Study: Buy BIOCON 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 BIOCON 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 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
131425.0142251759.523162.999793.76-2802.92-6777.691.131.660.052748.21
210825.1842231954.763278.687808.69-3399.18-11645.510.961.170.015257.74
3-14454.742222052.383936.5411360.76-5052.93-23958.980.780.86-0.014-344.16
4-39398.7142182442.864197.8515116.95-4790-24909.340.880.66-0.038-938.06
5-29279.7142182442.864575.417352.23-4651.54-21408.030.980.74-0.028-697.14
6-42831.4542132930.955611.1813774.36-3992.3-17781.671.410.63-0.045-1019.8
7-57690.842162638.14428.6317582.67-4944.19-13830.190.90.55-0.056-1373.59
8-36800.5542222052.384329.9417190.92-6602.97-20095.690.660.72-0.029-876.2
915394.79422121507075.4723500.97-6342.38-24010.021.121.120.01366.54
1032376.742222052.388474.9436750.48-7703.6-35936.771.11.210.017770.87

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.66. 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 59.52%, 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 0.052, 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-1131425.0142251759.523162.999793.76-2802.92-6777.691.131.660.052748.21
atrnil311.35-62780.7549103920.4122896.2146961.55-7480.59-20356.823.060.78-0.025-1281.24
atrnil28.16-86636.7949133626.5314432.1431307.7-7618.19-20356.821.890.68-0.043-1768.1
atrtrail24.96-12814549103920.418154.7819669.27-5376.74-12452.921.520.39-0.099-2615.2
atrtrail35.33-16214849103920.414754.515594.03-5376.74-12452.920.880.23-0.16-3309.14
atrtrail-15.33-16214849103920.414754.515594.03-5376.74-12452.920.880.23-0.16-3309.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.66. 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 59.52%, 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 0.052, 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, X=1, Profit Factor:1.66

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (-0.13%), 04 Apr 2019 (-0.2%), 24 May 2019 (3.05%)
2018131 Jul 2018 (-0.52%)
2017201 Jun 2017 (1.5%), 30 Aug 2017 (-1.98%)
2016219 Feb 2016 (2.03%), 28 Nov 2016 (4.28%)
2015305 Jan 2015 (-3.39%), 02 Feb 2015 (0.85%), 11 Sep 2015 (2.44%)
2014219 Aug 2014 (1.29%), 20 Nov 2014 (0.77%)
2013301 Feb 2013 (-2.6%), 14 Mar 2013 (-1.75%), 18 Jun 2013 (0.02%)
2012202 Apr 2012 (1.19%), 25 May 2012 (0.97%)
2011401 Mar 2011 (-0.56%), 30 Aug 2011 (1.33%), 01 Dec 2011 (1.49%), 30 Dec 2011 (0.07%)
2010118 Feb 2010 (1.34%)
2009211 Feb 2009 (-1.22%), 02 Mar 2009 (-2.8%)
2008307 Feb 2008 (-1.82%), 14 Jul 2008 (-2.85%), 04 Nov 2008 (2.52%)
2007418 Jun 2007 (0.77%), 03 Jul 2007 (2.26%), 30 Aug 2007 (4.9%), 17 Dec 2007 (1.0%)
2006614 Feb 2006 (1.12%), 17 Mar 2006 (-0.92%), 05 Apr 2006 (-1.25%), 21 Jun 2006 (2.22%), 28 Jul 2006 (0.99%), 28 Nov 2006 (1.1%)
2005328 Feb 2005 (-0.94%), 05 Apr 2005 (0.02%), 22 Apr 2005 (-0.68%)
2004117 Dec 2004 (-0.22%)



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