Study: Buy CENTURYTEX when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > centurytex > 64

In this study, we evaluate the performance of strategy "Buy CENTURYTEX 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 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
1795.7268323647.065306.1419294.99-4694.47-15761.821.1310.0003611.7
2-50671.768274139.718730.2225014.93-6985.06-26832.331.250.82-0.015-745.17
3-91127.3768274139.719584.534865.67-8534.37-24885.981.120.74-0.023-1340.11
4-15164768284041.1811013.9646578.45-11500.93-39411.410.960.67-0.03-2230.1
5-13990068293942.6511473.4247308.03-12118.7-35350.010.950.7-0.026-2057.35
6-23061568274139.7112417.7866918.71-13802.33-34857.140.90.59-0.037-3391.4
7-21865968274139.7114078.1670507.46-14604.14-480000.960.63-0.032-3215.58
8-24003368244435.2916050.6372892.25-14210.19-600001.130.62-0.035-3529.9
9-27470068264238.2414791.7255727.79-15697.25-50428.570.940.58-0.041-4039.7
10-23875368244435.2919603.2866767.49-16118.91-59857.141.220.66-0.032-3511.08

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1. 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 47.06%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0059%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00036, which is low, don't trade solely on the basis of this study.

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
atrnil26.2518267377275035.0625623.1465158.56-10183.03-20043.822.521.360.0252372.38
atrtrail24.5312963977304738.9617183.965158.56-8210.18-20043.822.091.340.0211683.62
atrtrail-15.9712730177304738.961710662529.1-8210.18-20043.822.081.330.021653.27
atrtrail35.2210890277304738.9616492.6888478.78-8210.18-20043.822.011.280.0171414.31
nilnil-11795.7268323647.065306.1419294.99-4694.47-15761.821.1310.0003611.7
atrnil39.16-9669.247518572434231.2588478.78-10979.5-32579.283.120.98-0.0012-128.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.36. 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 35.06%, which is not acceptable. Avoid this strategy. Average return per trade is 1.19%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.025, 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:1.36

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Feb 2019 (6.62%), 18 Jul 2019 (-3.11%), 08 Aug 2019 (-3.48%), 05 Sep 2019 (6.88%)
2018528 Feb 2018 (-3.68%), 08 Jun 2018 (-4.2%), 16 Oct 2018 (-4.62%), 17 Oct 2018 (-5.1%), 25 Oct 2018 (10.17%)
2016322 Feb 2016 (-4.86%), 02 Mar 2016 (9.64%), 30 Nov 2016 (-5.15%)
2015225 May 2015 (-5.22%), 14 Sep 2015 (-5.75%)
2014222 Oct 2014 (7.51%), 26 Dec 2014 (8.13%)
2013720 Feb 2013 (-2.95%), 11 Mar 2013 (-3.88%), 01 Apr 2013 (-4.24%), 18 Jun 2013 (-3.7%), 15 Jul 2013 (-4.33%), 16 Jul 2013 (-4.48%), 13 Aug 2013 (-6.01%)
2012125 May 2012 (-4.9%)
2011414 Feb 2011 (10.35%), 27 May 2011 (7.48%), 07 Dec 2011 (-4.37%), 30 Dec 2011 (-5.14%)
2010117 Feb 2010 (-4.53%)
2009106 Feb 2009 (-7.72%)
2008918 Feb 2008 (-8.88%), 11 Mar 2008 (-8.53%), 25 Mar 2008 (18.87%), 25 Jun 2008 (-7.26%), 08 Jul 2008 (-8.73%), 18 Jul 2008 (16.73%), 05 Sep 2008 (-5.55%), 29 Oct 2008 (32.58%), 03 Dec 2008 (29.49%)
2007112 Mar 2007 (-7.91%)
2006119 Jun 2006 (25.3%)
2005108 Nov 2005 (11.31%)
2004411 Feb 2004 (-6.02%), 08 Mar 2004 (-4.37%), 31 Mar 2004 (10.56%), 30 Jun 2004 (-6.03%)
2003103 Apr 2003 (8.1%)
2002414 Feb 2002 (10.46%), 21 Aug 2002 (-7.15%), 07 Oct 2002 (-4.95%), 25 Oct 2002 (10.63%)
2001229 Mar 2001 (-10.02%), 28 Sep 2001 (11.49%)
2000216 Aug 2000 (13.73%), 19 Oct 2000 (10.16%)
1999623 Feb 1999 (-8.0%), 18 Mar 1999 (-6.92%), 19 Mar 1999 (15.33%), 16 Apr 1999 (-6.37%), 21 Oct 1999 (14.37%), 25 Nov 1999 (15.85%)
1998225 Jun 1998 (-9.65%), 07 Sep 1998 (-4.91%)
1997525 Apr 1997 (6.1%), 02 Jun 1997 (7.0%), 20 Oct 1997 (-3.05%), 21 Oct 1997 (-3.19%), 17 Dec 1997 (11.06%)
1996505 Jun 1996 (-2.29%), 25 Jul 1996 (-3.08%), 16 Aug 1996 (-2.95%), 19 Aug 1996 (-3.22%), 22 Aug 1996 (-3.09%)
1995429 Mar 1995 (-1.95%), 19 May 1995 (-2.41%), 24 Oct 1995 (-3.22%), 29 Nov 1995 (-3.43%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play