 (-3.12%)
20151103 Feb 2015 (-2.39%), 03 Mar 2015 (-2.79%), 31 Mar 2015 (-3.24%), 18 May 2015 (-3.11%), 09 Jun 2015 (-2.94%), 03 Jul 2015 (-2.52%), 06 Aug 2015 (-2.27%), 14 Aug 2015 (-2.3%), 14 Sep 2015 (-3.04%), 19 Oct 2015 (-2.21%), 19 Nov 2015 (6.54%)
2014518 Feb 2014 (-3.26%), 02 Apr 2014 (-2.52%), 04 Jun 2014 (10.74%), 20 Aug 2014 (-3.24%), 29 Sep 2014 (-3.1%)
20131202 Jan 2013 (-2.44%), 06 Feb 2013 (-2.82%), 13 Mar 2013 (-2.79%), 19 Mar 2013 (-2.94%), 01 Apr 2013 (-3.43%), 05 Jun 2013 (-2.26%), 12 Aug 2013 (-3.59%), 07 Oct 2013 (-2.83%), 24 Oct 2013 (-2.47%), 30 Oct 2013 (7.97%), 27 Nov 2013 (7.43%), 18 Dec 2013 (9.07%)
2012625 Jul 2012 (-2.3%), 23 Aug 2012 (-2.67%), 31 Aug 2012 (8.17%), 03 Oct 2012 (-2.97%), 01 Nov 2012 (8.67%), 04 Dec 2012 (-3.29%)
2011301 Jun 2011 (-3.17%), 01 Jul 2011 (-2.94%), 14 Jul 2011 (-2.76%)
2010428 May 2010 (8.3%), 12 Aug 2010 (7.37%), 27 Sep 2010 (7.07%), 13 Dec 2010 (-3.79%)
2009821 May 2009 (20.76%), 26 Jun 2009 (-6.49%), 03 Aug 2009 (-5.44%), 04 Aug 2009 (-5.74%), 26 Aug 2009 (-5.11%), 08 Sep 2009 (13.99%), 13 Nov 2009 (-4.36%), 03 Dec 2009 (11.52%)
2008401 Jan 2008 (-4.76%), 27 Mar 2008 (17.01%), 12 Jun 2008 (-3.34%), 02 Sep 2008 (-2.99%)
20071218 Jan 2007 (12.72%), 20 Feb 2007 (-4.68%), 15 Mar 2007 (-5.93%), 23 May 2007 (-3.22%), 19 Jun 2007 (-3.26%), 04 Jul 2007 (-3.09%), 31 Jul 2007 (-3.15%), 31 Aug 2007 (-3.02%), 24 Sep 2007 (-3.18%), 01 Oct 2007 (-3.4%), 01 Nov 2007 (15.13%), 14 Dec 2007 (-4.64%)
2006613 Feb 2006 (-2.68%), 17 Apr 2006 (-3.11%), 21 Sep 2006 (-4.01%), 17 Oct 2006 (-2.67%), 29 Nov 2006 (-2.92%), 27 Dec 2006 (-3.22%)
2005804 Jul 2005 (-2.97%), 02 Aug 2005 (-2.87%), 19 Aug 2005 (-2.54%), 29 Aug 2005 (7.4%), 10 Oct 2005 (-3.12%), 11 Nov 2005 (-3.8%), 05 Dec 2005 (-3.02%), 16 Dec 2005 (-2.93%)
2004428 Jun 2004 (13.88%), 31 Aug 2004 (-2.78%), 21 Sep 2004 (-2.52%), 04 Nov 2004 (-2.16%)



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