Study: Buy CANFINHOME 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 CANFINHOME 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 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
161654.3266402660.613181.3120000-2523-7628.131.261.940.045934.16
294645.45663333506284.6721739.13-3416.62-12227.211.841.840.0451434.02
398409.88663333507711.9627135.68-4729.84-27599.491.631.630.0371491.06
419935266353153.0311447.5846231.16-6493.99-37098.841.761.990.0493020.48
524229966353153.0313115.9457788.94-6992.21-40404.361.882.120.0543671.2
625810766372956.0613043.4566331.66-7741.4-54107.831.682.150.0533910.71
719264066343251.5212593.7551758.79-7360.85-47496.791.711.820.0432918.79
818273766353153.0311619.2939538.54-7223.8-32028.241.611.820.0452768.75
922867866392759.0911646.1648743.72-8352.7-38318.361.392.010.053464.81
1018334766372956.0611788.7950753.77-8718.57-41976.891.351.730.042777.98

From the table above, we see that best results are achieved by holding positions for 6 trading days. Profit factor is 2.15. 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 56.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
CANFINHOME Performance, X=6, Profit Factor:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 Feb 2019 (5.98%)
2018707 Feb 2018 (9.34%), 24 Apr 2018 (-7.23%), 29 May 2018 (-6.24%), 06 Jul 2018 (-4.62%), 23 Aug 2018 (-3.1%), 18 Sep 2018 (-27.05%), 12 Oct 2018 (-9.34%)
2017209 Oct 2017 (3.4%), 17 Nov 2017 (-1.11%)
2016126 Feb 2016 (7.08%)
2014128 Aug 2014 (11.82%)
2013301 Jul 2013 (-4.0%), 22 Aug 2013 (-6.18%), 05 Sep 2013 (6.19%)
2012305 Jan 2012 (9.03%), 24 May 2012 (-1.48%), 07 Sep 2012 (3.74%)
2011714 Jan 2011 (4.44%), 01 Mar 2011 (1.27%), 21 Jun 2011 (-2.6%), 30 Aug 2011 (6.65%), 10 Oct 2011 (6.2%), 05 Dec 2011 (-3.95%), 21 Dec 2011 (-4.17%)
2010226 Feb 2010 (-0.73%), 16 Dec 2010 (1.85%)
2008210 Apr 2008 (1.99%), 05 Nov 2008 (9.18%)
2007221 Mar 2007 (3.82%), 09 Aug 2007 (-3.35%)
2006105 Sep 2006 (-2.21%)
2005305 Apr 2005 (1.74%), 11 Jul 2005 (5.86%), 02 Nov 2005 (1.88%)
2004412 Feb 2004 (-1.03%), 08 Mar 2004 (-5.6%), 29 Mar 2004 (6.31%), 01 Jul 2004 (0.29%)
2003228 Aug 2003 (-4.41%), 26 Sep 2003 (7.5%)
2002312 Aug 2002 (3.59%), 27 Sep 2002 (-0.18%), 26 Nov 2002 (2.27%)
2001131 Jul 2001 (4.97%)
2000504 Feb 2000 (-3.95%), 18 Feb 2000 (23.08%), 28 Mar 2000 (15.74%), 17 May 2000 (-2.54%), 21 Aug 2000 (0.91%)
1999230 Mar 1999 (0.35%), 13 Dec 1999 (12.28%)
1998404 Mar 1998 (-0.8%), 15 Jul 1998 (-1.02%), 27 Oct 1998 (0.68%), 10 Dec 1998 (1.36%)
1997527 Feb 1997 (5.0%), 15 May 1997 (-3.46%), 04 Jun 1997 (12.14%), 17 Sep 1997 (-0.36%), 15 Dec 1997 (-0.39%)
1996401 Apr 1996 (-1.15%), 06 Jun 1996 (33.17%), 06 Aug 1996 (0.0%), 14 Oct 1996 (8.04%)
1995122 Dec 1995 (2.17%)

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-1625810766372956.0613043.4566331.66-7741.4-54107.831.682.150.0533910.71
atrnil28.825832371314043.6618961.5838486.99-8237.14-15953.92.31.780.0553638.36
atrtrail36.0719286772284438.8916626.5738364.78-6197.21-14930.752.681.710.0422678.71
atrnil311.6827760671244733.828156.1357730.48-8471.09-15953.93.321.70.0453909.94
atrtrail-16.9916047772284438.8915469.855134.96-6197.21-14930.752.51.590.0342228.85
atrtrail25.3311895372284438.8913986.7825576.52-6197.21-14930.752.261.440.0311652.12

In the table above, row 1 shows the best exit criterion. Profit factor is 2.15. 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 56.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.96%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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