Study: Buy CENTURYTEX 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 CENTURYTEX 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 CENTURYTEX 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
139221.71226161504495.2618103.07-3852.28-18847.151.171.170.012321.49
2119234122685455.745805.9227759.3-5103.12-17918.551.141.430.028977.33
3122954122675554.927465.7537686.57-6859.11-24898.291.091.330.0211007.82
4288653122685455.7410087.0556716.42-7356.79-24974.581.371.730.0392366.01
5324683122586447.5414836.7381818.18-8372.62-29820.41.771.610.0332661.33
6316419122596348.3615784.7999626.87-9760.06-36199.271.621.510.0282593.6
7365042122665654.115855.03123881-12167.68-37754.391.31.540.032992.15
8502118122685455.7418684.9150000-14230.64-50666.671.311.650.0324115.73
9648552122665654.121956.79177985-14296.36-62456.141.541.810.0385316
10739763122665654.124185.22208209-15293.95-53052.631.581.860.0416063.63
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-15.47625402132547840.9120115.57189577-5908.18-13406.093.42.360.0394737.9
atrnil25.47465566129606946.5117521.7929646.03-8489.01-17028.262.061.790.0543609.04
atrnil38.61503358123447935.7726644.3444469.04-8468.27-17028.263.151.750.0474092.34
atrtrail34.78334240133557841.3514480.0736401.33-5925.19-13406.092.441.720.0412513.08
atrtrail24.2295118133567742.1113505.8128086.62-5989.7-13406.092.251.640.0412218.94

In the table above, row 1 shows the best exit criterion. Profit factor is 2.36. 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 40.91%, which is not acceptable. Avoid this strategy. Average return per trade is 2.37%, which is very good. Sharpe Ratio is 0.039, 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.
CENTURYTEX Performance, Profit Factor:2.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 May 2019 (3.65%), 03 Jul 2019 (-2.87%), 17 Jul 2019 (-3.03%), 09 Aug 2019 (-3.42%)
2018117 Dec 2018 (-2.09%)
2017825 Jan 2017 (-0.78%), 15 Mar 2017 (-2.43%), 11 May 2017 (-2.58%), 16 Jun 2017 (-1.02%), 01 Sep 2017 (2.86%), 10 Oct 2017 (1.66%), 27 Nov 2017 (-2.27%), 11 Dec 2017 (-1.33%)
2016601 Jun 2016 (-1.51%), 08 Jun 2016 (-2.76%), 29 Jun 2016 (3.79%), 25 Jul 2016 (-2.71%), 29 Aug 2016 (15.73%), 02 Nov 2016 (-3.28%)
2015628 Feb 2015 (2.59%), 27 Mar 2015 (14.26%), 22 May 2015 (-4.44%), 16 Jun 2015 (0.88%), 17 Nov 2015 (0.23%), 18 Dec 2015 (4.5%)
2014622 Jan 2014 (-3.9%), 20 Feb 2014 (6.99%), 07 May 2014 (29.34%), 01 Jul 2014 (-1.46%), 22 Jul 2014 (-2.49%), 01 Sep 2014 (1.61%)
2013804 Jan 2013 (-2.49%), 19 Jun 2013 (-3.61%), 22 Jul 2013 (-3.16%), 04 Oct 2013 (-0.52%), 21 Oct 2013 (-1.49%), 05 Nov 2013 (-2.09%), 24 Dec 2013 (-3.7%), 26 Dec 2013 (3.27%)
2012521 Mar 2012 (-5.24%), 22 Mar 2012 (3.29%), 08 Aug 2012 (4.16%), 08 Sep 2012 (5.03%), 29 Nov 2012 (2.16%)
2010705 Apr 2010 (1.65%), 27 Apr 2010 (-3.07%), 22 Jul 2010 (-2.74%), 09 Aug 2010 (6.59%), 07 Sep 2010 (-1.7%), 05 Oct 2010 (-0.04%), 04 Nov 2010 (-0.61%)
2009930 Jan 2009 (1.34%), 26 Feb 2009 (-6.0%), 04 May 2009 (-2.46%), 17 Jul 2009 (5.38%), 27 Aug 2009 (-2.31%), 16 Oct 2009 (-0.96%), 12 Nov 2009 (-3.06%), 02 Dec 2009 (-1.96%), 24 Dec 2009 (8.99%)
2008104 Sep 2008 (-5.37%)
2007612 Jan 2007 (-1.83%), 16 May 2007 (-1.44%), 19 Jun 2007 (11.64%), 24 Aug 2007 (4.41%), 13 Nov 2007 (-4.24%), 28 Dec 2007 (2.0%)
2006917 Jan 2006 (-0.52%), 07 Feb 2006 (-4.23%), 27 Feb 2006 (-3.5%), 28 Feb 2006 (19.13%), 31 Mar 2006 (7.87%), 27 Jul 2006 (10.4%), 04 Sep 2006 (3.65%), 30 Oct 2006 (-1.95%), 27 Dec 2006 (-0.14%)
20051303 Jan 2005 (-3.78%), 31 Jan 2005 (23.74%), 25 Feb 2005 (-4.74%), 28 Feb 2005 (2.07%), 04 Apr 2005 (-4.45%), 21 Apr 2005 (-1.81%), 04 Jun 2005 (-1.46%), 21 Jun 2005 (-3.2%), 22 Jun 2005 (-0.21%), 30 Jun 2005 (1.3%), 04 Aug 2005 (-4.1%), 09 Sep 2005 (5.78%), 30 Sep 2005 (0.19%)
2004612 Feb 2004 (-5.77%), 09 Aug 2004 (-4.58%), 07 Oct 2004 (-3.99%), 09 Nov 2004 (-2.29%), 16 Dec 2004 (-3.48%), 21 Dec 2004 (-0.83%)
2003824 Feb 2003 (0.03%), 04 Apr 2003 (-1.02%), 20 Jun 2003 (-4.75%), 23 Jun 2003 (11.71%), 28 Jul 2003 (16.31%), 01 Oct 2003 (3.88%), 11 Nov 2003 (6.25%), 08 Dec 2003 (14.43%)
2002821 Jan 2002 (-6.29%), 13 Feb 2002 (2.52%), 01 Apr 2002 (-4.57%), 02 Apr 2002 (3.25%), 02 May 2002 (7.69%), 04 Jun 2002 (49.39%), 05 Jul 2002 (-6.11%), 30 Dec 2002 (3.74%)
2001402 Jan 2001 (-2.72%), 24 Jan 2001 (-2.51%), 21 May 2001 (6.07%), 08 Nov 2001 (66.59%)
2000425 May 2000 (-5.9%), 03 Jul 2000 (-2.51%), 20 Oct 2000 (-5.26%), 07 Dec 2000 (-2.39%)
1999505 May 1999 (94.79%), 09 Jun 1999 (-6.7%), 28 Jun 1999 (-5.9%), 17 Aug 1999 (-6.49%), 20 Oct 1999 (1.74%)
1998419 Mar 1998 (15.14%), 06 Apr 1998 (12.17%), 10 Nov 1998 (-4.73%), 14 Dec 1998 (-0.19%)
1997201 Mar 1997 (3.92%), 04 Aug 1997 (-0.48%)
1995219 Sep 1995 (1.37%), 23 Oct 1995 (-2.41%)



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