Study: Buy CEATLTD 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 CEATLTD 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 CEATLTD 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
1-15834.2452203238.464811.3210913.14-3501.9-9102.381.370.86-0.019-304.5
256280.48522626508260.4424477.67-6095.81-19376.771.361.360.0351082.32
310683552252748.089975.0753248.99-5279.34-13106.441.891.750.0552054.51
497100.4152232944.2312889.2470308.61-6874.21-18073.571.881.490.041867.32
584929.3852242846.1513429.6575177.3-8477.93-24643.891.581.360.0311633.26
665961.415226265013096.962775.54-10559.92-31964.681.241.240.0231268.49
722841.452242846.1513178.2559141.34-10479.88-30110.381.261.080.0079439.26
823429.6552213140.3815627.2662047.15-9830.41-33156.281.591.080.008450.57
949002.952232944.2315115.7765133.22-10298.61-38803.471.471.160.016942.36
1091757.3152232944.2317635.8758194.36-10823.03-38300.251.631.290.0291764.56
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-15.2518957256203635.7120558.6875683.22-6155.59-10874.263.341.860.0573385.22
atrtrail34.4111249556203635.7116704.8134015.06-6155.59-10874.262.711.510.0472008.84
atrnil36.3610530956164028.5726090.9836586.36-7803.67-10903.43.341.340.0361880.52
atrtrail24.1156613.0856203635.7113910.7222676.71-6155.59-10874.262.261.260.0291010.95
atrnil25.6417346.9356183832.1417357.2524390.91-7765.36-10903.42.241.060.0078309.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 1.69%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.057, 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.
CEATLTD Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 Apr 2019 (-2.71%), 05 Apr 2019 (-2.73%), 16 Apr 2019 (-2.54%), 24 May 2019 (-3.49%)
2018203 Apr 2018 (0.0%), 12 Dec 2018 (-0.0%)
2017927 Jan 2017 (-2.99%), 23 Feb 2017 (-0.9%), 27 Apr 2017 (3.94%), 17 May 2017 (-3.6%), 05 Jun 2017 (-1.63%), 02 Aug 2017 (-2.28%), 01 Sep 2017 (-3.1%), 06 Oct 2017 (-1.86%), 18 Dec 2017 (8.48%)
2016513 Apr 2016 (-0.78%), 05 Aug 2016 (-2.41%), 29 Aug 2016 (11.99%), 10 Nov 2016 (-4.7%), 30 Nov 2016 (-4.4%)
2015419 Feb 2015 (-4.57%), 31 Mar 2015 (11.29%), 18 May 2015 (-3.33%), 11 Sep 2015 (2.73%)
20141003 Jan 2014 (0.64%), 04 Mar 2014 (4.65%), 16 May 2014 (4.33%), 04 Jun 2014 (4.11%), 17 Jun 2014 (33.55%), 19 Aug 2014 (37.84%), 17 Oct 2014 (4.28%), 12 Nov 2014 (-3.85%), 13 Nov 2014 (-3.89%), 31 Dec 2014 (-1.88%)
2013301 Apr 2013 (-4.36%), 08 Aug 2013 (-5.44%), 11 Sep 2013 (27.75%)
2012610 Feb 2012 (2.84%), 19 Mar 2012 (-1.01%), 02 Apr 2012 (8.01%), 01 Aug 2012 (14.01%), 13 Sep 2012 (-4.62%), 15 Oct 2012 (-3.76%)
2011425 Apr 2011 (-4.36%), 28 Jun 2011 (-3.74%), 29 Jun 2011 (3.26%), 30 Dec 2011 (15.62%)
2010610 Feb 2010 (-4.79%), 02 Mar 2010 (6.25%), 09 Jul 2010 (-1.19%), 03 Aug 2010 (-0.7%), 17 Aug 2010 (-3.4%), 18 Aug 2010 (-3.86%)
2009317 Mar 2009 (-1.57%), 20 Oct 2009 (-5.2%), 23 Dec 2009 (-5.15%)



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