Study: Buy CADILAHC 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 CADILAHC 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 CADILAHC 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
1-33112.4160293148.331681.376239.02-2641.04-10571.390.640.6-0.041-551.87
2-23598.4260293148.333358.649942.92-3903.19-16432.270.860.8-0.017-393.31
3-36126.1760293148.334085.0916165.77-4986.89-18934.830.820.77-0.021-602.1
4-17052.89603030504795.7818855.5-5364.21-21021.470.890.89-0.0092-284.21
5-26219.72603030506302.5618745.71-7176.56-32797.350.880.88-0.011-437
6-29174.0560312951.676782.8819843.56-8256.66-30168.450.820.88-0.011-486.23
7-12632.8160293148.338262.2724481.95-8136.73-36242.981.020.95-0.0042-210.55
811318.3260372361.677285.4527029.19-11227.96-39918.330.651.040.0036188.64
936540.02603624608300.2226320.85-10927.82-37823.830.761.140.011609
1048263.086033275510323.0729028.39-10829.56-43363.960.951.170.013804.38
Although, strategy looks good but profit factor on day 1 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
atrtrail-18-11887.8465194629.2312522.355900-5430.69-14594.152.310.95-0.0039-182.89
atrnil310.14-40168.126416482521871.3936340.39-8127.3-15885.932.690.9-0.011-627.63
atrtrail37.06-27783.8265194629.2311685.6724439.92-5430.69-14594.152.150.89-0.011-427.44
atrtrail26.31-40132.8865194629.2311035.7217813.1-5430.69-14594.152.030.84-0.017-617.43
atrnil27.73-66745.1464204431.2514667.0924226.93-8183.79-15885.931.790.81-0.021-1042.89

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 29.23%, which is not acceptable. Avoid this strategy. Average return per trade is -0.091%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CADILAHC Performance, Profit Factor:0.952

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019422 Feb 2019 (5.49%), 28 May 2019 (-2.09%), 07 Aug 2019 (-0.98%), 27 Aug 2019 (12.42%)
2018814 Feb 2018 (-3.72%), 27 Feb 2018 (-2.97%), 26 Mar 2018 (-3.08%), 08 Jun 2018 (9.65%), 26 Jul 2018 (-0.49%), 05 Nov 2018 (-0.77%), 13 Dec 2018 (-2.72%), 31 Dec 2018 (-1.95%)
2017404 Jan 2017 (1.4%), 29 Aug 2017 (-1.25%), 22 Sep 2017 (-3.5%), 18 Dec 2017 (5.86%)
2016122 Jan 2016 (5.12%)
2015123 Dec 2015 (-2.79%)
2014105 Jun 2014 (7.6%)
2013422 Feb 2013 (-3.22%), 01 Jul 2013 (0.72%), 07 Aug 2013 (-2.45%), 30 Aug 2013 (3.25%)
2012231 Jan 2012 (-0.16%), 15 Oct 2012 (-0.02%)
2011410 Mar 2011 (-4.37%), 26 Aug 2011 (-3.26%), 17 Oct 2011 (-2.14%), 29 Nov 2011 (-2.5%)
2009119 Mar 2009 (27.95%)
2008505 Feb 2008 (-7.3%), 06 Feb 2008 (-4.76%), 12 Mar 2008 (-6.14%), 18 Mar 2008 (-3.15%), 03 Nov 2008 (-5.55%)
2007315 Mar 2007 (-4.87%), 16 May 2007 (-0.16%), 04 Sep 2007 (-2.06%)
2006320 Jun 2006 (-1.14%), 25 Jul 2006 (-1.3%), 18 Dec 2006 (5.33%)
2005417 Feb 2005 (-5.11%), 09 Mar 2005 (-3.02%), 27 Apr 2005 (-3.68%), 10 Nov 2005 (6.56%)
2004229 Jun 2004 (4.75%), 11 Nov 2004 (-0.75%)
2003403 Mar 2003 (-2.45%), 07 Mar 2003 (-2.41%), 13 Mar 2003 (-1.21%), 26 Mar 2003 (2.28%)
2002519 Feb 2002 (2.8%), 26 Mar 2002 (9.89%), 05 Jun 2002 (-1.51%), 07 Oct 2002 (-1.6%), 21 Nov 2002 (-2.19%)
2001726 Feb 2001 (-3.82%), 29 Mar 2001 (-4.52%), 30 Mar 2001 (-4.8%), 23 Apr 2001 (-3.27%), 10 May 2001 (0.89%), 05 Jul 2001 (-0.8%), 13 Aug 2001 (5.92%)
2000210 Aug 2000 (1.08%), 03 Oct 2000 (-2.95%)



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