Study: Buy CANFINHOME 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 CANFINHOME 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 CANFINHOME 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
1-57846.22150658543.334548.4641714.29-4158.78-15177.871.090.84-0.013-385.64
2-14195.88150628841.336246.7624830.12-4562.44-14892.51.370.96-0.0028-94.64
3-45483.821506090408445.4550174.47-6135.68-23113.661.380.92-0.0067-303.23
4-1210201506981467541.4947897.15-7918.31-34325.370.950.81-0.017-806.8
5-22289.9915060904010937.4358620.69-7539.28-43454.121.450.97-0.0024-148.6
676996.35150618940.6712872.4345472.91-7957.55-46630.691.621.110.0079513.31
736893.92150678344.6711730.2346758.49-9024.47-59799.541.31.050.0037245.96
825276.7815072784811395.0257869.61-10194.42-53446.411.121.030.0023168.51
914303815069814613536.7861083.56-9765.43-43778.81.391.180.013953.59
1066715.85150717947.3312788.6659210.28-10649.1-50285.711.21.080.0058444.77
Although, strategy looks good but profit factor on day 4 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
atrtrail34.251671511705311731.1817098.3237747.51-6316.75-14526.172.711.230.017983.24
atrnil36.021726241664811828.9223403.0745695.81-8056.98-14926.652.91.180.0151039.9
atrtrail-15.1688650.261654911629.716465.7166947.42-6191.12-14526.172.661.120.0085537.27
atrtrail23.8524007.371725811433.7213255.0625165.01-6533.21-14526.172.031.030.0029139.58
atrnil25.14-18834.591705811234.1215334.5930463.87-8109.29-14926.651.890.98-0.002-110.79

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 31.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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.
CANFINHOME Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Feb 2019 (-4.63%), 20 May 2019 (-4.15%)
2018511 Jan 2018 (-2.96%), 28 May 2018 (-4.01%), 21 Aug 2018 (-3.5%), 17 Sep 2018 (-3.22%), 14 Dec 2018 (-1.02%)
2017503 Jan 2017 (15.47%), 15 Mar 2017 (-2.37%), 03 Apr 2017 (8.99%), 06 Jun 2017 (10.37%), 13 Oct 2017 (-3.2%)
2016627 Jan 2016 (-1.71%), 02 Jun 2016 (-0.36%), 29 Jun 2016 (9.98%), 29 Aug 2016 (7.83%), 07 Oct 2016 (-2.17%), 29 Nov 2016 (-2.67%)
2015703 Mar 2015 (-3.93%), 31 Mar 2015 (10.61%), 19 May 2015 (-5.34%), 17 Jun 2015 (2.16%), 10 Sep 2015 (14.38%), 23 Nov 2015 (-3.18%), 18 Dec 2015 (3.17%)
2014905 Feb 2014 (-1.28%), 04 Mar 2014 (-3.25%), 05 Mar 2014 (-3.48%), 01 Apr 2014 (9.69%), 20 May 2014 (12.32%), 27 Jun 2014 (13.79%), 09 Oct 2014 (-5.3%), 07 Nov 2014 (-3.39%), 23 Dec 2014 (11.62%)
2013601 Mar 2013 (12.62%), 16 Apr 2013 (-4.31%), 22 Apr 2013 (0.11%), 15 Jul 2013 (-3.02%), 03 Dec 2013 (1.23%), 19 Dec 2013 (8.52%)
2012606 Jan 2012 (9.14%), 10 Feb 2012 (1.34%), 07 Mar 2012 (-2.29%), 12 Apr 2012 (-0.47%), 23 Aug 2012 (-1.29%), 08 Nov 2012 (12.38%)
2011616 Feb 2011 (-7.26%), 03 Mar 2011 (-3.04%), 24 Mar 2011 (-1.22%), 31 May 2011 (-2.79%), 20 Jun 2011 (-3.62%), 07 Dec 2011 (-3.29%)
2010504 Jan 2010 (0.66%), 15 Jun 2010 (12.32%), 09 Aug 2010 (1.21%), 29 Sep 2010 (-2.01%), 22 Oct 2010 (2.18%)
20091011 Feb 2009 (-4.17%), 03 Mar 2009 (-3.89%), 19 Mar 2009 (-2.35%), 08 Apr 2009 (9.78%), 05 May 2009 (-5.62%), 23 Sep 2009 (-3.48%), 12 Oct 2009 (1.6%), 16 Nov 2009 (-2.12%), 02 Dec 2009 (-4.11%), 03 Dec 2009 (-4.72%)
2008309 Apr 2008 (-5.38%), 30 Jun 2008 (-3.84%), 04 Sep 2008 (-2.94%)
2007617 Jan 2007 (-3.48%), 15 May 2007 (-2.07%), 08 Aug 2007 (-2.53%), 28 Aug 2007 (-3.8%), 29 Oct 2007 (12.62%), 30 Oct 2007 (-4.24%)
2006816 Jan 2006 (-2.7%), 15 Feb 2006 (-3.85%), 03 Apr 2006 (-1.35%), 02 May 2006 (9.27%), 04 Sep 2006 (-6.04%), 20 Oct 2006 (-2.21%), 06 Dec 2006 (-3.19%), 21 Dec 2006 (9.43%)
2005903 Feb 2005 (2.04%), 07 Jun 2005 (-1.41%), 01 Aug 2005 (-3.24%), 12 Aug 2005 (-1.49%), 30 Aug 2005 (9.9%), 19 Sep 2005 (-3.57%), 27 Sep 2005 (-4.87%), 28 Sep 2005 (-5.03%), 07 Nov 2005 (10.91%)
2004630 Mar 2004 (-4.12%), 05 May 2004 (-3.27%), 07 Jun 2004 (-4.69%), 09 Oct 2004 (-3.03%), 04 Nov 2004 (8.13%), 09 Dec 2004 (2.61%)
20031313 Jan 2003 (-2.46%), 22 Jan 2003 (-2.32%), 21 Feb 2003 (7.47%), 07 Apr 2003 (-0.36%), 05 May 2003 (-0.95%), 24 Jun 2003 (15.13%), 07 Jul 2003 (-1.73%), 27 Aug 2003 (-6.05%), 12 Nov 2003 (-4.61%), 13 Nov 2003 (-5.01%), 02 Dec 2003 (11.5%), 29 Dec 2003 (14.39%), 30 Dec 2003 (-5.63%)
2002708 Jan 2002 (-2.71%), 21 Jan 2002 (8.06%), 01 Feb 2002 (-0.7%), 03 Apr 2002 (-4.74%), 17 Apr 2002 (-1.57%), 04 Jun 2002 (16.29%), 26 Sep 2002 (-2.29%)
2001702 Feb 2001 (12.29%), 28 Mar 2001 (-3.63%), 19 Apr 2001 (6.74%), 04 Oct 2001 (-2.24%), 26 Nov 2001 (-2.83%), 28 Nov 2001 (-0.73%), 11 Dec 2001 (-2.69%)
20001024 Feb 2000 (-1.07%), 18 May 2000 (-5.07%), 13 Jul 2000 (-3.67%), 02 Aug 2000 (-3.43%), 03 Aug 2000 (-3.22%), 22 Aug 2000 (-2.77%), 12 Oct 2000 (-4.75%), 24 Oct 2000 (0.07%), 27 Dec 2000 (-4.35%), 28 Dec 2000 (-4.46%)
1999905 Feb 1999 (-3.44%), 01 Mar 1999 (18.87%), 03 Mar 1999 (-6.32%), 26 Mar 1999 (-1.34%), 29 Apr 1999 (0.58%), 07 Jul 1999 (11.84%), 18 Aug 1999 (-1.7%), 06 Oct 1999 (10.21%), 17 Dec 1999 (2.11%)
1998716 Mar 1998 (-2.58%), 13 Apr 1998 (10.08%), 26 May 1998 (-4.21%), 27 May 1998 (15.44%), 02 Jun 1998 (-0.49%), 13 Aug 1998 (-2.79%), 17 Dec 1998 (-1.0%)
19971201 Jan 1997 (-4.72%), 28 Feb 1997 (8.71%), 27 Mar 1997 (-3.22%), 17 Apr 1997 (-3.57%), 21 Apr 1997 (-3.66%), 02 Jul 1997 (-3.23%), 04 Aug 1997 (-0.76%), 16 Sep 1997 (-3.05%), 14 Oct 1997 (-0.32%), 30 Oct 1997 (-2.71%), 06 Nov 1997 (-2.64%), 12 Dec 1997 (-2.63%)
1996512 Feb 1996 (-3.79%), 13 Feb 1996 (14.46%), 29 Mar 1996 (-5.35%), 02 May 1996 (0.48%), 11 Oct 1996 (-3.45%)
1995126 Dec 1995 (-3.94%)



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