Study: Buy CANBK 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 CANBK 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 CANBK 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
1-17351.4959273245.764375.8214787.88-4234.33-20064.211.030.87-0.013-294.09
210907.1759263344.079527.5388128.38-7176.02-31380.421.331.050.0032184.87
3-34472.8559253442.379816.4277779.6-8231.87-26284.111.190.88-0.01-584.29
4-11957558253343.110724.9964712.62-11748.47-34433.030.910.69-0.033-2061.63
5-65493.4358243441.3812607.2670771.25-10825.52-30818.621.160.82-0.017-1129.2
6-51683.7558283048.2811212.9665662.35-12188.22-35828.510.920.86-0.014-891.1
7-70935.9258253343.112439.9870181.76-11573.8-41038.711.070.81-0.018-1223.03
8-11077758243441.3812649.7163762.9-12187.34-39955.391.040.73-0.028-1909.94
9-12451058243441.3812826.5964679.88-12716.12-49960.171.010.71-0.03-2146.72
10-15508358243441.3814501.2866120.84-14797.47-47952.840.980.69-0.034-2673.85
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
atrnil39.81-11731563135020.632825756331.93-9693.12-19165.232.920.76-0.028-1862.14
atrnil26.28-12418264184628.1218400.737554.62-9899.89-19165.231.860.73-0.036-1940.35
atrtrail24.08-12651466184827.2714110.5837554.62-7927.17-18159.031.780.67-0.041-1916.88
atrtrail-14.85-15972366174925.7613037.577204.65-7782.87-18159.031.680.58-0.045-2420.05
atrtrail34.74-20562566174925.7610337.4132681.06-7782.87-18159.031.330.46-0.079-3115.52

In the table above, row 1 shows the best exit criterion. Profit factor is 0.76. 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 20.63%, which is not acceptable. Avoid this strategy. Average return per trade is -0.93%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, Profit Factor:0.758

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019522 Feb 2019 (-3.62%), 21 May 2019 (12.5%), 16 Aug 2019 (-4.35%), 26 Aug 2019 (-4.62%), 13 Sep 2019 (-4.57%)
2018408 Jan 2018 (-2.82%), 23 Feb 2018 (-4.63%), 16 Mar 2018 (-5.93%), 24 May 2018 (14.12%)
2017309 Jan 2017 (8.99%), 28 Aug 2017 (-2.9%), 23 Oct 2017 (7.59%)
2016328 Jan 2016 (-4.42%), 29 Jan 2016 (-4.56%), 01 Mar 2016 (16.34%)
2015628 Feb 2015 (-3.71%), 06 Apr 2015 (-3.56%), 18 Jun 2015 (-3.58%), 18 Sep 2015 (-5.11%), 01 Dec 2015 (-2.76%), 23 Dec 2015 (-2.55%)
2014318 Feb 2014 (11.31%), 05 Aug 2014 (-3.97%), 21 Aug 2014 (-3.71%)
2013920 Feb 2013 (-3.6%), 07 Mar 2013 (-3.44%), 02 Apr 2013 (-4.38%), 03 Apr 2013 (-4.61%), 13 May 2013 (-4.25%), 02 Jul 2013 (-4.5%), 14 Aug 2013 (-6.97%), 16 Aug 2013 (-8.08%), 26 Aug 2013 (-8.16%)
2012403 Jan 2012 (13.79%), 04 Apr 2012 (-4.13%), 12 Apr 2012 (-3.92%), 28 May 2012 (-3.83%)
2011421 Jan 2011 (-4.53%), 30 May 2011 (-4.02%), 15 Jul 2011 (-2.62%), 30 Aug 2011 (13.67%)
2010130 Dec 2010 (-4.01%)
2009123 Mar 2009 (14.78%)
2008506 Feb 2008 (-8.72%), 14 Feb 2008 (-7.98%), 26 Mar 2008 (-7.78%), 17 Jun 2008 (-4.78%), 03 Nov 2008 (28.17%)
2007518 Jan 2007 (-4.38%), 27 Feb 2007 (-4.23%), 28 Feb 2007 (-4.78%), 13 Mar 2007 (-5.81%), 31 Aug 2007 (-4.8%)
2006402 Jun 2006 (-7.77%), 30 Jun 2006 (-7.01%), 26 Jul 2006 (16.84%), 29 Dec 2006 (-4.42%)
2005206 May 2005 (12.84%), 07 Nov 2005 (12.74%)
2004305 Mar 2004 (-5.03%), 22 Mar 2004 (-4.88%), 07 Jun 2004 (-9.58%)
2003103 Dec 2003 (-3.96%)



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