Study: Buy BPCL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy BPCL when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy BPCL 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
1-15632.5846172936.964211.412314.15-3007.81-8902.081.40.82-0.015-339.84
2-10809346153132.613805.169715.93-5328.07-16568.410.710.35-0.086-2349.84
3-52975.7146202643.485635.2413524.08-6372.33-20213.030.880.68-0.032-1151.65
4-66981.08462323506759.3431095.68-9671.56-43844.440.70.7-0.026-1456.11
5-55870.2446222447.838739.1427295.18-10338.8-39583.850.850.77-0.02-1214.57
6-67037.4746192741.310353.437093.45-9768.6-41218.731.060.75-0.023-1457.34
7-46997.85462323509069.4730032.94-11112.85-41268.270.820.82-0.016-1021.69
8-22181.4246212545.6511050.4730671.06-10169.65-42457.271.090.91-0.0073-482.2
9526.8346202643.4813147.5332561.73-10093.22-32251.671.310.0001711.45
1013970.2346242252.1713094.0733090.86-13649.43-36066.390.961.050.0037303.7
Although, strategy looks good but profit factor on day 2 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
atrnil38.2629364.8746123426.0924865.2638880.07-7912.3-19071.43.141.110.0086638.37
atrnil25.8625120.6649183136.7315175.3525920.04-8001.15-19071.41.91.10.0089512.67
atrtrail-14.88-23825.3149173234.6910212.1430172.22-6169.74-19071.41.660.88-0.0098-486.23
atrtrail34.4-26460.785017333410656.7729936.82-6291.69-19071.41.690.87-0.01-529.22
atrtrail23.82-30733.295017333410405.4519957.88-6291.69-19071.41.650.85-0.014-614.67

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 26.09%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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.
BPCL Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019228 Aug 2019 (11.42%), 22 Oct 2019 (-4.17%)
2018231 Jan 2018 (-2.5%), 17 Sep 2018 (-3.18%)
2017122 Aug 2017 (-3.26%)
2016129 Dec 2016 (7.59%)
2015319 Feb 2015 (-3.37%), 18 May 2015 (10.06%), 14 Jul 2015 (-2.76%)
2014322 Apr 2014 (-3.39%), 09 May 2014 (10.5%), 05 Jun 2014 (-4.1%)
2013228 Jun 2013 (-3.39%), 05 Nov 2013 (-3.57%)
2012311 Jan 2012 (11.1%), 14 Jun 2012 (-2.82%), 29 Nov 2012 (6.95%)
2011105 Aug 2011 (-2.48%)
2010104 Jan 2010 (-2.71%)
2009202 Jul 2009 (17.67%), 10 Nov 2009 (-3.53%)
2008107 Nov 2008 (-9.54%)
2006206 Feb 2006 (-3.85%), 09 Oct 2006 (-3.46%)
2005110 Nov 2005 (-3.46%)
2004128 Dec 2004 (-3.23%)
2003207 Jul 2003 (-3.01%), 04 Aug 2003 (-3.52%)
2002206 Mar 2002 (-5.75%), 01 Apr 2002 (-4.29%)
2001609 Jan 2001 (14.55%), 15 Jan 2001 (-5.1%), 08 Mar 2001 (-6.84%), 28 Aug 2001 (-3.05%), 29 Aug 2001 (-3.16%), 25 Sep 2001 (19.44%)
2000228 Nov 2000 (-4.43%), 29 Nov 2000 (14.97%)
1999309 Mar 1999 (-5.83%), 03 Jun 1999 (-7.12%), 13 Jul 1999 (14.1%)
1998129 Dec 1998 (-3.85%)
1997214 Feb 1997 (-3.29%), 03 Mar 1997 (-3.11%)
1996212 Feb 1996 (10.84%), 18 Jun 1996 (-3.4%)



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