Study: Buy CEATLTD when RSI is above 50 and there is Bullish Crossover in MACD and ADX is Trending

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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 and ADX is Trending" 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
18733.891661037.56559.210913.14-3062.13-9102.382.141.290.03545.87
223282.57169756.257491.5612301.26-6305.93-12580.371.191.530.0561455.16
354511.7216885012817.3929920.49-6003.42-11639.182.142.140.0923406.98
465767.541610662.512485.1359389.42-9847.29-18073.571.272.110.0724110.47
582109.091610662.515447.3476862.67-12060.72-24042.491.282.130.0715131.82
679332.43169756.2517427.1481849.42-11073.12-24713.451.572.020.0644958.28
757762.581610662.513115.3569146.95-12231.82-29913.341.071.790.0523610.16
833046.18167943.7516709.957327.97-9324.79-33156.281.791.390.0332065.39
937216.69169756.2514929.8768400.9-13878.87-38803.471.081.380.0322326.04
109957.7116885016358.7471561.79-15114.02-38300.251.081.080.0081622.36
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CEATLTD Performance, X=3, Profit Factor:2.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 May 2019 (-3.86%)
2018103 Apr 2018 (3.15%)
2017427 Apr 2017 (7.41%), 17 May 2017 (-5.82%), 05 Jun 2017 (1.16%), 01 Sep 2017 (-0.22%)
2016130 Nov 2016 (-1.49%)
2015111 Sep 2015 (-2.02%)
2014503 Jan 2014 (3.92%), 17 Jun 2014 (14.96%), 19 Aug 2014 (7.1%), 17 Oct 2014 (6.05%), 12 Nov 2014 (-4.51%)
2012210 Feb 2012 (7.52%), 16 Oct 2012 (-0.76%)
2009120 Oct 2009 (-5.34%)

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-15.59113241178947.0621455.5475683.22-6489.25-10399.423.312.940.0836661.24
atrtrail34.8244500.97178947.0612863.0334015.06-6489.25-10399.421.981.760.0612617.7
atrtrail24.6527668.42178947.0610758.9622676.71-6489.25-10399.421.661.470.0471627.55
atrnil37.942574.31741323.5327622.6634015.06-8301.26-10762.483.331.020.0029151.43
atrnil27.29-34255.911741323.5318415.122676.71-8301.26-10762.482.220.68-0.053-2015.05

In the table above, row 1 shows the best exit criterion. Profit factor is 2.94. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 3.33%, which is very good. Sharpe Ratio is 0.083, 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:2.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 May 2019 (-3.49%)
2018103 Apr 2018 (0.0%)
2017427 Apr 2017 (3.94%), 17 May 2017 (-3.6%), 05 Jun 2017 (-1.63%), 01 Sep 2017 (-3.1%)
2016130 Nov 2016 (-4.4%)
2015111 Sep 2015 (2.73%)
2014603 Jan 2014 (0.64%), 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%)
2012210 Feb 2012 (2.84%), 16 Oct 2012 (-0.04%)
2009120 Oct 2009 (-5.2%)



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