Study: Buy CESC 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 CESC 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 CESC 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
1142180127636449.616231.3630188.68-3912.44-21248.841.591.570.0311119.53
2267720127695854.338288.2933962.26-5244.35-24976.561.581.880.0442108.03
3249606127636449.6110055.0335706.98-5997.83-34634.071.681.650.0341965.4
4166429127666151.979940.1949108.37-8026.62-37892.11.241.340.021310.46
5255843127695854.3311715.2264190.48-9526-44416.561.231.460.0272014.51
6362148127676052.7613691.5564285.71-9253.1-45922.211.481.650.0342851.56
7433175127666151.9715052.2867164.18-9184.85-43412.81.641.770.043410.82
8457145127656251.1816073.7983155.65-9478.25-40903.391.71.780.0413599.57
9559445127676052.7618560.62139872-11401.94-42910.921.631.820.0384405.08
10569709127666151.9720360.91155011-12690.35-46925.971.61.740.0364485.9

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 1.88. 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 54.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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
nilnil-12267720127695854.338288.2933962.26-5244.35-24976.561.581.880.0442108.03
atrtrail-15.48350659144608441.6715159.5160439-6653.71-17818.712.281.630.0272435.13
atrtrail34.67302163146618541.7814255.1941008.47-6675.34-17818.712.141.530.0322069.61
atrnil24.95383389152638941.4517580.4333085.65-8136.83-17818.712.161.530.0382522.3
atrtrail23.97293941152658742.7613564.5429081.59-6755.8-17818.712.011.50.0331933.82
atrnil37.21364186140459532.1425722.641008.47-8350.86-17818.713.081.460.0312601.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.88. 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 54.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.05%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.044, 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.
CESC Performance, X=2, Profit Factor:1.88

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019811 Jan 2019 (0.98%), 01 Mar 2019 (3.79%), 08 Apr 2019 (-1.2%), 20 May 2019 (-0.85%), 26 Jun 2019 (-0.01%), 16 Aug 2019 (-1.36%), 06 Sep 2019 (3.96%), 15 Oct 2019 (1.0%)
2018327 Mar 2018 (1.46%), 17 Aug 2018 (8.22%), 15 Oct 2018 (-1.11%)
2017603 Apr 2017 (-2.37%), 19 Apr 2017 (2.25%), 28 Aug 2017 (0.14%), 10 Oct 2017 (-1.13%), 14 Nov 2017 (-2.17%), 13 Dec 2017 (0.12%)
2016512 Apr 2016 (2.99%), 23 May 2016 (-1.54%), 16 Jun 2016 (-0.24%), 28 Jul 2016 (-2.78%), 02 Sep 2016 (-0.24%)
2015106 Aug 2015 (1.47%)
2014805 Feb 2014 (0.43%), 19 Feb 2014 (-0.15%), 12 May 2014 (1.72%), 30 Jun 2014 (1.95%), 05 Aug 2014 (-1.1%), 04 Sep 2014 (2.58%), 01 Dec 2014 (-0.36%), 29 Dec 2014 (0.74%)
2013601 Jan 2013 (-1.08%), 18 Jan 2013 (2.59%), 06 Jun 2013 (-0.17%), 04 Jul 2013 (0.46%), 31 Oct 2013 (1.45%), 11 Dec 2013 (2.25%)
2012612 Mar 2012 (4.8%), 06 Jun 2012 (0.41%), 21 Jun 2012 (0.83%), 06 Aug 2012 (-0.72%), 17 Sep 2012 (-4.52%), 22 Oct 2012 (-2.68%)
2011604 Jan 2011 (-0.13%), 25 Mar 2011 (0.47%), 01 Jun 2011 (-2.01%), 28 Jun 2011 (5.61%), 31 Oct 2011 (-1.45%), 25 Nov 2011 (-8.78%)
2010704 Jan 2010 (8.47%), 08 Apr 2010 (5.01%), 26 Apr 2010 (-2.86%), 08 Jul 2010 (5.67%), 20 Aug 2010 (-2.04%), 06 Sep 2010 (-0.41%), 04 Nov 2010 (1.33%)
2009805 Jan 2009 (-12.49%), 07 May 2009 (-2.66%), 17 Jul 2009 (0.43%), 14 Aug 2009 (-3.16%), 25 Sep 2009 (0.41%), 16 Oct 2009 (-1.65%), 17 Nov 2009 (-3.24%), 01 Dec 2009 (0.0%)
2008201 Jan 2008 (7.15%), 05 Feb 2008 (-2.78%)
2007702 Jan 2007 (-0.78%), 19 Mar 2007 (3.52%), 31 Aug 2007 (0.32%), 03 Oct 2007 (4.83%), 31 Oct 2007 (0.75%), 14 Nov 2007 (1.79%), 04 Dec 2007 (-0.08%)
2006706 Mar 2006 (11.95%), 05 Apr 2006 (-1.41%), 26 Jul 2006 (2.62%), 05 Sep 2006 (-1.8%), 03 Oct 2006 (3.34%), 03 Nov 2006 (-2.48%), 23 Nov 2006 (0.22%)
2005831 Jan 2005 (8.28%), 22 Feb 2005 (7.05%), 25 Apr 2005 (-3.85%), 31 May 2005 (5.52%), 27 Jun 2005 (-1.07%), 08 Aug 2005 (-1.48%), 01 Sep 2005 (0.91%), 21 Dec 2005 (-2.49%)
2004507 Jan 2004 (5.46%), 13 Feb 2004 (-4.37%), 01 Sep 2004 (6.43%), 04 Oct 2004 (-1.11%), 23 Dec 2004 (8.69%)
2003707 Feb 2003 (-3.39%), 07 Apr 2003 (-3.21%), 27 Jun 2003 (10.23%), 01 Aug 2003 (0.53%), 22 Aug 2003 (-3.26%), 25 Sep 2003 (1.07%), 04 Nov 2003 (16.24%)
2002509 Apr 2002 (5.26%), 08 May 2002 (-4.78%), 02 Jul 2002 (8.74%), 03 Oct 2002 (-9.72%), 17 Dec 2002 (10.51%)
2001325 Jan 2001 (-4.72%), 06 Jul 2001 (-2.22%), 20 Nov 2001 (16.98%)
2000311 Feb 2000 (-8.87%), 05 May 2000 (4.82%), 14 Jul 2000 (-1.35%)
1999619 Mar 1999 (12.5%), 08 Jun 1999 (5.49%), 24 Jun 1999 (-1.78%), 01 Sep 1999 (6.66%), 27 Oct 1999 (-9.79%), 23 Dec 1999 (11.16%)
1998502 Mar 1998 (-1.52%), 10 Apr 1998 (3.34%), 11 Nov 1998 (0.88%), 01 Dec 1998 (0.71%), 28 Dec 1998 (0.72%)
1997228 Feb 1997 (0.54%), 01 Aug 1997 (7.92%)
1996302 Feb 1996 (8.32%), 23 Apr 1996 (0.51%), 22 Jul 1996 (-7.13%)



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